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題名：臺灣股價指數期貨與現貨市場資訊傳遞及價格波動性之研究--雙元 EGARCH-X 模式與介入模式之應用
書刊名：管理評論
作者：張瓊嬌／古永嘉 引用關係
作者(外文)：Chang, Chiung-chiao／Goo, Yeong-Jia
出版日期：2003
卷期：22:1
頁次：頁53-74
主題關鍵詞：波動性不對稱；跨市場波動；波動性外溢；EGARCH-X模型；介入模式；Volatility asymmetry；Corss-market volatility；Volatility spillovers；EGARCH-X model；Intervention analysis
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(4) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:4
  • 共同引用共同引用:51
  • 點閱點閱:19
本研究利用EC-EGARCH(1,1)與EGARCH(1,1)-X模式以檢視台灣股價指數期貨與現貨兩市場間價格之動態關係，研究期間為87年7月21日至90年8月31日。研究結果顯示即使考量TAIFEX調降交易稅之結構性改變，兩市場價格仍具有共整合關係。同時研究結果顯示誤差修正項對於期貨條件均值與兩市場之條件變異數具有很高的解釋能力，此意味著若忽略誤差修正項，模型將可能為－誤設模型。兩市場波動性的分析，EC-EGARCH(1,1)模型顯示，若僅考慮誤差修正項對於條件均值的影響，現貨市場本身存在顯著波動不對稱性，資訊的傳遞亦由現貨市場傳遞至期貨市場。另外兩市場皆存在顯著的波動持久性現象，且期貨市場波動持久性比現貨市場長。EGARCH (1,1)-X模型顯示，誤差修正項對於兩市場波動性有顯著的解釋力，同時會增進市場資訊的流通，市場波動由單向改為雙向，除了由現貨市場傳遞至期貨市場外，亦會由期貨市場傳遞至現貨市場，且前一方向較為強烈。最後介入模式分析顯示，TAIFEX調降交易稅的政策增加了期貨與現貨的同期相關性，但不影響跨市場波動外溢效果、符號效果與兩市場波動的持久性。
This paper investigates the dynamic relationship between the spot market and the stock index futures market in TAIFEX, where the futures market has experienced a major structural event due to the transaction tax reduction. We extend the EC-EGARCH(1,1) model to a bivariate EGARCH(1,1)-X model, by including a cointegrating residual as an explanatory variable for both the conditional mean and the conditional variance. Results reveal both markets are cointegrated. The futures conditional mean returns and both markets' conditional variances are significantly influenced by the long-run equilibrium relationship, indicating that the cointegrating residual is an important variable in the dynamic relationships between markets. When considering the cointegrating residual in conditional variance, and the information flows change from one-way direction to two-way direction, i.e., exist cross-market volatility spillover. The volatility of spot market exhibits asymmetric behavior to past standardized innovations. An intervention analysis reveals that correlation coefficients have shifted after the transaction tax reduction by the TAIFEX.
期刊論文
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14.莊忠柱(20010600)。現貨、近月期與近季期股價指數期貨市場間價格與價格波動性的資訊傳遞：臺灣的早期經驗。管理學報，18(2)，311-332。new window  延伸查詢new window
15.Mackinlay, A. C.、Ramaswamy, K.(1988)。Index-futures arbitrage and the behavior of stock index futures prices: some preliminary evidence。The Journal of Futures Markets，1(2)，137-158。  new window
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19.Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets，13(7)，711-742。  new window
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21.Gregory, A. W.、Hansen, B. E.(1996)。Residual-based tests for cointegration in models with regime shifts。Journal of Econometrics，70(1)，99-126。  new window
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23.Christie, A. A.(1982)。The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects。Journal of Financial Economics，10(4)，407-432。  new window
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25.Koutmos, Gregory、Booth, G. Geoffrey(1995)。Asymmetric Volatility Transmission in International Stock Markets。Journal of International Money and Finance，14(6)，747-762。  new window
26.Engle, Robert F.、Bollerslev, Tim(1986)。Modelling the Persistence of Conditional Variances。Econometric Reviews，5(1)，1-50。  new window
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28.Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy，96(1)，116-131。  new window
29.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。  new window
30.Chan, Kalok、Chan, K. C.、Karolyi, G. Andrew(1991)。Intraday Volatility in the Stock Index and Stock Index Futures Markets。The Review of Financial Studies，4(4)，657-684。  new window
31.黃營杉、古永嘉、蔡垂君(20010900)。緩長記憶模式應用於期貨與現貨領先--落後關係之研究：以臺灣股價指數期貨及摩根臺灣股價指數期貨為例。輔仁管理評論，8(2)，73-115。new window  延伸查詢new window
32.Perron, Pierre(1989)。The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis。Econometrica: Journal of the Econometric Society，57(6)，1361-1401。  new window
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35.Pizzi, M. A.、Economopoulos, A. J.、O'Nell, H. M.(1998)。An Examination of the Relationship between Stock Index Cash and Futures Market: A Cointegration Approach。The Journal of Futures Markets，18(3)，297-305。  new window
36.Choudhry, T.(1997)。Short-run deviations and volatility in spot and futures stock returns: Evidence from Australia, Hong Kong and Japan。The Journal of Futures Markets，17，689-705。  new window
學位論文
1.楊崇斌(1998)。摩根台股指數期貨與現貨報酬之關聯性分析(碩士論文)。輔仁大學。  延伸查詢new window
2.黃玉娟(1999)。臺股指數期貨之定價及其與現貨間動態關聯之研究，0。new window  延伸查詢new window
圖書
1.Herbst, A. F.(1986)。Commodity Futures Markets, Methods of Analysis, and Management of Risk。Commodity Futures Markets, Methods of Analysis, and Management of Risk。New York, NY。  new window
其他
1.Kraft, D. F.，Engle, R. F.(1983)。Autoregressive Conditional Heteroskedasticity in Multiple Time Series Models，San Diego。  new window
圖書論文
1.Silber, W.(1985)。The Economic Role of Financial Futures。Futures Markets: Their Economic Role。Washington, DC：American Enterprise Institute for Public Policy Research。  new window
 
 
 
 
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