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系統識別號 U0002-1905200500060000
中文論文名稱 對台股開盤價報酬領先因子之探討
英文論文名稱 The Analysis of Leading Factors for Open Price of the Taiwan Capitalization Weighted Stock Index
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 93
學期 2
出版年 94
研究生中文姓名 王洪維
研究生英文姓名 Hung-Wei Wang
學號 692490013
學位類別 碩士
語文別 中文
口試日期 2005-05-06
論文頁數 86頁
口試委員 指導教授-聶建中
委員-莊武仁
委員-洪坤
委員-何宗武
中文關鍵字 台股開盤價  結構性變化單根  結構性變化共整 
英文關鍵字 Open price  Unit Root with Structure Break  Cointegration with Structure Break 
學科別分類 學科別社會科學商學
中文摘要 本研究資料選取以2000年1月4日至2003年8月29日,計881筆日資料。運用多項時間序列方法,深入探討對於台股大盤而言,究竟是美股S&P 500現貨指數收盤價影響開盤價較鉅,還是台股現貨指數收盤價或期貨收盤價之報酬率領先台股現貨開盤報酬率趨勢較鉅?對與台股電子類股而言比較究竟是美股NASDAQ現貨指數收盤價影響電子類股指數開盤價較鉅,還是台股電子類股現貨收盤價或電子期貨指數之報酬率領先台股電子類股指數現貨開盤趨勢較鉅?研究方法分別使用四種傳統單根檢定法:(KPSS、DF-GLS、ERS、NP)與Zivot and Andrew(1992)考慮結構性變化之單根檢定法判定資料是否呈定態,再者利用Johansen(1988, 1990, 1994)最大概似法及Gregory and Hansen(1996)考慮結構性變化之共整合檢定法,進行變數間之長期均衡共整測試;另運用Granger 因果關係檢定,檢測各指數報酬率與台股、電子類指數開盤價報酬率之“領先-落後”關係。而各指數報酬率與台股、電子類指數開盤價報酬率之短期衝擊與波動,將以一般化向量自我迴歸模型之衝擊反應函數及變異數分解來進行其間之短期動態互動分析。
研究結論發現,首先利用傳統單根檢定,得知所有變數皆有I(1)與I(0)不一致的現象,唯有在美國S&P 500現貨收盤價之報酬率上有傾向I(1)的狀態,為解決此一問題,當考慮結構性變化之ZA單根檢定法,所有變數皆會為I(1)序列,呈現單根,正好克服傳統單根檢定之矛盾情形,表示各變數經由一次差分皆達定態。各指數報酬率與台股指數開盤價報酬率走勢存在著一個長期均衡的共移關係但與電子類指數開盤價報酬率卻無長期均衡的共移關係。進一步運用考慮結構性變化之GH共整合檢定,發現台股與電子類股開盤價報酬率各變數間,長期而言會達均衡,短期則是呈現隨機漫步的情形。另由因果檢定得知:台股開盤價報酬率會受到台灣期貨市場收盤指數之報酬率與美國S&P 500現貨收盤價之報酬率的影響;電子類股開盤價報酬率方面,則只會被台股電子指數期貨收盤價之報酬率影響。另外,在變數間短期衝擊之衝擊反應圖中,台股期貨指數與美國S&P 500現貨,均會對台灣加權股價指數開盤價報酬率有所衝擊,在兩者之中又以台指期較美國S&P 500,有較大的衝擊,再者,台股電子期與美國NASDAQ現貨,對於台灣電子類股指數開盤價報酬率,也皆有所衝擊,其衝擊效果也以台股電子期影響較大。而由預測變異數分解的結果得知不論是台股大盤或電子類股,其一般化預測誤差變異數分解之結論正好應證了一般化衝擊反應分析之發現。
英文摘要 This paper selects data from JAN.4th, 2000 to AUG.29th, 2003, total 881 daily data. Employing the time series techniques, investigating S&P 500 stock index close price、Taiwan futures or spot stock index close price which have significant leading affect for Taiwan stock index open price. At the same time , investigating NASDAQ stock index close price、Taiwan election futures or spot stock index close price which have significant leading affect for Taiwan election stock index open price. Employing study methods including, four traditional unit root tests :(KPSS、DF-GLS、ERS、NP) and Zivot and Andrew(1992)unit root with structure break to test date whether or not display stationarity. Then we use Johansen(1988, 1990, 1994) cointegration test and Gregory and Hansen(1996) cointegration test with structure break to show every variables whether have long term relationships. On the other hand, by use of Granger-causality test to display among variables whether have lead-lag relationships. Finally, this paper will use general vector autoregression model including general impulse response function and general variance decomposition to investigate all variables with Taiwan stock index open price and Taiwan election stock index open price to understand short run dynamic analysis.
