美國量化寬鬆政策對台指期貨之市場效率性影響

U.S. Quantitative Easing Policy Effect on TAIEX Futures Market Efficiency

林伯翰(Bor-Han Lin)

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(2014年)

https://doi.org/10.6342/NTU.2014.10341

摘要

無資料

關鍵字

量化寬鬆 ； GARCH ； 市場效率性 ； 買賣單不對稱 ； 波動率

並列摘要

This paper focuses on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) Futures market efficiency after announcement of Quantitative Easing (QE) policy. We introduced order imbalance to our study and applied it to OLS and GARCH (1, 1) model to examine the relation between return and order imbalance.
The empirical results show that (1) with unconditional OLS model, lagged order imbalances have no significantly positive predictive power for current return. However, on the trading day after the announcement of QE 1, lagged order imbalance shows predictive power for current return for 1-minute interval, (2) with conditional OLS model, the reversed relation between current return and lagged order imbalance is not universal in QE 1; on the other hand, the reversed relation between current return and lagged order imbalance in QE 2 is more common, (3) with Return-GARCH (1, 1), positive relation between order imbalance and return can be easily observed, and we see no clear change on coefficient after announcement, (4) with Volatility-GARCH (1, 1), significantly positive relation between order imbalance and volatility shows up for 1-minute interval; on the other hand, there is no significant relation between those for 5- and 10-minute interval.

並列關鍵字

QE ； GARCH ； Market Efficiency ； Order Imbalance ； Volatility

參考文獻

21. Lin Tze-Yi, 2010, “Commercial Bank Market Efficiency in Financial Crisis,” Graduate Institute of Finance, National Taiwan University

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