具有狀態轉換過程下的臺灣股價指數與股價指數期貨市場的報酬與波動性動態關係

The Return and Volatility Dynamics in the Taiwan Stock Index and Stock Index Futures Markets as a Regime-Switching Process

莊忠柱(Chung-Chu Chuang) ； 胡文正(Wen-Cheng Hu)

《財務金融學刊》 13卷1期 (2005/04) Pp. 1-30

https://doi.org/10.6545/JFS.2005.13(1).1

摘要

Gray（1996）的一般化狀態轉換（generalized regime-switching, GRS）模型允許條件平均報酬與條件變異數同時隨狀態變數變動而變，本文先利用具有高低波動狀態的GRS模型，捕捉股價指數與股價指數期貨市場的個別報酬與波動性行為，並再進一步利用自我迴歸分配遞延（autoregressive distributed lag, ADL）模型，分別探討股價指數與股價指數期貨市場的報酬與波動性的動態關係。本文研究發現：允許條件平均報酬與條件變異數同時隨高低兩種波動狀態變動的一般化狀態轉換模型較能捕捉股價指數與股價指數期貨市場的報酬與波動性行為。就短期而言，股價指數報酬對股價指數期貨報酬的領先關係較為強烈，股價指數期貨波動性對股價指數波動性的領先關係呈現顯著，此外，股價格數與股價指數期貨的報酬與波動性序列分別存在長期均衡關係。

關鍵字

股價指數期貨 ； 一般化狀態轉換模型 ； 自我迴歸分配遞延模型

並列摘要

The generalized regime-switching (GRS) model, proposed by Gray (1996), is simultaneously specified for both the conditional expectation and conditional variance with different regimes. In this paper the GRS model with two regimes, high and low, is used to capture the respective conditional expectation and conditional variance in the Taiwan stock index and stock index futures markets, and then the autoregressive distributed lag (ADL) model is used to investigate the dynamics of return and volatility in the Taiwan stock index and stock index futures markets. The resultant shows that GRS model with two regimes is a better-fitted model to capture the conditional expectation and conditional variance in the Taiwan stock index and stock index futures markets. The return of stock index leading to stock index futures is larger than the return of stock index futures leading to stock index in the short-run. The volatility of stock index futures leads significantly to stock index in the short-run. A long-run equilibrium relationship exists between the return of stock index and stock index futures and it does too between the volatility of stock index and futures stock index.

並列關鍵字

stock index futures ； generalized regime-switching model ； autoregressive distributed lag model

參考文獻

林常青、洪茂蔚、管中閔(2002)。經濟論文。

徐士勛、管中閔(2001)。九零年代台灣的景氣循環：馬可夫轉換模型與紀卜斯抽樣法的應用。人文及社會科學集刊。13(5)，515-540。

莊忠柱(2000)。股價指數期貨與現貨波動性外溢：臺灣的實證。證券市場發展季刊。12(3)，111-139。

黃仁德、林彥伶(2002)。台灣失業率的轉換機率與預測－馬可夫轉換模型的應用。中國統計學報。40(3)，303-331。

黃玉娟、徐守德(1997)。台股指數現貨與期貨市場價格動態關連性之研究。證券市場發展季刊。9(3)，1-28。