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系統識別號 U0002-1602200900002400
中文論文名稱 期貨交易量對標的資產價格資訊效果對稱性之研究
英文論文名稱 The Study of the symmetry for Futures trading volume to underlying asset price information effect
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 97
學期 1
出版年 98
研究生中文姓名 吳秋汶
研究生英文姓名 Chiu-Wen Wu
學號 795530327
學位類別 碩士
語文別 中文
口試日期 2008-12-27
論文頁數 59頁
口試委員 指導教授-林景春
共同指導教授-林允永
委員-邱建良
委員-陳達新
委員-黃慶堂
中文關鍵字 EOS理論  超額正交易  超額負交易  過度反應效果  流動性因素 
英文關鍵字 EOS model  positive over-trading  negative over-trading  over-reaction effect  liquidity factor 
學科別分類
中文摘要 本研究從整體市場面,首先探討台灣方向性期貨市場交易活動對未來標的資產價格變動的資訊內容,以驗證EOS理論的共同和分開均衡假說;其次,檢視期貨市場超額正、負交易活動對標的資產市場的價格效果是否存在不對稱性。
本研究實證結果顯示:發現台指期貨、小台指期貨、電子指期貨市場方向性交易活動對未來標的資產價格變動具有資訊內容,支持EOS 理論的共同均衡假說,此發現符合衍生性金融市場是資訊交易的一個管道之預期。相反地,金融指期貨市場交易活動對未來金融股指數變動不具有資訊內容,接受EOS 理論的市場分開均衡假說,Chan, Chung, and Fong (2002)認為此現象的可能理由是即使資訊優勢交易者在金融指期貨市場交易,但並沒有積極地交易,而是較消極交易,或者是研究期間金融指期貨市場的低流動性。整體上,發現整體期貨市場交易量的超額正交易(長部位)影響大於超額負交易(短部位),顯示這些期貨市場投資人可能對正面訊息的反應較負面訊息敏感。
英文摘要 This study was investigated from the whole market perspectives. First of all, to explore the information content for trading activities of Taiwan's directional futures market to future underlying asset price movements and to verify the equilibrium hypothesis of pooling and separating in EOS model. Secondly, to review that does asymmetry for the price effect of positive over-trading and negative over-trading activities to underlying asset market exist in futures market.
The empirical results of this study show that: the market directional trading activities of Taiwan Stock Index Futures, Mini Index Futures and Electronic Index Futures have information contents to future underlying asset price movements. The hypothesis of pooling equilibrium in EOS model has been supported. It was found that it is in line with the anticipation that the derivatives market is channel of Information transactions. On the contrary, the futures market trading activities have no information contents to the changes of future financial index. The hypothesis of market separating equilibrium in EOS model was accepted. Chan, Chung, and Fong (2002) considered that the possible reason for this phenomenon may be that even there is trader with information advantages in financial futures market transaction, but he/she did not trade actively and be more negative. Or during study period, it is low liquidity in the futures market. On the whole, we found that the influences of overall trading volume of futures market for positive over-trading (long positions) are greater than those for negative over-trading (short positions). It revealed that the investors in futures market may react more sensitively to positive messages than negative messages.
論文目次 目 錄
中文摘要……………………………………………….……….i
英文摘要…………………………………………….………….ii
目 錄………………………………………………….………..iii
表目錄.……………………………………………….…………iv
圖目錄……………………………………………….………….v
第一章 緒 論………………………………….……………….1
第一節 研究背景與動機………………………….…………..1
第二節 研究目的…………………….………………….…….2
第三節 研究架構………………………….…………………..4
第二章 文獻探討…………………………….…………………5
第一節 期貨市場概論……………………………….………..5
第二節 文獻探討……………………………….………………24
第三章 研究方法……………………………………………...36
第四章 實證結果與分析………………………………….…..42
第五章 結論與建議…………………………….……………..54
第一節 結 論…………………………………………………..54
第二節 後續研究方向與建議…………………….……………56
參考文獻…………………………………………………………57
表目錄
【表2-1】2006年全球交易所衍生性商品成交量概況.………6
【表2-2】期貨商品概述和比較期貨交易業務…….………..20
【表2-3】台灣期貨交易所期貨契約規格……….…………..21
【表4-1】台指期貨市場落後交易活動對現貨報酬影響…….45
【表4-2】小台指期貨市場落後交易活動對現貨報酬影響….45
【表4-3】電子期貨市場落後交易活動對現貨報酬影響…….46
【表4-4】金融期貨市場落後交易活動對現貨報酬影響…….46
【表4-5】台指期貨市場交易活動和股價變動的因果迴歸結果表..47
【表4-6】小台指期貨市場交易活動和股價變動的因果迴歸結果表48
【表4-7】台指期貨市場超額正負交易活動對現貨報酬影響......50
【表4-8】小台指期貨市場超額正負交易活動對現貨報酬影響....51
【表4-9】電子期貨市場超額正負交易活動對現貨報酬影響………52
【表4-10】金融期貨市場超額正負交易活動對現貨報酬影響…….53
圖目錄
【圖1-1】研究架構流程圖…….…….………………………………4
參考文獻 一、中文參考文獻
1.林啟明,「國內期貨交易價量分析」,臺灣期貨市場期刊,5,3:23-33,民國八十九年。
2.吳承康,「臺灣股價指數期貨基差與價格預測實證研究」,臺灣期貨市場期刊,35-51,民國八十九年。
3.趙延楷,「現貨指數報酬、基差走勢、未平倉合約數與外資交易行為之動態關聯探討」,國立高雄第一科技大學財務管理研究所碩士論文,民國九十年。
4.鄭麗慧,「外資介入對股市現貨市場與指數期貨市場關聯性的影響-以香港、馬來西亞、臺灣為例」,國立中山大學財務金融研究所碩士論文,民國九十年。
5.洪舜華,「摩根臺灣股價期貨指數到期效應對股票市場的影響」,國立台北大學企業管理研究所碩士論文,民國九十一年。
6.陳啟明,「期貨結算對權值股之探討及期貨、現貨價格變動率對權值股之影響」,私立淡江大學管理科學研究所碩士論文,民國九十一年。
7.于士媛,「期貨與選擇權到期效應之研究-以TAIFEX 股價指數期貨及指數選擇權為例」,私立銘傳大學財務金融研究所碩士論文,民國九十二年。
8.林世釗,「臺灣股價指數現貨、期貨及摩根臺灣股價指數期貨到期效應之台灣股價指數期貨及摩根台指期貨到期效應之因素研究研究」,國立台北大學企業管理研究所碩士論文,民國九十二年。
9.蔡垂君,「臺灣股價指數期貨與現貨之實證研究」,國立台北大學企業管理學系博士論文,民國九十二年。
10.陳國民,「指數期貨到期日隻報酬反轉雞波動效果日內效應之研究」,私立淡江大學財務金融學系金融碩士班碩士論文,民國九十三年。
二、英文參考文獻
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3.Samuelson, P. A.(1976). “Is Real-World Price a Tale Told by the Idiot of Chance?” Review of Economics and Statistics, Vol.58, 120-123.
