自從新加坡國際金融交易所(SIMEX)於1997年1月將摩根台股指數期貨推出後,台股指數期貨的交易日趨熱絡,機構法人與一般投資大眾也開始關心期貨契約具有何種特性,其與現貨之間具有何種關係,以及如何利用台股指數期貨來規避風險等問題。因此,本文探討台股指數期貨(futures)與現貨(spot)之相對基差(relative basis)數列之到期日(maturity)與GARCH效應。實證結果發現,摩根台股指數期貨與現貨價格之相對基差同時存在到期日與GARCH效應。此外,本文將此模型應用於動態避險比率的計算,並比較期貨契約的到期日與動態避險比率之關係。
Since Taiwan stock index futures was introduced in 1997, it became a popular trading financial asset. Investors are interested in the performance of the index futures as a hedging vehicle. Therefore, this paper employs a model to captures both maturity and GARCH effect in relative basis series of futures and spot in Taiwan stock index. The empirical results show that the maturity and GARCH effects are found to be simultaneously present. In addition, we apply this model to calculate the dynamic hedge ratio.