股價指數期貨上市對台股現貨影響之研究

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/20948

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Title:	股價指數期貨上市對台股現貨影響之研究
Other Titles:	The Effect of Stock Index Futures Trading on the Taiwan Index spot market
Authors:	湯翼嘉 Tang, Yi-Jia
Contributors:	財務管理研究所徐清俊 Ching-Jun Hsu
Keywords:	股價指數期貨;台台指;摩台指;一般化自身迴歸異質條件變異數模型 Stock Index Futures;Taiwan Stock Exchange Capitalization Weighted Stock Index;Morgan Stanley Taiwan Stock Index;The Generalized Autoregressive Conditional Heterocedasticity model
Date:	2002
Issue Date:	2015-05-25 15:22:59 (UTC+8)
Abstract:	本研究主要目的在探討摩台指期貨上市(86年1月9日)和台台指期貨上市（87年7月21日）對台灣股票現貨市場之報酬率及成交量變動率的影響。其研究期間為摩台指和台台指上市前250天和上市後500天。本研究主要探討的目的有：一、台指期貨上市後對台股現貨日報酬率之影響。二、台台指期貨上市後對台股現貨日成交量變動率之影響。三、摩台指期貨上市後對台股現貨日報酬率之影響。四、摩台指期貨上市後對台股現貨日成交量變動率之影響。實證研究應用符合股價報酬波動異質特性的GARCH模型，加以檢定各變數對日報酬率和日成交量變動率的影響。其實證結果發現：一、台台指上市後的250個交易日，台股現貨的日報酬率影響是顯著的正向影響。而前一期的台股現貨日報酬率，對台股現貨的日報酬率影響是非常顯著的正向影響。二、在台台指上市後500個交易日，台股現貨的日成交量都有非常顯著的正向影響。而台股現貨前一期的日報酬率，對台股現貨的日成交量有非常顯著的正向影響。台股現貨前一期的日成交量變動率，對台股現貨的日成交量有非常顯著的負向影響。台股現貨的日報酬率，對台股現貨的日成交量變動率有很顯著的負向影響。三、在摩台指上市後500個交易日，台股現貨的日成交量都有非常顯著的正向影響。而前一期的台股現貨日報酬率，對台股現貨的日報酬率有很顯著的正向影響。台股現貨日成交量，對台股現貨日報酬率有非常顯著的正向影響。四、在摩台指上市後的250個交易日，對台股現貨的日成交量變動率的影響較為顯著，前一期的台股現貨日成交量變動率，對於台股現貨之日成交量變動率有非常顯著的負面影響。台股現貨日報酬率和前一期的台股現貨之日報酬率，對於台股現貨日成交量變動率都有非常顯著的正面影響。當台台指和摩台指期貨上市後的250個和500個交易日，都會對台股現貨日報酬率和日成交量變動率產生影響，造成股市的波動增加。並且，台台指和摩台指期貨上市後都會對台股現貨日報酬率有正向影響。而且，前一期的台股現貨之日報酬率，對於台股現貨的日報酬率和台股現貨日成交量變動率，都有非常顯著正面影響。前一期的台股現貨日成交量變動率，對台股現貨的日成交量變動率有非常顯著的負向影響。 This is a study on start-trading effect of Morgan Stanley Taiwan Stock Index futures and Taiwan Stock Exchange Capitalization Weighted Stock Index futures. The tested periods are 250 days before the offering date and 500 days after the offering date of stock index futures. This study is based on the analysis of the GARCH (1,1) model. From the empirical results, we conclude the following results: First, the offering of Morgan Stanley Taiwan Stock Index futures and Taiwan Stock Exchange Capitalization Weighted Stock Index futures both affect Taiwan spot market’s daily trading volume rate and daily return rate . Second, the offering of Morgan Stanley Taiwan Stock Index futures and Taiwan Stock Exchange Capitalization Weighted Stock Index futures both positively affect daily return rate of Taiwan spot market. Third, the day before daily return rate of Taiwan spot market significantly positively affect daily trading volume rate and daily return rate of Taiwan spot market. Fourth, the day before daily trading volume rate of Taiwan spot market significantly negatively affect daily trading volume rate of Taiwan spot market.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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