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題 名 | 現貨、近月期與近季期股價指數期貨市場間價格與價格波動性的資訊傳遞:臺灣的早期經驗=The Information Transmission of Price and Price Volatility among Spot, Nearby-month and Near-quarter Stock Index Futures Markets: The Early Experiences of Taiwan |
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作 者 | 莊忠柱; | 書刊名 | 管理學報 |
卷 期 | 18:2 2001.06[民90.06] |
頁 次 | 頁311-332 |
分類號 | 561.76 |
關鍵詞 | 股價指數期貨; 波動性不對稱; 跨市場波動性外溢; 波動性反饋; Stock index futures; Volatility asymmetry; Cross-market volatility spillovers; Volatility feedback; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究利用臺灣期貨交易所1998年7月21日至1999年9月20日之股價指數現貨、近月期與近季期指數期貨契約318個每日撮合價格,在考慮市場間波動性不對稱與跨市場波動性外溢下,配適一個具有誤差修正項的多變量EC-EGARCH(1,1)模型,探討臺灣股價指數現貨、近月期與近季期指數期貨市場間在價格及價格波動性的資訊傳遞關係。 本研究利用Johansen共整合檢定,發現臺灣股價指數現貨、近月期與近季期指數期貨市場兩兩間存在著長期穩定的均衡關係。就長期而言,透過誤差修正項係數發現為達到均衡現貨與近季期指數期貨價格關係,是同時透過現貨與近季期指數期貨價格變動來完成,但是均衡現貨與近月期指數期貨價格關係主要是透過近月期指數期貨價格變動來完成,而不是透過現貨價格變動來完成。就短期而言,近月期與近季期指數期貨皆對現貨並沒有扮演價格發現功能,反而是現貨對本身及近月期指數期貨具有價格領先功能。此外,現貨、與近月期與近季期指數期貨報酬皆存在週六效果。 臺灣股價指數現貨與近月期期貨市場間除了存在著同期相關外,彼此之間更存在著跨市場波動性外溢,即兩市場間存在著波動性反饋,而現貨價格非預期標準化衝擊對近季期期貨也產生跨市場波動性外溢,近季期期貨則對現貨則不產生跨市場波動性不對稱。 |
英文摘要 | This paper is to investigate the volatility asymmetry and cross-market volatility spillovers among the spot, nearby-month and nearby-quarter stock index futures markets traded on TFEX. A multivariate EC-EGARCH(1,1) model with error correct items is used to study the information transmission of price and price volatility among these markets. The Johansen cointegration test reveals a long-run equilibrium relationship between the pair nonstationary price series. To maintain the long-run equilibrium price relation between spot and nearby-quarter futures markets could be completed by the spot and nearby-quarter futures price changes each other based on the coefficient estimates of error correct items, but the long-run equilibrium price relation between spot and nearby-month futures markets could be only completed by nearby-month future price changes. The nearby-month and nearby-quarter futures market didn’t play the price discovery role to the spot market; contrarily spot market leads temporarily to the nearby-month, nearby-quarter futures market and itself. Additionally, Each market itself has weekend effect. It has contemporary correlation as well as mutually cross-market volatility spillovers between the spot and nearby-month futures markets, i.e., exists volatility feedback, and the unexpected standardized innovation of the spot price shows a cross-market volatility spillovers to the nearby-quarter futures market, but the unexpected standardized innovation of the nearby-quarter price didn’t show it to the spot market. The cross-market volatility spillovers among the Taiwan spot, nearby-month and nearby-quarter stock index futures markets is first found in the literature. |
本系統中英文摘要資訊取自各篇刊載內容。