本論文以臺灣期貨市場之臺股期貨一般交易與盤後交易為主要主軸，以兩種議題切入探討盤後交易對於市場之影響。首先，探討臺股期貨一般交易與盤後交易價格連續性及其報酬與波動外溢效果；第二，以國際期貨市場對臺股期貨一般交易與盤後交易之影響：報酬、波動與跳躍傳遞效果，藉由上述兩個議題補足臺股期貨相關研究之缺口。第一篇，利用雙變量EGARCH模型研究臺股期貨一般交易與盤後報酬與波動之外溢效果，以及波動之叢聚性與不對稱性。其實證結果顯示，盤後報酬正向影響一般交易報酬，但一般交易報酬不影響盤後報酬，且盤後波動不會持續至一般交易，但一般交易波動則會持續至盤後，隱含臺灣市場資訊產生風險影響高於歐美市場資訊，而盤後波動提前反映吸收歐美市場資訊與臺灣盤後資訊揭露風險，減緩可能對一般交易之衝擊。研究亦發現一般交易與盤後皆具波動叢聚性，惟皆不具波動不對稱性。第二篇，分別運用GARCH模型與ARJI模型估計各種期貨與時俱變之波動與跳躍強度，再以複迴歸模型分析以一個較完整的層面架構探討美國期貨市場對臺股期貨一般交易與盤後報酬、波動與跳躍行為傳遞效果。研究發現，盤後交易之報酬與波動風險模型判定係數解釋力較一般交易佳。研究發現美國股票期貨報酬正向影響臺股盤後報酬，而美元指數與VIX期貨負向影響臺股期貨盤後報酬；黃金期貨對臺股期貨盤後不存在波動行為傳遞效果，而原油與VIX期貨則不存在跳躍行為傳遞效果。整體觀察國際期貨市場毋論報酬、波動與跳躍皆正向影響臺股期貨盤後交易，惟原油期貨波動負向降低盤後波動，可能係因原油波動風險已經被金融期貨先行反應。波動風險對投資人於期貨交易策略如以區間操作時，必須適時注意盤後變動範圍。跳躍行為以美國兩大股票期貨為重要影響因素，市場異常資訊將直接對臺股盤後產生瞬時跳躍行為。

This thesis focuses on the Taiwan stock futures regular and after-hours trading, and uses two topics to explore the impact of after-hours trading on the market. First, the study exploring the price continuity of Taiwan stock futures regular and after-hours trading and its return and volatility spillover effects; second, exploring the impact of the international futures market on TAIEX futures regular and after-hours trading: return, volatility and jump spill effect. The above two topics are used to fill the gaps in research related to Taiwan stock futures. In part 1, the study uses the bivariate EGARCH model to study the regular trading and after-hours trading of the TAIEX Futures from spillover effect and as well as the clustering and asymmetry of volatility. The empirical results show, after-hours trading will not continue to the regular trading, but the fluctuations in the regular trading will continue to the after-hours trading, implying that the risk impact of Taiwan market information is higher than that of the European and American market information, and the after-hours trading volatility reflects the absorption of European and American market information and Taiwan after-hours information in advance expose the risks. The study also found that both the regular trading and the after-hours trading have volatility clustering, but neither has volatility asymmetry. In part 2, the study adopts ARJI, GARCH model, OLS regression model, more complete level structure is used to explore the effect of the U.S. futures market on the general trading and after-hours returns, volatility and jump intensity transmission of Taiwan stock futures. The study found that after-hours trading has better explanatory power than regular trading in terms of the determination coefficient of the return and volatility risk model. The study found that U.S. stock futures returns have a positive impact, while the U.S. dollar index and VIX futures have a negative impact on TAIEX after-hours trading returns; gold futures have no volatility risk transmission effect on after-hours trading, while oil and VIX futures have no jump intensity transmission effect. The overall observation of the U.S. futures market, regardless of returns, volatility and jump intensity, has a positive impact on the TAIEX after-hours trading returns. However, the volatility of oil futures negatively reduces the TAIEX after-hours trading volatility. This may be because the risk of oil volatility has been first reflected in the risk of volatility in financial futures. Volatility risk investors must pay attention to the range of after-hours trading changes in a timely manner when operating in a range in futures trading strategies. Jump intensity has two major U.S. stock futures as an important influencing factor, market abnormal information will directly cause instantaneous jumps in TAIEX after-hours trading.

中文摘要	I
英文摘要	III
目錄	V
表目錄	VII
圖目錄	VIII
第一篇	1
摘要	2
壹、研究背景、動機與目的	4
貳、文獻回顧	6
參、研究方法與步驟	9
肆、資料來源與統計檢定	12
伍、實證結果分析	16
陸、結論	19
參考文獻	21

第二篇	25
摘要	26
壹、研究背景、動機與目的	28
貳、文獻回顧	31
參、研究方法與步驟	33
肆、資料來源與統計檢定	37
伍、實證結果分析	40
陸、結論	46
參考文獻	48

表目錄
第一篇
表1、臺股期貨一般與盤後報酬之單根檢定結果表	14
表2、臺股期貨一般與盤後報酬之基本敘述統計表	15
表3、臺股期貨一般較盤後價格差異比較統計		15
表4、臺股期貨一般與盤後雙變量EGARCH模型估計結果	18

第二篇
表1、臺股期貨與各期貨商品之基本敘述統計	39
表2、GARCH模型估計與檢定	43
表3、ARJI模型估計與檢定	44
表4、臺股期貨一般交易複迴歸分析估計與檢定	45
表5、臺股期貨盤後交易複迴歸分析估計與檢定	45

圖目錄
第一篇
圖1、臺股期貨一般與盤後報酬定義	12
圖2、臺股期貨一般與盤後動態波動	19

第一篇
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