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系統識別號 U0002-2106200511090500
中文論文名稱 期貨契約及現貨標的之到期效應實證研究
英文論文名稱 Expiration and Maturity Effect: Empirical Evidence for the Spot and Futures Contracts
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 王吉祥
研究生英文姓名 Chi-Hsiang Wang
學號 791490021
學位類別 碩士
語文別 中文
口試日期 2005-05-21
論文頁數 69頁
口試委員 指導教授-邱建良
指導教授-陳玉瓏
委員-李命志
委員-黃博怡
委員-俞海琴
中文關鍵字 到期效應  GJR-GARCH模型 
英文關鍵字 Expiration effect  Maturity effect  GJR-GARCH model 
學科別分類 學科別社會科學商學
中文摘要 本文以GJR-GARCH模型,針對五種期貨及標的現貨之報酬率波動現象進行Samuelson(1965)到期效應假說之實證分析。並進一步探討到期效應是否發生之原因。本研究之實證結論歸納如下﹕
1.研究期間股價指數類期貨及標的現貨之報酬率波動對正負訊息之反映均具有不對稱效果,而且負面消息對市場價格波動之影響較大。但外幣類商品之報酬率波動度則無不對稱效果。
2.三種股價指數類商品之期貨與標的現貨在到期前一至三天均有顯著之波動性變大之到期效應,用期貨轉倉資料進行實證後結果亦同。且其中S&P500指數及日經指數期貨與現貨之到期效應均隨到期日之接近而增強。
3.外幣類商品中,到期前未轉倉之日圓及歐元期貨與現貨資料,於到期前一至三天均未出現到期效應,轉倉之後之資料實證結果發現歐元期貨仍無到期效應,日圓期貨則在到期前一天才有顯著之到期效應產生。
4. 本文由股價指數類商品與外幣類商品到期效應實證結果之差異,進而分析到期效應與期貨市場風險控管機制之關聯性,由保證金訂定方式及到期結算交割方式之層面探究之,外幣類商品在交割月份提高保證金及採行實物交割之作業方式,會影響投機及套利等市場參與者在到期前之留倉意願,進而降低了該類商品交易之市場活絡程度。
關鍵字:到期效應,GJR-GARCH模型
英文摘要 The paper studies how the time remaining to the expiration date of derivative markets affects the volatility of futures markets (maturity effect) and their underlying assets (expiration effect). The innovation of the study lies in both effects being studied together for the futures markets and underlying assets using the GJR-GARCH model proposed by Glosten, Jagannathan and Runkle(1993) including dummy variables that express the time left to expiration day. Three equity future index , S&P500, Nikkei 225, TAIEX futures,, and two foreign exchange futures index, Euro FX and Japanese yen, are used as our sample. The empirical analysis focuses on the last three days before expiration of the futures contracts and adopts the return calculated by daily settlement price. In addition to the nearby contact month series, we also use the data which is switched over to the next maturing contract five days before the expiration date of the nearby contact. (3 days for TAIEX futures)
The empirical results show as follows:
1. There is existence of asymmetrical effect in the conditional variance for three equity index futures and their underlying assets. But there is no asymmetrical effect for the foreign exchange futures and their underlying assets.
2. The maturity effect and expiration effect are proved to be statistically significant when applying to S&P 500, Nikkei 225, and TAIEX furtures and their underlying assets in our sample. It must be pointed out that the conditional variance increases before expiration date both in futures and cash markets for the S&P500 and Nikkei 225 futures.
3. Regarding the foreign exchange contracts, there is no maturity effect and expiration effect for the nearby contact series. It’s the same result for the Euro FX contracts in the data switched over to the next maturing contract five days before the expiration date of the nearby contact. However, there is maturity effect effect for the Japanese yen futures in the last day before maturity.
4. Comparing the difference of maturity effect and expiration effect between equity index products and foreign exchange products, we conclude that the clearing mechanism such as settlement margin requirement and physical delivery for the FX contracts is the important factor that influences the trading behavior of market participants.
論文目次 目錄
第一章 緒 論 1
第一節 研究背景 1
第二節 研究動機 3
第三節 研究目的 6
第四節 研究架構 7
第五節 研究流程圖 8
第二章 文獻回顧 9
第一節 探討到期效應之實證文獻 9
第二節 探討到期效應發生之可能原因 13
第三章 研究方法 21
第一節 資料檢驗 21
第二節 共整合檢定(cointegration) 24
第三節 ARCH效果檢定 26
第四節 條件變異數不對稱性之檢定 27
第五節 GJR-GARCH模型 29
第四章 實證分析 31
第一節 資料來源與整理 31
第二節 現貨及期貨的分配性質 34
第三節 GJR-GARCH模型實證結果 43
第四節 實證結果綜合分析 57
第五章 結論與後續研究建議 62
第一節 結論 62
第二節 後續研究建議 64
參考文獻 66

表目錄
【表4-1-1】期貨契約種類及研究期間 32
【表4-2-1】期貨契約與標的現貨報酬率之基本統計量 35
【表4-2-6】共整合檢定 42
【表4-3-1】ARCH效果之模型殘差項分析 43
【表4-3-2】現貨及期貨報酬率之不對稱效果檢定 44
【表4-3-3】S&P500之GJR-GARCH 模型參數估計(期貨採近月份價格) 46
【表4-3-4】S&P500之GJR-GARCH模型參數估計(到期前五天轉倉) 47
【表4-3-5】日經指數之GJR-GARCH模型參數估計(期貨採近月份價格) 49
【表4-3-6】日經指數之GJR-GARCH模型參數估計(到期前五天轉倉) 50
【表4-3-7】台股期貨與現貨GJR-GARCH模型參數估計(期貨採近月份價格) 51
【表4-3-8】台股期貨與現貨GJR-GARCH模型參數估計(到期前三天轉倉) 52
【表4-3-9】日圓期貨與現貨GJR-GARCH模型參數估計(期貨採近月份價格) 53
【表4-3-10】日圓期貨與現貨GJR-GARCH模型參數估計(到期前五天轉倉) 54
【表4-3-11】歐元期貨與現貨GJR-GARCH模型參數估計(期貨採近月份價格) 55
【表4-3-12】歐元期貨與現貨GJR-GARCH模型參數估計(到期前五天轉倉) 56

圖目錄
【圖4-2-1】S&P500指數期貨與現貨走勢圖…………………………………………33
【圖4-2-2】日經指數期貨與現貨走勢圖………………….…………………………..33
【圖4-2-3】台股期貨與現貨走勢圖……………………….………………………….34
【圖4-2-4】日圓期貨與現貨走勢圖……………………..…………………………….34【圖4-2-5】歐元期貨與現貨走勢圖……………………..…………………………….35
參考文獻 參考文獻
一、國內文獻
1. 林世釗 (2003),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研究,國立臺北大學企業管理學系碩士論文。
2. 陳國民 (2004),指數期貨到期日之報酬反轉及波動效果日內效應之研究,淡江大學財務金融學系金融碩士班碩士論文。
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