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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
書刊名：東吳經濟商學學報
作者：杜化宇／王凱蒂
作者(外文)：Tu, Anthony H.／Wang, Kate
出版日期：2003
卷期：43
頁次：頁41-78
主題關鍵詞：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
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:42
  • 點閱點閱:19
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。
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.
期刊論文
1.黃玉娟、徐守德(19970000)。臺股指數現貨與期貨市場價格動態關聯性之研究。證券市場發展，9(3)=35，1-28。new window  延伸查詢new window
2.Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies，1(1)，3-40。  new window
3.Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The Temporal Price Relationship between S&P 500 Futures and S&P Index。Journal of Finance，42(5)，1309-1329。  new window
4.Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies，5(1)，123-152。  new window
5.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
6.Abhyankar, Abhay H.(1995)。Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets。The Journal of Futures Markets，15(4)，457-488。  new window
7.French, Kenneth R.、Roll, Richard(1986)。Stock Return Variances: The Arrival of Information and the Reaction of Traders。Journal of Financial Economics，17(1)，5-26。  new window
8.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society，37(3)，424-438。  new window
9.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society，49(4)，1057-1072。  new window
10.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
11.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
12.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
學位論文
1.錢怡成(2002)。股價指數期貨與現貨價格關聯性之研究(碩士論文)。南華大學。  延伸查詢new window
2.劉廷麟(2001)。台股指數期貨與摩根台股指數期貨價格發現能力之探討(碩士論文)。淡江大學，台北縣。  延伸查詢new window
3.吳易欣(1998)。股價指數期貨與現貨之關聯性研究--新加坡摩根台股指數期貨實證分析(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.Enders, Walter(1995)。Applied Econometric Time Series。John Wiley & Sons, Inc.。  new window
其他
1.馬黛及廖怡玲(2000)。交易時間，資訊傳遞與股市績效：台灣股市隔週休二日之實證。  延伸查詢new window
2.賴瑞芬(1997)。台股指數現貨與期貨日内價格關係之研究。  延伸查詢new window
3.劉建杉(1999)。台股指數現貨與期貨及期貨市場間關聯性之研究。  延伸查詢new window
4.劉珍意(2000)。本土台股期貨與台股加權指數領先與落後關係之探討。  延伸查詢new window
5.Cheung, Y. W. and L. K. Ng(1990)。The Dynamics of S&P500 Index and S&P 500 Futures Intraday Price Volatilities。  new window
6.Cho,Jin-Wan and M. Krishman(2000)。Prices as Aggregators of Private Information: Evidence from S&P500 Futures Data。  new window
7.Doldado, J., T. Jenkinson, and S. Sosvilla-Rivero(1990)。Cointegration and Unit Roots。  new window
8.Fleming, J., B. Ostdiek, and R. E. Whaley(1996)。Trading Costs and Relative Rates of Price Discovery in Stock, Futures and Options Markets。  new window
9.Foster, F. D. and S. Viswanathan(1990)。A Theory of the Intraday Variations in Volume, Variance, and Trading Costs in Securities Markets。  new window
10.Herbst, A, F., J. P. McCormack, and E. N. West(1987)。Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts。  new window
11.Houston, J. F and M. D. Ryngaert(1992)。The Link between Trading Time and Market Volatility。  new window
12.Kim, M., A. C. Szakmary, and T. V, Schwarz(1999)。Trading Costs and Price Discovery Across Stock Index Futures and Cash Markets。  new window
13.Kolb, R. W.(1997)。Understanding Futures Markets，Oxford：Blackwell。  new window
14.Pizzi, M. A., A. J. Economopoulos, and H. M. O'Neill(1998)。An Examination of the Relationship between Stock Index Cash and Futures Markets: A Cointegration Approach。  new window
15.Stoll, H. R. and R. E. Whaley(1990)。The Dynamics of Stock and Stock Index Futures Returns。  new window
 
 
 
 
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