台灣股價指數期貨報酬率與成交量關係之研究

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/22849

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Title:	台灣股價指數期貨報酬率與成交量關係之研究
Other Titles:	The Study of Price-Volume Relationship in Taiwan Stock Index Futures
Authors:	陳焙焿 Chen, Pei-keng
Contributors:	財務管理研究所張瑞真 Jui-chen Chang
Keywords:	波動外溢效果;槓桿效果;台股指數期貨;價量關係;回饋效果 Taiwan stock index futures;feedback effect;leverage effect;price-volume relationship;volatility spillover effect
Date:	2007
Issue Date:	2015-08-06 16:44:48 (UTC+8)
Abstract:	縱觀國內外過去有關指數期貨的文獻研究，大部份都是討論到股價指數期貨和現貨價格之間的關係以及股價指數期貨報酬和波動性之外溢效果，很少論及報酬率和交易量之間的波動性外溢效果，本文採用2003年1月3日至2006年6月30日台灣股價指數期貨日資料，並以雙變量EGARCH模型，探討台股指數期貨報酬率和交易量以及未平倉量之間的波動性外溢效果，並探討波動性外溢效果是否具有價量之間的不對稱效果，以及研究報酬率波動對交易量的影響，其實證結果顯示，台股指數期貨報酬率、報酬率絕對值、交易量及未平倉量皆有波動遞延的效果以及波動外溢效果，在不對稱效果方面以前ㄧ期未平倉的壞消息會造成本期報酬率的波動性增加47.82%最為明顯。本研究再以 Granger Causality Test 檢定台股指數期貨之報酬率與交易量的領先落後之因果關係，其結果顯示交易量與報酬率絕對值有回饋效果。　　Majority of the previous studies about stock index futures were focused on their relationship with price of stock index, seldomly touched on the volatility spillover effect between profit return rate and trade volume. This research used bivariate EGARCH-M model and Granger Causality test to analyze the compiled data of Taiwan stock index futures from January 3, 2003 to June 30, 2006 for examing the relationship of daily return and daily volume in Taiwan stock index futures (TAIFEX). The empirical conclusions are as follows：(1) return, volume and open interest all have a positive volatility deferred effect; (2) there is a positive volatility spillover effect between return and volume; (3) there is an asymmetric effect（leverage effect）in volatility spillovers of absolute return and volume; and (4) Granger Causality test reveals that there is a feedback relationship between absolute return and volume.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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