金融海嘯對股票市場與指數期貨波動性的影響

The Impact of the Financial Tsunami on Index Futures and Stock Market Volatility

李崑進(Kun-Chin Lee) ； 周千婷(Cian-Ting Jhou)

《管理資訊計算》 3卷1期 (2014/03) Pp. 190-199

https://doi.org/10.6285/MIC.3(1).14

摘要

本研究探討金融海嘯後，大量雜訊交易者進入期貨市場交易，使得交易市場資訊環境改變，對期貨與現貨市場波動性的影響為何？藉以檢驗金融海嘯事件後，聯繫投資人之間資訊不對稱性是否增加或減少。本文實證結果發現，無論是日或日內5分鐘報酬率，都顯著增加期貨與現貨市場價格波動。並認為此情況會增加投資人之間資訊不對稱性與交易市場不穩定性，並加大市場參與者的投資風險。本文研究結論可做為交易市場參與人投資決策之依據，並可作為政府相關單位，訂定資產泡沫發生時穩定交易市場政策之參考。

關鍵字

金融海嘯 ； 雜訊交易者 ； 資訊不對稱 ； 波動性

並列摘要

After the finance tsunami, many noise traders enters the futures market transaction, causes the trading market information environment change. This paper examines the impact of the financial tsunami on the stock and index futures market volatility. The findings of this research indicate that noise traders increase index futures and stock market volatility in the post-finance tsunami. Since such actions gives raise to the instability and the investment risk of investors in the transaction market. In the least the findings of this research can be used as an investing guideline for investors in the futures market. In addition, this study can act as a reference for government policies on the finance tsunami.

並列關鍵字

Financial Tsunami ； Noise Trader ； Information Asymmetry ； Volatility

參考文獻

葉銀華、鄭文選（1997），監視制度對雜訊交易與報酬波動性影響之實證研究，證 券金融季刊，第55 期，41-65。

Barber, M., Odean, T. and Zhu, N. (2008). Do retail trades move markets? Review of Financial Studies, Vol. 22(1), 151-186. doi: 10.1093/rfs/hhn035

Black, F. (1986). Noise. Journal of Finance, Vol. 41:529-543. doi: 10.1111/j.1540-6261. 1986.tb04513.x

Bloomfield, R., O'Hara, M. and Saar, G. (2009). How noise trading affects markets: An experimental analysis. Review of Financial Studies, Vol. 22(6), 2275-2302. doi: 10.1093/rfs/hhn102

Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, Vol. 31, 307-327. doi: 10.1016/0304-4076(86)90063-1