For this study we can conclude below: first, we can find that from the traditional unit root tests all variables have inconsistency situation of I(1) and I(0),except for S&P 500 sock index close price. To solving this problem, while we use ZA unit root test with structure break, all variables show I(1).We can evident that all variables with stationatity. The results of Johansen cointegration test indicate that all variables with Taiwan stock index open price are considered cointegrated with one cointegrating vector.But when all variables with Taiwan election stock index open price are considered cointegrated with no cointegrating vector. Further, when using GH cointegration test with structure break to show every variables with Taiwan stock index open price or Taiwan election stock index open price have long term relationships and in the short run to display random walk situations. The results of Granger causality test significantly show that Taiwan stock index open price was led by Taiwan futures stock index close price and S&P 500 stock index close price; in the other hand about Taiwan election stock index open price was only led by Taiwan election futures stock index close price. Moreover, in the general impulse response function, we could understand that Taiwan stock index open price was impulsed by Taiwan futures stock index close price and S&P 500 stock index close price, which have more effect in Taiwan futures stock index close price than in S&P 500 stock index close price; For election, Taiwan election stock index open price was impulsed by Taiwan election futures stock index close price and NASDAQ stock index close price, which have more effect in Taiwan election futures stock index close price than in NASDAQ stock index close price, too. Finally, in the variance decomposition, we conclude that the same results of general impulse response function.
論文目次 目錄
第壹章、緒論 4
第一節、研究背景與動機: 4
第二節、研究目的: 9
一、大盤: 9
二、對於電子類股: 9
第三節、研究架構 10
第貳章 文獻回顧 11
第一節、國外文獻: 11
一、有關現貨之互動關係文憲: 11
二、與期貨市場價格發現功能有關之文獻: 13
三、利用Cointegration探討期貨與現貨關聯之文獻: 15
四、有關期貨與現貨領先與落後關係之文獻: 17
五、有關探討期貨與現貨因果關係(Causality)方面之文獻: 20
六、有關探討開盤價方面之文獻: 22
第二節、國內文獻: 24
一、與台灣加權股價指數相關之文獻: 24
二、與電子類股指數相關之文獻: 25
第参章、理論模型 27
第一節、期貨市場理論模型: 27
一、持有成本理論(Cost-of-carrying theory): 27
二、效率市場: 29
第二節、期貨市場簡介(台指期貨與電子期貨): 29
第肆章、研究方法 31
第一節、單根檢定法: 31
一、傳統單根檢定法: 31
(一)KPSS檢定法: 32
(二) ERS檢定法: 35
(三)ADF-GLS檢定法: 37
(四)Ng and Perron檢定法(NP檢定法): 38
二、考慮結構性變化之單根檢定法(ZA檢定法): 39
第二節、共整合檢定: 40
一、傳統共整合檢定法: 40
二、考慮結構性變化之共整合檢定法(GH檢定法): 42
第三節、因果關係分析: 43
第四節、一般化之衝擊反應分析與一般化之變異數分解: 44
第伍章、資料來源及處理: 48
第一節、資料來源: 48
第二節、資料處理: 49
第陸章、實證結果與分析 52
第一節、單根檢定結果分析: 52
一、傳統單根檢定法: 52
二、結構性變化之單檢定法: 55
第二節、共整合檢定分析: 59
一、傳統共整合檢定法: 59
二、考慮結構性變化之共整合檢定法: 63
第三節、因果關係檢定分析: 64
第四節、一般化衝擊反應分析(G-IRF): 66
第五節、一般化變異數分解(G-VDC): 71
第柒章、結論與建議 75
第一節、結論: 75
第二節、建議: 81
參考文獻 82
西文部份: 82
中文部份: 86










圖表目錄
表目錄 頁次
表1 全球資訊大廠與台灣電子業代工關係 8
表2 台指期貨與電子期貨市場簡介表 30
表3 加權指數各種單根檢定結果 53
表4 電子指數各種單根檢定結果 54
表5 加權指數各變數之ZA單根檢定結果 56
表6 電子指數各變數之ZA單根檢定結果 56
表7 各變數與台股開盤價報酬率之Johansen共整合檢定結果 61
表8 各變數與電子類股開盤價報酬率之Johansen共整合檢定結果 62
表9 大盤開盤價報酬率各變數間考慮結構性變化Gregory and Hansen共整合檢定結果 64
表10 電子類股開盤價報酬率各變數間考慮結構性變化Gregory and Hansen共整合檢定結果 64
表11 各變數之因果關係表:(大盤) 66
表12 各變數之因果關係表:(電子) 66
表13 大盤開盤價報酬率各變數間一般化預測誤差變異數分解結果 73
表14 電子類股開盤價報酬率各變數間一般化預測誤差變異數分解結果 74
圖目錄
圖1 大盤各變數之水準項與差分項之ZA內生結構性變化單根檢定圖 57
圖2 電子類股各變數之水準項與差分項之ZA內生結構性變化單根檢定圖 58
圖3 一般化衝擊反應分析圖(大盤) 69
圖4 一般化衝擊反應分析圖(電子) 70
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中文部份:
黃玉娟與徐守德,「臺股指數現貨與期貨市場價格動態關聯性之研究」,證券市場發展季刊,第九卷第三期,民國87年,頁1-28
李又剛與黃振邦,「股價指數現貨與期貨關聯性之探討--以SIMEX與TAIFEX臺指指數為例」,企銀季刊,第24卷第6期,民國90年,頁163-184
陳秀桂,「NASDAQ指數與臺灣電子股指數價格關連及波動性之研究--GARCH-VECM模型之應用」,南榮學報,復刊第6卷,民國91年7月,頁139-149
郭樂平,「美國高科技店頭市場指數--那斯達克綜合指數(NASDAQ Composite Index)與臺股電子股指數漲跌連動性之分析」,臺北銀行月刊,第28卷第10期,民國87年10月,頁98-10


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