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引文資料
題名:
國安基金以期貨維護現貨策略之分析
書刊名:
管理學報
作者:
黃柏凱
/
臧大年
/
何加政
/
張元晨
作者(外文):
Huang, Po-kai
/
Tzang, Dah-nein
/
Ho, Chia-cheng
/
Chang, Yuan-chen
出版日期:
2006
卷期:
23:1
頁次:
頁125-147
主題關鍵詞:
國安基金
;
定價誤差
;
臺股期貨
;
National financial stabilization fund
;
Mispricing
;
TAIEX futures
原始連結:
連回原系統網址
相關次數:
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:
2
共同引用:
93
點閱:43
本研究剖析民國89年10月份國安基金首次以臺股期貨進行護盤的合理性,並根據國安基金實際交易臺股期貨的日內資料,利用向量自我迴歸模型(VAR),探討其對市場價格及定價誤差的影響。實證顯示國安基金在進行當時顯然達成拉抬期貨,造成超額正價差的目的,但是同時間的現貸指數並未因國安基金進場所造成的正向套利空間的引導而上升。所以本研究認為國安基金干預市場雖然在短期之內有穩定市場的功能,但並未達到如香港行政當局拉抬期貨市場而造成現貨市場上揚的效果,其可能的原因為當時我國期貨市場規模較不對稱,期貨價格還不具備市場領先指標的功能,同時機構投資者的成效金額在股市所佔比例不高,造成國安基金無法用拉抬期貨價格產生正向套利空間進而達到穩定現貨指數的目的。
以文找文
The National Financial Stabilization Fund (NFSF) was established in February 2000 to stabilize the financial markets in Taiwan. In order to prop up the Taiwan Stock Exchange Capitalization Weighted Index (TAIEX), the NFSF first intervened in the TAIEX Futures market in October 2000. There is no research evaluating the reasons why the NFSF intervened in the stock index futures market or whether its intervention strategy was effective to keep the TAIEX from panic selling pressure. Using intraday NFSF trading data obtained from the Taiwan Futures Exchange (TAIFEX), this paper investigates the intervention effectiveness by the NFSF on Taiwan stock index futures markets. We also examine whether the NFSF achieved its objectiveness of stabilizing the stock index through intervene in the stock index futures market. Finally, we explore the reasons why intervention by the NFSF did not have a long-run stabilization effect on the stock market. Government interventions in the foreign exchange and interest rates markets are often seen, and there is much empirical work on the effectiveness of these interventions. Except for the intervention by Hong Kong Monetary Authority (HKMA) during the Asian financial crisis period, prior studies focus on government intervention in the stock or futures market is spare. The HKMA launched a series of intervention operations between August 14-28, 1998 to pop up the Hang Seng Index (HSI). These intervention programs involved buying 33 constituent stocks of the Hang Seng Index, large numbers of HSI futures contracts, and Hong Kong dollars in the foreign exchange market. Draper and Fung (2003) showed that there were frequent overpricing of futures during periods of HKMA intervention, but they did not provide explanations on why overpricing of HSI futures contracts is useful to stabilize the Hong Kong's stock index. This study tried to explore the impact of NFSF intervention using Taiwan data. We also provide suggestions for policy makers on how to design a more effective way to pop up the stock market through futures market interventions. We find that there are three major reasons why overpricing in the futures market is helpful to stabilize the spot stock index. First, the government can spend less money to intervention in the futures market than in the stock market because the leverage in the futures market is much higher. Margins requirement in the futures market is less than 15% of the contract size, so intervention in the futures market should be more effective. Second, one of the functions of the futures market is price discovery, that is, the futures market may respond to new information much faster than the spot market. Chan (1992) finds evidence that futures prices lead spot index prices. Hsieh (2002) indicates that the TAIEX futures price appears to be more informative than the spot prices. Therefore, if NFSF successfully boost the TAIEX futures index, it could potentially alter traders' expectation and stabilize the spot index level. Third, by propping up the futures price, NFSF can create excess overpricing in the futures market and invite cash-and-carry arbitrageur to enter the market. By taking long positions of the underlying stocks and short positions in the futures market, arbitrageurs can help to alleviate the TAIEX panic selling pressure. Consistent with the findings by Draper and Fung (2003), we find prevalent excess overpricing of TAIEX futures contacts during periods of government intervention. The excess overpricing persists at least one trading day. It shows that interventions by the NFSF effectively boosted prices in the futures market and resulted in a positive spread between the stock and futures markets in the short run. Nevertheless, the stock index level was lower after the interventions. We conclude that the reasons for these unsustainable intervention effects are due to the facts that trading volume in Taiwan' futures market was thin and transactions of institutional investors, who have ability to arbitrage between spot and futures markets, were small during the sample periods. Hsieh (2002) shows that TAIEX futures contracts lead the stock market when the futures trading volumes are larger. During the sample period, the volumes of TAIEX futures were about 7% to 15% of the TAIEX stock market. As such, TAIEX futures price was not considered a leading indicator for investors in the stock market during the sample period. The proportion of institutional investors' trading volume in the spot market was also lower than the amount of individual investors. Therefore, our results show that even when the NFSF effectively boosted the TAIEX futures price and widened the cash-and-carry arbitrage opportunities, the NFSF could not prevent the TAIEX from further declining because of small arbitrage-related trading volumes results from institutional investors' trading in the spot market.
