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題名:臺灣50指數、期貨與ETF價格發現之研究
書刊名:長榮大學學報
作者:徐清俊陳龍志
作者(外文):Hsu, Ching-junChen, Lung-chih
出版日期:2005
卷期:9:2
頁次:頁61-75
主題關鍵詞:指數股票型基金價格發現共整合誤差修正模型衝擊反應函數Exchange-traded fundsETFPrice discoveryCointegrationVector error correction modelVECMImpulse response function
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:63
  • 點閱點閱:54
本文以共整合理論與誤差修正模型,來探討台灣50指數、台灣50指數期貨與ETF間,是否存在長期穩定之均衡關係,進而探討價格發現的過程,實證結果顯示:(1)三種變數間存在共整合關係,意味著已達長期穩定之均衡關係。(2)在價格發現能力以台灣50指數最佳,ETF市場次之,台灣50指數期貨最差。(3)台灣50指數與台灣50指數期貨之間存在雙向的回饋關係,但是台灣50指數與ETF間只存在單向因果關係。(4)就衝擊反應函數觀察,台灣50指數受新訊息影響所產生的衝擊大於ETF與台灣50指數期貨所導致的衝擊。而預測誤差變異數分解進一步發現,台灣50指數對預測誤差變異數的解釋能力稍強,亦即台灣50指數為價格變動的領先指標。 此結論或野i以提供投資者參考,可將台灣50指數當成領先指標,觀察台灣50指數價格變動,作為投資操作或避險套利的資訊。
This paper uses cointegration test and error-correction model to test the long run equilibrium between the Taiwan 50 index, index futures and ETF, and price discovery process as well. The conclusion can be summarized as follows: (1) Taiwan 50 index, index futures and ETF exist cointegration relationship and long run equilibrium. (2) Estimated coefficients of the vector error correction model suggest that price adjustment takes place in the index futures and ETF market, but not in the Taiwan 50 index. Results indicate that the Taiwan 50 index has better function in price discovery process. (3) By Granger causality model, Taiwan 50 index and ETF are only one-directional relationship. (4) In impulse response function, Taiwan 50 index has more innovation effects than the index futures and ETF.
期刊論文
1.Roope, M.、Zurbruegg, R.(2002)。The Intra-day Price Discovery Process between the Singapore Exchange and Taiwan Futures Exchange。The Journal of Futures Markets,22(3),219-240。  new window
2.Hasbrouck, Joel(2003)。Intraday price formation in U.S. equity index markets。The Journal of Finance,58(6),2375-2399。  new window
3.Booth, G. G.、So, R. W.、Tse, Y.(1999)。Price Discovery in the German Equity Index Derivatives Markets。The Journal of Futures Markets,19(6),619-643。  new window
4.Chu, Q. C.、Hsieh, Wen-liang G.、Tse, Y.(1999)。Price discovery on the S & P 500 index markets: An analysis of spot index, index futures, and SPDRs。International Review of Financial Analysis,8,21-34。  new window
5.Ghosh, Asim(1995)。Cointegration and error correction models: Intertemporal causality between index and futures prices。Journal of Futures Markets,13(2),193-198。  new window
6.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
7.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
8.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
9.謝文良(20021200)。價格發現、資訊傳遞、與市場整合--臺股期貨市場之研究。財務金融學刊,10(3),1-31。new window  延伸查詢new window
10.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
11.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
12.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
學位論文
1.洪惠娟(2004)。S&P 500指數、期貨與ETF價格發現之研究(碩士論文)。淡江大學,臺北縣。  延伸查詢new window
2.賴瑞芬(1997)。台股指數期貨與現貨日內價格關係之研究(碩士論文)。國立台灣大學,台北市。  延伸查詢new window
3.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
 
 
 
 
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