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系統識別號 U0002-1106200823530200
中文論文名稱 臺灣期貨契約成敗因素之探討
英文論文名稱 The Successful and Failure Factors of Futures Contracts in Taiwan
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 96
學期 2
出版年 97
研究生中文姓名 賴思璇
研究生英文姓名 Lai, Sz-Hsuan
學號 795530335
學位類別 碩士
語文別 中文
口試日期 2008-05-31
論文頁數 78頁
口試委員 指導教授-謝文良
委員-邱忠榮
委員-鍾惠民
委員-李進生
中文關鍵字 期貨契約  市場規模  價格波動  避險績效  流動性 
英文關鍵字 futures contracts  market size  volatility  hedge effectiveness  liquidity 
學科別分類
中文摘要 本研究分析影響期貨契約成功或失敗的因素,目的在於探討在臺灣目前的環境下,影響期貨契約的成敗因素與期貨交易量之間的關係。
本文分別從現貨商品特性、期貨契約特性及避險績效來探討影響期貨契約成功或失敗的因素,最後將影響契約成敗的因素納入本文的實證模型,實證結果顯示:一、現貨商品特性:現貨市場的規模與期貨交易量呈現高度顯著正相關,而現貨市場價格波動性與期貨交易量呈現顯著負相關,若以變幅(range) 當作現貨價格波動性的代理變數,則現貨價格波動性與期貨交易量呈現顯著的正相關。二、期貨契約特性:期貨契約若有發展選擇權契約且具備先進者優勢,將有助於交易量的增加,而契約規格與期貨交易量呈現負相關,顯示當期貨規格較小時,將會有助於期貨交易量的增加。三、避險績效:避險績效和期貨交易量呈現顯著的正相關,表示若期貨契約的避險績效較高,較容易吸引市場參與者進入市場交易。成功的期貨契約不論是以5天、10天、20天避險,其避險績效都很高,且避險績效會隨著避險期間增加而上升。
英文摘要 In this research, we analyze the factors which affect the success or failure of futures contract. The purpose is to explore the successful or failure factors of the futures contract and the relationship between Futures trading volume in Taiwan futures market.
This article discusses the factors which affect the success or failure of futures contract in three aspects: the spot commodities, futures contract characteristics and the performance of hedge. Results suggest that: First, with regard to the spot commodity characteristics: the size of the spot market and futures trading volume show highly significant positive correlation, while the spot market price volatility and futures volume show negative. Second, with regard to the characteristics of futures contract: if the futures contract has its own options and is a first-mover contract, it will be helpful in increasing trading volume. There is a negative correlation between contract size and trading volume, suggesting that a smaller contract size helps in increasing the trading volume. Third, with regard to the hedge performance: hedge performance and volume show significant positive correlation, indicating that if the futures contract has better hedge performance, it is much easier to attract market participants to enter the market. A successful futures contract shows high hedging performance in 5, 10, or 20 days hedging period. Finally, hedging performance rises as the hedging period increase.
論文目次 目 錄

誌謝Ⅰ
中文摘要Ⅱ
英文摘要Ⅲ
目錄Ⅳ
表次Ⅴ
圖次Ⅵ
第一章 緒論
第一節 研究動機1
第二節 研究目的1
第三節 研究架構2
第二章 臺灣期貨市場概況
第一節 臺灣期貨市場發展沿革3
第二節 臺灣期貨市場的交易現況6
第三章 相關文獻探討
第一節 衡量契約成功標準相關文獻21
第二節 期貨契約成敗因素相關文獻22
第三節 影響臺灣期貨成敗的可能因素35
第四章 研究方法
第一節 資料來源與研究期間40
第二節 契約成功的衡量標準40
第三節 變數的選取、分析方法及使用模型41
第四節 期貨契約之整體性模型48
第五章 實證結果與分析
第一節 契約成功的衡量標準49
第二節 現貨商品特性分析54
第三節 期貨契約特性分析57
第四節 避險績效分析62
第五節 期貨契約之整體性分析64
第六章 結論與建議
第一節 結論72
第二節 建議73

