股價指數期貨對股票市場波動性的影響

The Impact of Index Futures on Stock Market Volatility

余尚武(Shang-Wu Yu) ； 吳嘉欽(Chia-Chin Wu)

《企業管理學報》 47期 (2000/08) Pp. 135-160

摘要

國內股市交易已經逐漸受到國際間的重視，而在國際化的同時，市場必定會出現許多相對應的衍生性金融商品。有鑑於股價指數期貨與股票市場的密切關係，股價指數期貨的交易是否會導致現有股票交易市場的波動性產生長期的重大變化實有進一步探討的必要。基於此，本研究運用修正後的Levene統計量與GARCH模型，針對美國、英國、法國、日本、澳洲與香港等六個國家或地區的股價指數加以實證，並與國內外相關研究做一比較分析。實證研究結果發現：一、只有部份的股價指數之到期效果與週末效果顯著存在。二、各組樣本資料的GARCH效果均顯著；而股價指數期貨上市後對股價指數波動性的影響即使存在，亦應只是部份的短期現象。

關鍵字

價格波動 ； GARCH模型 ； 到期效果

並列摘要

The introduction of index futures provided a vehicle for market makers to hedge their share-holdings, and this risk reduction for market makers will lead to a drop of the bid-ask spread in the spot market. It has been alleged that the existence of a futures market increases the price volatility of the underlying asset. While this is theoretically possible, the empirical studies indicate that futures do not increase the price volatility of the corresponding spot market. A number of empirical studies regarding the effects of index futures on the volatility of the underlying index generally support the view that index futures do not increase the long-run volatility of the spot price. The expiration effect is the only well-documented case of futures increasing the price volatility of equities. To test whether a change in market efficiency occurs with the introduction of futures trading, and to consider the time-varying volatility of stock returns, this study uses the modified GARCH model that captures structural change in the autocorrelation of stock volatility. The modified GARCH imposes an autoregressive structure on conditional variance, allowing volatility shocks to persist over time, and captures structural shift in regime. The major empirical results are as following: 1.All of the empirical daily data test results indicate that GARCH effects are significant during the periods considered. And, there is no statistical evidence that stock index futures increase the price volatility of the corresponding spot market. 2. The expiration effect and weekend effect are not significant at all empirical data.

並列關鍵字

Price volatility ； GARCH model ； Expiration effect