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題 名 | 臺股指數現貨與期貨動態關係之研究=Dynamic Relation with Taiwan Stock Index Futures and Cash Indexes |
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作 者 | 涂惠娟; | 書刊名 | 中州學報 |
卷 期 | 26 2007.12[民96.12] |
頁 次 | 頁105-116 |
分類號 | 561.76 |
關鍵詞 | 持有成本模型; 門檻共整合; 門檻向量誤差模型; 套利; Cost-of-carry model; Threshold cointegration; Threshold vector error-correction model; Arbitrage opportunities; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究以台股指數期貨與現貨為研究之標的,利用持有成本模型推導期貨理論價格,並以Hansen and Seo (2002) 所提出的門檻共整合觀念及門檻向量誤差模型來分析台股指數期貨與現貨之長期均衡與短期動態關係。本文主要不同之處在於以SupLR與拔靴法來檢定門檻效果。實證結果顯示,台股指數期貨與現貨之非線性之門檻效果是存在的,也就是套利空間存在於二個區間,但兩者移向均衡之速度均呈現緩慢現象。在台股指數期貨與現貨之短期動態關係方面,顯示台股指數期貨市場會引導現貨市場。 |
英文摘要 | This study examines cost-of-carry futures pricing model to find theory prices of futures contract, based on the data of Taiwan Indexes and Taiwan Index Futures Contracts. Meanwhile, this study investigates the long-run and short-run relationships between index futures and cash indexes by using threshold cointegration and threshold vector error-correction models, which developed by Hansen and Seo (2002). The main difference from other papers is that we use SupLR and bootstraping test for the presence of a threshold for 2 regimes. We find that the nonlinear of thresholds are obvious in Taiwan stock index futures and cash indexes. About short-run relationships, we also find Taiwan stock index futures seem to lead cash indexes. |
本系統中英文摘要資訊取自各篇刊載內容。