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題名:臺灣50指數ETF價格發現之研究
書刊名:華人經濟研究
作者:何文榮曾見文
出版日期:2007
卷期:5:1
頁次:頁87-107
主題關鍵詞:指數股票型基金共整合誤差修正模型衝擊反應函數Exchange-traded fundsETFCointegrationVector error correction modelVECMImpulse response function
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(2) 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:2
  • 共同引用共同引用:53
  • 點閱點閱:67
本研究以共整合與誤差修正模型,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能力領先或落後指標,研究期間為2003年7月1日至2005年6月28日的每日收盤價資料。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次之,指數期貨最差。(3)雖然台灣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間只存在單向關係。(4)就衝擊反應函數觀察,台灣50指數受新資訊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較強,亦即台灣50指數為價格變動的領先指標。本研究認為台灣證券交易市場仍然不夠成熟,當TTT市場更為成熟時,其價格發現的能力仍應該顯著較整體現貨市場強,期待在其成交量持續放大時,台灣首支指數股票型基金TTT有增進價格發現能力的空間。
This paper uses cointegration test and error-correction model to test long run Equilibrium among the Taiwan 50 index, index futures and ETF, and explore price leading or lagging indicators. We use daily closing index prices data between July 1,2003 and June 18,2005. The findings of this study can be summarized as follows: (1) Taiwan 50 index, index futures and ETF exist a cointegration relationship and long run equilibrium; (2) Estimated coefficients of the vector error correction model suggest that Taiwan 50 index is the best price discovery tool, followed by ETF and futures; (3) The results of Granger causality model indicate that Taiwan 50 index and futures have dual relationship, but Taiwan 50 index and ETF only exist one-direction relationship; (4) Impulse response function reveals that Taiwan 50 index is affected more on new information than that of index futures and ETF. Variance Decomposition further shows that Taiwan 50 index work better in Variance Decomposition. The results of findings may suggest that Taiwan 50 index is a better price leading indicator.
期刊論文
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2.賴藝文、李春安(20060600)。臺灣股票市場導入指數股票型基金後價格發現之研究。交大管理學報,26(1),119-141。new window  延伸查詢new window
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5.Kim, M.、Szakmary, A. C.、Schwarz, T. V.(1999)。Trading Costs and Price Discovery across Stock Index Futures, and Cash Markets。The Journal of Futures Markets,19(4),475-489。  new window
6.Zhong, Maosen、Darrat, Ali F.、Otero, Rafael(2004)。Price discovery and volatility spillovers in index fitires markets: Some evidence from Mexico。Journal of banking & finance,28,3037-3054。  new window
7.Sargan, J. D.(1961)。Lags and the stability of dynamic systems: a reply。Econometrica,29,670-673。  new window
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9.李存修、蔡垂君(2003)。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。中華管理評論國際學報,6(5),63-79。  延伸查詢new window
10.黃玉娟、黃珮鈴、梁心怡、黃詩雅(20040300)。臺灣股價指數現貨與期貨價格領先落後關係之探討--以TAIFEX與SGX-DT為例。輔仁管理評論,11(1),125-152。new window  延伸查詢new window
11.Gonzalo, J.、Granger, C. W. J.(1995)。Estimation of common long-memory components in cointegrated systems。Journal of Business and Economic Statistics,13,27-35。  new window
12.莊忠柱(20001000)。股價指數期貨與現貨的波動性外溢:臺灣的實證。證券市場發展,12(3)=47,111-139。new window  延伸查詢new window
13.Pizzi, M. A.、Economopoulos, A. J.、O'Neill, H. M.(1998)。An examination of the relationship between stock index cash and futures markets: A cointegration approach。Journal of Futures Markets,18(3),297-305。  new window
14.徐清俊、陳龍志(20051200)。臺灣50指數、期貨與ETF價格發現之研究。長榮大學學報,9(2),61-75。new window  延伸查詢new window
15.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。Journal of Finance,50,1175-1199。  new window
16.Quan, J.(1992)。Two-Step Testing Procedure for Price Discovery Role of Futures Prices。Journal of Futures Markets,12(2),139-149。  new window
17.Ghosh, A.(1993)。Cointegration and Error Correction Models: Intertemporal Causality between Index and Future Prices。The Journal of Futures Markets,13(2),193-198。  new window
18.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
19.Sims, Christopher A.(1980)。Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered。American Economic Review,70(2),250-257。  new window
20.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
21.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
22.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
23.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
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25.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。  new window
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會議論文
1.王凱立、李昀薇(2004)。台股指數現貨、期貨與選擇權市場交互動態關聯之探討。2005年行為財務學理論與實證研討會。  延伸查詢new window
圖書
1.Baneijee, A.、Dolado, J. J.、Galbraith, J. W.、Hendry, D. F.(1993)。Co-Integration, Error Correction, and the Econometric Analysis of Non-stationary Data。Oxford:Oxford University Press。  new window
2.Enders, Walter(2004)。Applied Econometric Time Series。New York:John Wiley & Sons。  new window
圖書論文
1.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
 
 
 
 
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