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中文論文名稱 漲跌幅限制差異對股價報酬之影響-以臺灣與新加坡現貨市場為例
英文論文名稱 The Influence of Price Limit Difference on the Stock Returns-Evidence from Taiwan and Singapore Spots Market
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 詹桂琴
研究生英文姓名 Kuei-Chin Chan
學號 795530186
學位類別 碩士
語文別 中文
口試日期 2009-01-10
論文頁數 61頁
口試委員 指導教授-陳玉瓏
委員-萬哲玉
委員-徐子光
委員-李彥賢
中文關鍵字 雙變量EGARCH模型  外溢效果  不對稱效果 
英文關鍵字 Bivariate EGARCH Model  Spillover Effects  Asymmetric Effects 
學科別分類
中文摘要 本文藉由Nelson(1991)所提出之雙變量EGARCH模型,探討臺灣發行量股價指數與新加坡摩根士丹利臺股指數之漲跌幅限制差異,是否對現貨報酬與波動間存在顯著的影響,並進一步探討兩市場間之外溢效果。於模型中也考量美國股市及債市等重要因子,以精確捕捉兩市場的行徑。研究期間涵蓋了1998年7月21日到2008年11月21日的日資料,且變數資料取自於精誠資訊與Bloomberg統計資料庫。

實證結果顯示兩市場前期期貨報酬均對現貨報酬有顯著的正向影響,且現貨報酬彼此間具有雙向的反向外溢效果;另外,在變異數方程式方面,對於前期非預期的自我波動因子,兩市場皆表現出正向的顯著關係,倘若市場產生重大消息衝擊時,好壞消息對兩市場現貨報酬均呈現出不對稱的影響關係,亦即表示負面消息對股市的衝擊將較正面消息來得大。在波動外溢效果的部份,摩臺股價指數報酬波動會受到臺灣股價指數前期非預期波動正向影響,反之則不成立。此外,進行模型配適檢測後,其結果顯示本文模型配適合宜。最後,希冀本文之實證結果能提供市場參與者,有更深入的了解與認知。
英文摘要 This paper adopts the Nelson (1991) bivariate EGARCH model to study the difference of price limits between Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Singapore MSCI Taiwan Index that has significant effects on market returns and volatility. Return spillover, volatility spillover, and asymmetry effects of good and bad news are also being exanimate. Certain crucial elements of US stock and bond markets are also included in the model to study the behaviors of both markets. All of variables are collected from the Systex information and Bloomberg system, and the daily data are from July 21, 1998 to Nov. 21, 2008.

The empirical results reveal that the futures returns of previous period have a significant positive effect on spot market returns in both countries. Furthermore, a negatively two-way relationship of returns spillover in two countries has also been found. The effect of an event on the market of two countries in terms of unexpected volatility is positive. It is also found that the impacts of an event on the market are asymmetric, bad news have greater impacts on stock market than good news in both countries. And the volatility of MSCI Taiwan Index return is affected by the unexpected volatility TAIEX return of previous period, not vice versa. After a thorough examination, checking and collaboration of the model, it is found that the model is well suited in the study. Finally, I wish the results of this paper may offer the market .participants with further knowledge.
論文目次 中文摘要 Ⅰ
英文摘要 Ⅱ
目錄 Ⅳ
表目錄 Ⅵ
圖目錄 Ⅶ
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 4
第三節 研究目的 5
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 漲跌幅限制制度的爭議 9
第二節 漲跌幅限制對市場波動性、效率性及流動性的文獻 10
第三節 期貨價格發現與外溢效果 13
第三章 研究方法 20
第一節 單根檢定 20
第二節 自我迴歸條件異質變異數模型 23
第三節 一般化自我迴歸條件異質變異數模型 26
第四節 雙變量EGARCH模型 26
第五節 條件變異數不對稱性檢定 28
第四章 實證結果與分析 31
第一節 資料來源與處理 31
第二節 實證結果與分析 39
第五章 結論與建議 46
第一節 結論 46
第二節 建議 48
參考文獻 50
表 目 錄
【表1】各變數原始序列基本統計量 32
【表2】各變數時間序列資料單根檢定 37
【表3】ARCH效果之模型殘差分析 38
【表4】雙變量EGARCH模型之實證估計結果 43
【表5】雙變量EGARCH模型配適結果 44
【表6】全球主要交易所股價指數期貨契約價格漲跌限制一覽表 56
【表7】摩根士丹利資本國際公司臺灣指數採樣成分股 58
【表8】TAIFEX交易所與SGX交易所之比較 61
圖 目 錄
【圖1】臺灣發行量股價指數現貨及摩根臺灣股價指數現貨之走勢圖 34
【圖2】臺灣發行量股價指數期貨及摩根臺灣股價指數期貨之走勢圖 34
【圖3】美國三個月期國庫券利率與十年期公債利率之走勢圖 35
【圖4】美國S&P 500股價指數現貨之走勢圖 35
【圖5】臺灣發行量股價指數報酬之條件變異 44
【圖6】摩根士丹利臺股指數現貨報酬之條件變異 45
【圖7】臺灣股價指數現貨報酬與摩根士丹利臺股指數現貨報酬之共變異 45
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