QQQQ市場效率收斂性

Convergence Speed to Market Efficiency of QQQQ

盧又瑄(Lu-Hsuan Lu)

指導教授 ： 蘇永成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.01169

摘要

本文主要在研究NASDAQ-100 指數(QQQQ)市場效率的收斂性，根據過去的研究發現，當市場上出現不對稱的資訊時，市場上的投資人會立刻在市場上採取對作的交易，而促使市場回歸於效率，研究發現，一般股票反應的時間大約是在五到十五分鐘內，因此本研究要探討的是ETF 市場是否能提升市場的效率性；而根據前人的研究，買賣單不對稱為個股交易是否隱含不對稱資訊的一個重要指標，又在美國市場中，NASDAQ-100 為交易量最大的指數之一，因此在本文中，我們利用NASDAQ-100作為研究標的，並利用日內的買賣單不對稱的資料來研究指數的效率性。
在本研究中，首先我們發現前期的買賣單不對稱對股票報酬有負的顯著相關；而在考慮當期的買賣單不對稱下，同期的買賣單不對稱產生正的顯著相關，前期的買賣單不對稱則產生負的顯著相關。接著，利用GARCH(1,1) 模型，不論是否有考慮波動性因子下，發現買賣單不對稱對報酬並沒有顯著的影響，直到在三秒鐘的時
候才發現顯著的效果，而三秒鐘並無法讓投資人做出適當的交易策略來獲利。
最後，我們加入股票報酬波動的不對稱性的影響（壞消息相對於好消息對股票報酬波動的影響較大），採用了不對稱的GARCH 模型(GJR-GARHM 及 NA-GARCH)，實證發現，風險貼水為影響NASDAQ-100 指數股票報酬的主要因素，而買賣單不對稱及突發消息皆沒有對報酬產生顯著的影響；因此，可以說NASDAQ-100 的確存在有較一般股票效率的市場。

關鍵字

市場效率性 ； 那斯達克100 ； 買賣單不對稱

並列摘要

Many researches had found the relation between trading activities and return. We want to test how ETF respond to those trading indicators. Thus, we divide the intraday data into five, ten, and fifteen seconds to do the search. We want to find out the speed to convergence to market efficiency of Nasdaq-100.
First, we apply the multi-regression model to test the lagged one to five periods’order imbalance. We find the negative significant impact of lagged one OI on the return.
Then, we test the conditional model. The current OI shows the huge positive significant level but the lagged one OI is negative significant. The reason is due to overweighting”.
Second, we use GARCH (1, 1) model to test the relation between order imbalances and return. We cannot find any significant of OI until three seconds. After adding the
impact of volatility, the result is the same but the significant is slightly less than the previous model.
Finally, we apply the asymmetric GARCH models. Bad news has higher impact than good news on the volatility of return. We use the GJR-GARCHM and NA-GARCH to represent innovation rotated and shifted individually. In models, Beta shows significant effect but order imbalance and innovation do not show the significant.

並列關鍵字

QQQQ ； Nasdaq-100 ； order imbalance ； market efficiency

參考文獻

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