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題 名 | 期貨市場價格波動與交易量、到期日之關聯性分析=An Analysis or Relationships on the Volatility, Volume and Maturity of Taiwan's Futures Market |
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作 者 | 徐清俊; 王國強; | 書刊名 | 長榮大學學報 |
卷 期 | 9:1 2005.06[民94.06] |
頁 次 | 頁59-77 |
分類號 | 561.76 |
關鍵詞 | 價格波動; 到期期間; GJR-GARCH(1,1)模型; Price volatility; Maturity; GJR-GARCH(1,1)Model; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究針對國內相關期貨市場(台期指、摩台指、電子指及金融指等)價格波動與到期期間、交易量之關聯性作實證研究,期能為券商承做避險時提供一參考依據。GJR-GARCH(1,1)模型之實證結論:(1)國內期貨市場在價格波動上存在有波動群聚的現象,報酬的不對稱性加深了此一波動,表示期貨市場在空頭時期所面臨的風險較高;(2)價格波動將隨到期期間之接近而有下降的趨勢,並不符合Samuelson(1965)所提出之「到期日效果假說」;(3)期貨市場之交易量與價格波動呈現正向關係,符合Clark(1973)所提出的混合分配假說;(4)研究發現國內期貨市場(台期指、電子指及金融指),到期期間比交易量更能作為解釋價格波動的原因,而摩台指與國外期貨市場則與此現象相反,其原因在於國人易將到期日視為雙方交易之公開且重要訊息,而不致有提前平倉之現象;(5)期貨交易量與到期期間呈現反向因果關係,表示隨著到期日之接近,交易量有逐漸縮小之情形。 |
英文摘要 | This paper manipulates the GJR-GARCH(1,1) model to investigate how trading volumes and maturity days would influence the price volatility over Taiwan’s various futures markets (TAIMAX, SINMEX, FITE, FITF.) The major empirical results are presented as followed: 1. The price volatility of Taiwan’s futures markets shows a clustering phenomenon and thereafter the price asymmetry deepens this effect that implies high risks exist in bear market. 2. The price volatility would decline while approaches to maturity and this contradicts with the Samuelson Hypothesis. 3. The results also show positive volatility-volume correlation and match the Clark Hypothesis (Mixture of Distribution). 4. Evidences are found in domestic futures markets (TAIMAX, FITE and FITF) that the maturity other than the volume could better explain the degree of volatility. However, foreign futures market (SINMEX) shows an opposite direction. 5. The trading volumes show negative relations over the maturities and this implies that volume would diminish as approaches to maturity. |
本系統中英文摘要資訊取自各篇刊載內容。