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題名：以DCC模型探討股價指數期貨與現貨
作者：凃惠娟
作者(外文)：HUI-CHUAN TU
校院名稱：大葉大學
系所名稱：管理研究所博士班
指導教授：蔡垂君
學位類別：博士
出版日期：2008
主題關鍵詞：DCC-GARCH模型；基差；不對稱效果；風險值；DCC-GARCH model；basis；asymmetric effect；VaR
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金融市場全球化的來臨提供了全球投資人更多的市場投資獲利機會；然而，自由化與國際化的形成讓金融市場間交互影響關係愈來愈高，也因此彼此間常會造成錯綜複雜的交互影響關係。本論文觀察法國CAC40、英國FTSE100、日經NIKKEI225、美國E-MINI S&P500、德國DAX、韓國Kospi200等六個國家的股價指數期貨與現貨市場，並將該等市場資訊導入Engle (2002)的DCC模型，並納入基差與不對稱的因素於模型中，以探討前一期正基差與負基差對股價指數期貨與現貨的影響。
經實證分析結果顯示，股價指數期貨與現貨市場報酬率間相互影響之程度普遍呈現著高度相關，數列間的共變異關係則為非固定型態。整體而言，股價指數期貨與現貨市場相互影響的持續性皆很高；在不對稱基差對變異數的影響方面，除E-MINI S&P 500外，其餘國家的股價指數期貨與現貨市場皆有不對稱現象的存在，而且正基差對股價指數期貨與現貨變異數所造成的波動影響明顯大於負基差產生的影響。此外，從不同實證模型中探討風險值穿透次數、穿透比率與LR指標時，則可以發現不對稱DCC-GARCH模型比對稱DCC-GARCH模型表現為佳。
The globalization of financial markets offers investors more opportunities to cre-ate profits; but such liberalization and internationalization have also resulted that the in-teraction relationships among financial markets have become more and more complex and risky at the same time. In this study, we collect market data of index futures and spot on CAC 40, FTSE 100, NIKKE 1225, E-MINI S&P 500, DAX and Kospi200, ap-ply them into the DCC model by Engle (2002), and then include basis and asymmetric effect into the model so as to research how the previous on-period positive basis and negative basis influence index futures and spot.
From the empirical study, we find that the returns of index futures and spot al-ways present high correlation, and the covariance between the two markets appears un-stable. In general, the persistence of interaction between index futures and spot is all time long, and the asymmetric effect usually exists between index futures and spot in the markets observed above except for E-MINI S&P 500. Moreover, it is obvious that the positive basis gains more powerful than negative basis when the fluctuation of the basis affects index futures and spot. Besides, we also find that asymmetric DCC-GARCH model outperforms DCC-GARCH model when conducting the numbers of failures test, proportion of failures test and LR test.
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李命志(2003)，台灣股價指數期貨最適避險策略之研究，企業管理學報，58，85-104。new window
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林楚雄，陳宜玫(2002)，台灣股票市場風險值估測模型之實證研究，管理學報，19(4)，737-758。new window
邱建良，魏志良，吳佩珊，邱哲修(2004)，TAIFEX與MSCI臺股指數期貨與現貨直接避險策略之研究，商管科技季刊 ， 5(2) ，169-184。new window
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