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題 名 | 臺灣股價指數與指數期貨跨市場價量訊息傳遞關係之實證研究--價格發現與價量關係=Information Transmission between Taiwan Stock Index and Index Futures: Price Discovery and Price-Volume Relationship |
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作 者 | 蔡垂君; 李存修; | 書刊名 | 中華管理評論 |
卷 期 | 7:2 2004.04[民93.04] |
頁 次 | 頁46-62 |
分類號 | 561.76 |
關鍵詞 | 臺指期貨; 價格發現功能; 價量關係; 領先/落後關係; 連續訊息到達模式; 訊息傳遞; 非對稱性波動; Taiwan stock index futures; Price discovery function; Price-volume relationship; Lead-lag relationship; SIMA; Information transmission; Asymmetric volatility; VECM-Bi-EGARCH; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究以VECM-Bi-EGARCH為實證模式,針對近期台指期貨與現貨間訊息傳遞關係進行實證。其中,在期貨價格發現功能之實證研究上,獲得以下三項研究結果:(1)台指期貨日內每五分鐘、日內與隔夜報酬領先現貨報酬,期間最長為日內10分鐘及日間2天。(2)台指期貨報酬具有壞消息時會引起現貨報酬產生較大波動。(3)台指期貨與現貨彼此間未預期因素會造成雙方波動率升高。而在價量關係之實證研究上,獲得以下四項研究結果:(1)期貨與現貨日內每五分鐘交易量表現均領先其報酬10分鐘,價量關係具有量先價行之遞延關係。(2)結合價格發現功能所得之結果,可推知期貨與現貨跨市場價量關係是:期貨日內每五分鐘交易量領先期貨日內每五分鐘報酬、而期貨日內每五分鐘報酬又領先現貨日內每五分鐘報酬之遞延性。(3)台指期貨與現貨交易量具有壞消息時,較易造成報酬波動率升高。(4)台指期貨與現貨交易量未預期因素亦較易造成報酬波動率升高。 |
英文摘要 | We apply VECM-Bi-EGARCH model to investigate the information transmission between Taiwan stock market and stock index futures market. Three major findings obtain regarding the price discovery function: (1) Taiwan stock index futures leads stock market by ten minutes to two days when five-minute data, intraday and overnight data are tested. (2) Negative shocks on index futures markets result in higher volatility in spot market. (3) Unexpected shocks on the spot market induce higher volatility in the futures market, and vice versa. As to price-volume relatioship, there are four major findings: (1) Five-minute trading volume leads price by as long as ten minutes both spot and futures market alike. (2) The immediate inference would be that five-minute futures trading volume leads futures price, which in turn leads five-minute spot return. (3) Bad news occurred in both spot and futures markets tend to enlarge volatility of both markets. (4) Finally, unexpected changes in the trading volume of spot and futures market closely interact with the returns of both markets, with most significant interaction found between trading volume and return volatility. |
本系統中英文摘要資訊取自各篇刊載內容。