4.Klemkosky, R.C.(1978). “The impact of option expirations on stock prices,”Journal of Financial and Quantitative Analysis, 507-518.
5.Chiang,R.C. and Tapley, T.C. (1983). “Day-of-the-Week Effect and the Futures Market,” Review of Research in Futures Markets, Vol.2, 356-410.
6.Figlewski,S.(1984). “Hedging Performance and Basis Risk in Stock Index Futures Markets,” Journal of Finance, Vol.39, 657-669.
7.Stoll, H. R. and Whaley, R.E.(1987). “Program trading and expiration-day effects,” Financial Analysts Journal, March-April, 16-28.
8.Kawaller, I. G.. and Koch, P. D.(1987). “The Temporal Price Relationship Between S&P500 Futures and the S&P500 Index,” Journal of Finance.1309-1329.
9.Edwards, F.R. (1988a).”Does futures Trading increase stock market volatility?” Financial Analysts Journal, 63-69.
10.Board,J.L.G. and Sutcliffe,C.M.S. (1988). “The Weekend Effect in UK Stock Market Returns, “ Journal of Finance and Accounting,Vol.15, 199-213.
11.Edwards,F.R. (1988b). “Futures Trading and Cash Market Volatility:Stock Index and Interest Rate Futures,” Journal of Future Markets, Vol.8, No.4,421-439.
12. Chamberlaim,T.W.,Cheung,S.C.and Kwan,C.C.Y.(1989). “Expiration day effect of index futures and options:Some Canadian evidence,” Financial Analysts Journal, Vol.45, No.5, 67-71.
13.Chamberlaim,T.W. (1989). “Maturity Effects in Futures Markets: Some Evidence from the City of London. Scottish,” Journal of Political Economy,Vol.36, No.1,90-95.
14.Board,J.L.G .and Sutcliffe, C.M.S.(1990). “Information Volatility, Volume and Maturity:an Investigation of Stock Index Futures,” The Review of Futures Markets, Vol.9,No.3, 533-549.
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Volatility and the special Friday Opening: a Note,” Journal of Futures Markets, Vol.10, 323-325.
16.Stoll, H. R. and Whaley, R.E(. 1990a). “Program trading and individual stock returns:Ingredients of the triple-witching brew.,” Journal of Business, Vol.63,165-192.
17.Stoll,H.R.and Whaley,R.E.(1990b).Program Trading and Individual Stock Returns:Ingredients of the Triple-Witching Brew.Journal of Business,Vol.63,pp.165-192. 25.
18.Stoll, H. R. and Whaley, R. E.(1991). “Expiration-day effects:what has changed?” Financial Analysts Journal, January-February, 58-72.
19. Herbst, A. F. and Maberly, E.D.(1991). “An alternative methodology for measuring expiration day price effects at Friday’s close:The expected price reversal- a Note,” Journal of Futures Markets,Vol.11, No.6, 751-754.
20.Pope, P. F. and Yadav, P. K.(1992). “The impact of option expiration on underlying stocks:The UK evidence,” Journal of Business Finance and Accounting, Vol.19, 329-344.
21.Chen,C. and Williams,J. (1994). “Triple-Witching Hour,the Change in Expiration Timing,and Stock Market Reaction,” Journal of Futures Markets, Vol.14, 275-292.
22.Karolyi, A.G.(1996). “Stock market volatility around expiration days in Japan,” Journal of Derivatives, Vol.4, 23-43.
23.Stoll, H. R. and Whaley, R. E.(1997). “Expiration-day effects of the All Ordinaries Share Price Index Futures:Empirical evidence and alternativesettlement procedures,” Australin Journal of Management, Vol.22, 139-174.
24.Chen,Y., Duan,J.,and Hung,M. (1999). ‘Volatility and Maturity Effect in the Nikkei225 Index Futures,” Journal of Futures Markets, Vol.19, 895-909.
25.Lee, C. I.(1999). “The influence of information arrival on market microstructure:Evidence from three related markets,” The financial Review,Vol.34, Iss.1, 1-26.
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