以文找文
期刊論文
1.
劉玉珍、游智賢(2002)。On the Effect of Stock Stabilization Fund: A Case of Taiwan。Review of Pacific Basin Financial Markets and Policies,5(1),93-109。
2.
Yadav, Pradeep K.、Pope, Peter F.(1990)。Stock Index Futures Arbitrage: International Evidence。The Journal of Futures Markets,10(6),573-603。
3.
Figlewski, S.(1984)。Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium。Financial Analysts Journal,40,43-47。
4.
Modest, D. M.、Sundaresan, M.(1983)。The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence。Journal of Futures Markets,3(1),15-41。
5.
Klemkosky, R. C.、Lee, J. H.(1991)。The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage。Journal of Futures Markets,11(3),291-311。
6.
Rhee, S. Ghon、Chang, Rosita P.(1993)。The Microstructure of Asian Equity Markets。Journal of Financial Services Research,6(4),437-454。
7.
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。
延伸查詢
8.
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。
9.
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。
10.
楊踐為(20010800)。The Interrelationships among Returns, Institutional Investors' Buy-Sell Difference and Trading Strategy in Taiwan's OTC Market。中國財務學刊,9(2),67-89。
11.
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。
延伸查詢
12.
黃柏凱、張元晨、臧大年(20040700)。影響股價指數期貨定價誤差因素之研究--以臺股期貨為例。證券市場發展,16(2)=62,81-114。
延伸查詢
13.
Gay, G. D.、Jung, D. Y.(1999)。A Further Look at Transaction Costs, Short Sale Restrictions, and Futures Market Efficiency: The Case of Korean Stock Index Futures。The Journal of Futures Markets,19(2),153-174。
14.
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。
15.
馬黛、詹傑仲、胡德中(20021200)。政府干預股市的理論與實證分析:臺灣股市的護盤實例。財務金融學刊,10(3),107-145。
延伸查詢
16.
Yadav, Pradeep K.、Pope, Peter F.(1994)。Stock index futures mispricing: profit opportunities or risk premia?。Journal of Banking & Finance,18(5),921-953。
17.
Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。
18.
林文政、臧大年(19960700)。臺灣股指期貨定價與套利實務問題探討。證券市場發展,8(3)=31,1-31。
延伸查詢
19.
黃玉娟、郭照榮、徐守德(19980000)。摩根臺股指數期貨的市場效率與套利機會之研究。證券市場發展季刊,10(3)=39,1-29。
延伸查詢
20.
Bühler, Wolfgang、Kempf, Alexander(1995)。DAX Index Futures: Mispricing and Arbitrage in German Markets。The Journal of Futures Markets,15(7),833-859。
21.
Cheng, Louis T. W.、Fung, Joseph K. W.、Chan, Kam C.(2000)。Pricing Dynamic of Index Options and Index Futures in Hong Kong before and during the Asia Financial Crisis。The Journal of Futures Markets,20(2),145-166。
22.
Chowdhury, Mustafa、Howe, John S.、Lin, Ji-Chai(1993)。The Relation between Aggregate Insider Transactions and Stock Market Returns。Journal of Financial and Quantitative Analysis,28(3),431-437。
23.
Chung, Peter Y.(1991)。A Transaction Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability。The Journal of Finance,46,1791-1809。
24.
Draper, Paul、Fung, Joseph K. W.(2003)。Discretionary Government Intervention and the Mispricing of Index Futures。The Journal of Futures Markets,23(12),1159-1189。
25.
Merrick, John J., Jr.(1987)。Volume Determination in Stock and Stock Index Futures Markets: An Analysis of Arbitrage and Volatility Effects。The Journal of Futures Markets,7(5),483-496。
26.
Moser, James T.(1990)。Public Policy Intervention through Futures Market Operations。The Journal of Futures Markets,10(6),567-571。
27.
Ramchander, Sanjay、Sant, R. Raymond(2002)。The Impact of Federal Reserve Intervention on Exchange Rate Volatility: Evidence from the Futures Markets。Applied Financial Economics,12(4),231-240。
28.
王友珊、鍾惠民(2005)。期交稅調降與國安基金介入對期貨市場效率的影響。臺灣管理學刊,5(1),25-56。
延伸查詢
研究報告
1.
劉維琪、劉玉珍(1996)。穩定基金操作可行性方案之研究。0。
延伸查詢
學位論文
1.
莊金維(1998)。Time-series Properties in Taiwan's Equity Index and Market Intervention Effectiveness,0。
2.
戴婉儀(1997)。The Effect of Government Intervention to Stock Market,0。
3.
姚欣欣(2000)。The Performance Evaluation of Taiwan Stock Stabilization Fund,0。
圖書
1.
Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。
2.
Goodhart, Charles、Lu, Dai(2003)。Intervention to Save Hong Kong: The Authorities' Counter-speculation in Financial Markets。Intervention to Save Hong Kong: The Authorities' Counter-speculation in Financial Markets。Oxford, UK。
3.
李文興(2003)。戰勝外資及大股東:股票、期貨、選擇。戰勝外資及大股東:股票、期貨、選擇。臺北市。
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