股市基差訊息對現貨報酬之影響：厚尾模型的應用

The Effects of Basis Information of Stock Market on Spot Market Returns: The Application of Heavy-Tailed Model

黃健銘(Chien-Ming Huang) ； 張惠雅(Hui-Ya Chang)

《台灣金融財務季刊》 10卷1期 (2009/03) Pp. 81-106

https://doi.org/10.6985/TBFQ.200903.0081

摘要

本研究主要探討股市基差訊息對現貨市場報酬的影響，並檢測正逆價差狀態持續下，對股市報酬是否存在不對稱效果。實證樣本選定美國S&P 500指數現貨與期貨市場之日資料，模型採用GARCH模型進行檢測，並導入Politis(2004)所提出之厚尾分配進行模型比較，於模型中更引入長短期公債利差與期貨交易量變數進行實證分析。實證結果顯示厚尾分配模型優於常態分配模型，且基差對現貨報酬具有負向的顯著關聯。當市場持續為逆價差狀態時，對現貨報酬具有顯著的負面衝擊，但正價差狀態則無顯著影響，兩者存在顯著不對稱效果。另一方面，利差變數對股市報酬沒有存在顯著結果，而期貨交易量的變動將提高現貨報酬的波動。因此，當投資人在訂定相關投資策略時，對於不同基差狀態的變化應納入考量，方能降低整體的風險。

關鍵字

基差訊息 ； 厚尾分配 ； 不對稱效果

並列摘要

This study investigates the effects of basis information on stock market returns, and examine whether the positive-and negative-basis present an asymmetric influences. Our sample selects the spot and future markets of U.S. S&P 500 index. The methods which we adopt are GARCH model and further adding the heavy-tailed distribution, proposed by Politis (2004), to compare with the normal distribution. The analytical results demonstrate that the heavy-tailed model is suitable model than normal distribution, and basis presents a significantly negative relationship on spot market returns. It has a negatively shocks when inverted market happen persistently, but not in normal market. The asymmetric effects of different basis condition are significant. On the other hand, it doesn’t show the influences of interest rate spread on spot market, and changes in trading volume of future market have an positive effects on stock return volatilities. Consequently, our results suggest that investors should consider the variations of basis in their investment decision. It will aid to reduce the risk of investment portfolio.

並列關鍵字

Basis information ； Heavy-tailed distribution ； Asymmetric effects

參考文獻

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