參考文獻 74

表次
【表2-1】 臺灣期貨發展沿革 4
【表2-2】 臺灣期貨交易所現有期貨商品5
【表2-3】 歷年總交易量概況 6
【表2-4】 交易人開戶數統計 7
【表2-5】 各期貨商品之交易量及未平倉量概況8
【表3-1】 探討影響臺灣期貨成敗的可能因素39
【表5-1】 日平均交易量49
【表5-2】 日平均未平倉量50
【表5-3】 交易量與未平倉量比率51
【表5-4】 市場流動性分析:96/12/26 52
【表5-5】 市場流動性分析:96/12/28 52
【表5-6】 現貨市場規模與期貨交易量及未平倉量之相關性54
【表5-7】 現貨價格波動性與期貨交易量及未平倉量之相關性56
【表5-8】 虛擬變數設計值57
【表5-9】 期貨契約特性變數之相關係數58
【表5-10】 期貨契約特性變數之實證結果60
【表5-11】 期貨契約避險績效比較63
【表5-12】 5天、10天、20天之避險績效及相關係數63
【表5-13】 變數之模式摘要表64
【表5-14】 期貨交易量與影響契約成敗之自變數預期結果表65
【表5-15】 全樣本各變數之相關係數66
【表5-16】 全樣本各變數之實證結果66
【表5-17】 現貨價格波動性與期貨交易量之逐年相關性70

圖次

【圖1-2】 研究架構圖2
【圖2-1】 歷年總交易量及未平倉量走勢圖7
【圖2-2】 臺股期貨年交易量與未平倉量趨勢圖9
【圖2-3】 電子期貨年交易量與未平倉量趨勢圖10
【圖2-4】 金融期貨年交易量與未平倉量趨勢圖11
【圖2-5】 小型臺指期貨年交易量與未平倉量趨勢圖12
【圖2-6】 臺灣50期貨年交易量與未平倉量趨勢圖13
【圖2-7】 十年期公債期貨年交易量與未平倉量趨勢圖14
【圖2-8】 三十天期利率期貨年交易量與未平倉量趨勢圖15
【圖2-9】 MSCI臺指期貨年交易量與未平倉量趨勢圖16
【圖2-10】 黃金期貨年交易量與未平倉量趨勢圖17
【圖2-11】 2007年底股價指數期貨交易人分布圖19
【圖2-12】 2007年底利率期貨交易人分布圖20
【圖2-13】 2007年底黃金期貨交易人分布圖20
【圖5-1】 變數標準化殘差直方圖(標準常態分配)59
【圖5-2】 變數迴歸、標準化殘差的P-P圖60
【圖5-3】 變數標準化殘差直方圖(標準常態分配)69
【圖5-4】 變數迴歸、標準化殘差的P-P圖69
參考文獻 國內文獻

1.林威沂,民88,「期貨契約之設計與市場管理之探討」,國立政治大學國際貿易學系碩士論文。
2.許茂盛,民83,「臺灣地區股價指數期貨之標的選擇」,國立中正大學財務金融研究所碩士論文。
3.范松清,民87,「臺灣推動期貨市場發展評估之研究」,國立中興大學公共行政及政策研究所碩士論文。
4.郭凱元,民85,「臺灣短期利率期貨契約之設計」,國立中央大學財務管理研究所碩士論文。
5.陳俊合,民84,「我國發展外匯期貨之契約規格研究」,國立臺灣大學財務金融學研究所碩士論文。
6.臺灣50指數期貨規劃書,民92,臺灣期貨交易所。
7.中華民國十年期政府債券期貨規劃書(草案),民92,臺灣期貨交易所。
8.三十天期商業本票利率期貨規劃書(草案),民93,臺灣期貨交易所。
9.摩根士丹利資本國際公司臺灣股價指數期貨規劃書,民95,臺灣期貨交易所。
10.黃金期貨規劃書,民95,臺灣期貨交易所。
11.未含金融電子類股價指數期貨暨選擇權契約規劃書,民96,臺灣期貨交易所。
12.中華民國證券櫃檯買賣中心股價指數期貨暨選擇權規劃書,民96,臺灣期貨交易所。

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