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題名 | TAIFEX及SIMEX臺股指數期貨之非線性與混沌現象之檢定=Testing Nonlinearities and Chaos in TAIFEX and SIMEX Taiwan Stock Index Futures |
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作者 | 許溪南; 王懷賢; Hsu, Hsinan; Wang, Hwaishan; |
期刊 | 成功大學學報 |
出版日期 | 20011100 |
卷期 | 36(人文.社會篇) 民90.11 |
頁次 | 頁111-134 |
分類號 | 561.76 |
語文 | chi |
關鍵詞 | 臺股指數期貨; 混沌現象; 非線性; BDS檢定; 相關維度分析; Taiwan stock index futures; Chaos; Nonlinearity; BDS test; Correlation dimension analysis; |
中文摘要 | TAIFEX及SIMEX台股指數期貨為兩種新近上市的期貨商品,它們分別以不同成分股票的股價指數為標的物,且在不同的交易所交易,它們的價格行為自然受到各界的關注。本文旨在探討這兩種台股指數期貨價格是否為非線性結構及具有混沌現象。本文利用BDS檢定及相關維度分析從事實證研究。實證資料顯示TAIFEX及SIMEX台股指數期貨皆不符合常態分配且拒絕I.I.D.假設。再由相關維度分析可推論TAIFEX及SIMEX台股指數期貨皆為非線性結構,但並無證據顯示為確定性混沌現象,故本文認為台股指數期貨之價格序列並不符合隨機漫步。由於兩種台股指數期貨均是非線性結構,應該能利用適當的非線性模式加以有效的配適,但GARCH(1,1)並不能有效的解釋台股指數期貨。對於此結果,本文亦討論其在研究上與經濟上的意涵。 |
英文摘要 | Both the TAIFEX and the SIMEX Taiwan Stock Index futures are newly traded futures. Interestingly, their underlying indices are based on different component stocks listed in the TSE. Hence, their price behavior receives much attention from academic and practical workers. The purpose of this paper is to investigate nonlinearities and chaos of the prices of both futures. The BDS test and the correlation dimension analysis are used for testing. Results indicate that the prices of both futures are neither normally distributed nor i.i.d. Moreover, from the correlation dimension analysis, we conclude that the prices of both futures are nonlinear, but not chaos. Therefore, both price series are not random. Due to the nonlinear structure, both prices of the two futures should be fitted effectively by some nonlinear model; however, we find that GARCH(1,1) cannot effectively explain the price behavior of both futures. Finally, the implications of these results are discussed. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。