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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/12997

Title: 台灣地區選擇權交易對期現貨市場因果關係及報酬波動與不對稱影響效果之研究-VEC-TGARCH-M之應用
A Study on the Cash/Futures Market Cause-and-Effect Relationships, Return Volatility and Asymmetry Characteristics of the Option Trading Activities in Taiwan : An Application of VEC-TGARCH-M Model
Authors: Chi-Han Yu
游季翰
Contributors: NTOU:Institute of Applied Economics
國立臺灣海洋大學:應用經濟研究所
Keywords: 現貨;期貨;選擇權;門檻型GARCH模型;波動群聚
Stock;Futures;Option;Threshold GARCH Model;Volatility Clustering
Date: 2005
Issue Date: 2011-06-30T07:09:28Z
Abstract: 摘要 2001年12月24日臺灣加權股價指數選擇權正式在臺灣期貨交易所掛牌上市。衍生性金融商品具有財務槓桿特性、交易成本低與避險功能,吸引投資人與機構法人進行投資。選擇權交易量逐年遞增情況下,選擇權市場與期現貨市場的關係也越來越密切。 本文研究期間自2001年12月24日至2005年9月30日,資料包含台灣加權股價指數現貨、期貨與選擇權交易之日資料作為本文的樣本,運用Zakoian在1994年提出一個階梯型線性波動方程式(條件標準差)稱為門檻型GARCH模型(Threshold GARCH Model,TGARCH),再建構為VECM–TGARCH–M模型藉此來瞭解現貨與期貨市場的關聯性。 本文主要探討選擇權介入時對期現貨市場報酬波動與不對稱之影響,提供投資人與機構法人價格發現、避險及套利等功能。本文分為四種情況,情況一為基本模式;情況二為情況一之模型一選擇權交易量介入對期現貨之影響;情況三為情況一之模型三選擇權交易量介入時對期現貨之影響,並比較選擇權與期貨交易量兩者影響效果;情況四為情況一之模型四選擇權交易量介入對期現貨市場之影響。 實證結果發現: 一、現貨及期貨股價指數收盤價報酬率皆呈現穩定序列,具有I(1)之特 性,由Johansen共整合檢定。 二、現貨及期貨市場存在共移現象。現貨報酬率皆受到自身報酬率、期貨報酬率影響;期貨報酬率受到自身報酬率、現貨報酬率影響,表示現貨與期貨市場相互影響,投資者可利用價格發現進行套利。 三、現貨與期貨報酬受前期自我波動顯著且正的影響,現貨與期貨市場具有波動群聚之特性,表 示期貨市場報酬波動會大波動跟隨大波動,小波動跟隨小波動。 四、以絕對值來看不對稱效果,現貨與期貨市場皆負向未預期報酬所引發的波動會大於正向未預期報酬所引起的波動且顯著,表示投資人對現貨市場報酬時,壞消息發生所引起波動會較大。
Abstract On December 24, 2001, the TAIEX options starts their lists on Taiwan futures market. The principle characteristic of financial derivatives is that it provides financial leverage with low transactions cost and hedging function. It is interesting to know how’s the relationship between the option markets and the stock markets, when the option trading volumes keep increasing after 2001. This study utilizes the daily return of the price index of the TAIEX stocks and TAIEX futures, and the trading volume of the option market from December 24, 2001 to September 30, 2005. This study integrates the vector error correction model (VECM) and the threshold GARCH volatility model (TGARCH), which is developed by Zakoian in 1994, into the VECM-TGARCH-M Model to investigate the relationship between the stock and futures markets. This study tries to investigate the effect of the percentage change of the trading volume of put or call options on the volatility and asymmetry of the rate of return of stock/futures markets, in order to provide the investors the information of price discovery, hedging and arbitrage opportunities. There are four cases were specified to detect the relationship between stock and futures markets. The first case is specified four basic models to various relationship between stock and futures markets. The second case use the first model specified under the first case to investigate how the option trading volumes intervening in the futures and stock markets. The third use the third model specified under the first case to detect how the option trading volumes intervening in the futures and stock markets and as how the option and futures volumes influence each other. The forth case use the forth model specified under the first case to investigate how the option trading volumes intervening in the futures and stock markets. The results of this study are as follows. First, since, the stock and futures price are prove to be intergrated of degree one, the return rate of both of the above indexes are shown to be stable series. Second, since there exist a single cointegration vector of the stock and futures markets, both of the stock and futures return rate is affected by each other in the previous period. The investors could utilize the comovement relationship of the stock and futures prices index to discover the price and to arbitrage. Third, the return rate volatilities of the stock and futures prices are significantly and positively affected by their previous ones. The volatility clustering characteristics is proved to be exist in the stock and futures markets. Last, the volatility of the negative unexpected return rate will be more significant and bigger than that of the positive unexpected return rate. It is interesting to know the bad news will cause bigger volatility than that of good news in both of the stock and futures markets in Taiwan.
URI: http://ethesys.lib.ntou.edu.tw/cdrfb3/record/#G0M93350002
http://ntour.ntou.edu.tw/ir/handle/987654321/12997
Appears in Collections:[應用經濟研究所] 博碩士論文

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