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題 名 | 臺股指數期貨日內價格發現與週日效應型態之研究:初期的證據=Intraday Price Discovery and Day-of-the-Week Effects in TAIEX Futures: The Early Evidence |
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作 者 | 杜化宇; 王凱蒂; | 書刊名 | 東吳經濟商學學報 |
卷 期 | 43 2003.12[民92.12] |
頁 次 | 頁41-78 |
分類號 | 561.76 |
關鍵詞 | 期貨的價格發現; 週日效應; 共整合分析; 衝擊反應分析; 變異數分解; Price discovery; Day-of-the-week effect; Cointegration analysis; Impulse response analysis; Variance decomposition; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究探討初期台灣加權股價指數以及其指數期貨間的日內“價格發現"關係與其週日效應型態。使用的研究方法包括共整合檢定,錯誤修正模型,衝擊反應分析與變異數分解等。五分鐘日內資料實證結果得出如下的結論:一、在週內各交易日,我們均發現台股指數期貨與現貨間存在共整合的均衡關係。二、在錯誤修正模型分析中,我們發現期貨在週內各交易日均會往均衡方向移動,但現貨除週休二日的週五外,並沒有往均衡移動的現象,因而出現所謂的“週五效應"。三、在領先落後的關係上,我們在週二至週六的交易上均發現有期貨現貨相互回饋的關係存在,此與大部分國外研究發現期貨領先現貨的單方向結果有所差異。然而,在週一的交易上,現貨領先期貨,但期貨則並未領先現貨。此稱為“週一效應"。此“週日效應"的結果與Foster及Viswanthan (1990) 的理論模型推測一致,其亦支持私有資訊的假說。四、在衝擊反應分析上,期貨所扮演的資訊指標角色在週四時顯的較不重要。週四的現貨對於期貨的衝擊顯的並不敏感。 |
英文摘要 | This paper examines intraday price discovery between the Taiwan Composite Index spot and its nearby futures and the possible "day-of-the-week effects". Using five-minute intervals in the data, we find that (1) There exists cointegration relationship between index spot and its nearly futures in each trading day of a week. (2) 1n the error correction model, the coefficients of speed-of-adjustment exhibit that index futures converge towards the equilibrium relationship in each trading day of a week. However, index spot does not, except Friday, move towards the equilibrium relationship. (3) The Granger causality analysis indicates that bi-directional causation of index spot and index futures exists from Tuesday to Saturday. On Monday, the index spot cause futures, but the index futures do not cause spot. The "Friday effect" and" Monday effect" coincide with the theoretical model developed by Foster and Viswanthan (1990), and also support the "private information hypothesis." (4) 1n the impulse response analysis, spot prices on Thursday are less sensitive to the impulse of futures prices. It implies that information revelation about futures price seems to have a weaker impact on spot prices in the middle of week. |
本系統中英文摘要資訊取自各篇刊載內容。