摘要
本研究利用雙量GARCH模型研究分析台灣加權股價指數、台股指數期貨與摩根台指期貨三變數間之關連性，實證結果發現，現貨與期貨市場之報酬皆存在不對稱效果，且負向未預期報酬衝擊大於正向未預期報酬衝擊。現貨市場、期貨市場與摩台指期貨三個市場均具有風險貼水效果，表示現貨與期貨市場投資者屬於風險規避者，當市場風險上升時，會希望報酬隨之增加，並進一步利用交易量分析，發現現貨與期貨市場的交易量對波動性具有顯著影響，且未預期交易量對波動性的影響高於預期交易量。在比較現貨與台拍期貨與現貨與摩台拉斯貨兩組模型中，發現現貨與台指期貨的模型解釋效果優於現貨與摩台指期貨的模型。
並列摘要
This paper investigates price-volume relationship among Taiwan Stock Index (TS), Taiwan Stock Index Futures (TF), and MSCI Taiwan Stock Index Futures (MF), using bivariate GARCH model. The empirical results indicate that asymmetric effects are existed in spot and future markets and the negative impact level is greater than positive impact level. All three markets have risk premium effects and investors require more premium when market risk increases. We also add volume to make further analysis and find that volume has inf1uence on volatility on both spot and future markets; and unexpected trading volume has more inf1uence on volatility than expected trading volume. Comparing both TS v.s TF and TS v.s MF, we find TS v.s TF has better explanation than TS v.s MF.