以非線性研究法分析台灣股價指數衍生性商品與現貨之關聯性

Using Nonlinear Research Methods to Analyze the Correlations between Taiwan Stock Index Derivatives and Spot Matket

郭家瑋(Chia-Wei Kuo)

指導教授 ： 聶建中

共同指導教授 ： 謝劍平(Joseph C. P. Shieh)

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00427

摘要

本文以現貨市場價格：『台灣證券交易所發行量加權股價指數』與衍生商品市場價格：『台灣股價指數期貨(TX)每日收盤指數』、『台灣股價指數選擇權(TXO)的買權與賣權每日結算指數』等變數序列為研究對象，並探討其相互間的關連性。樣本選取期間為2004年6月17日至2006年6月21日。分別以傳統線性研究法及較具檢定力之無母數非線性等研究法來對此四類變數序列資料進行單根檢定與共整合檢定，發現此四類原始序列資料皆存有單根現象，經一次差分後，各資料序列則皆呈現定態。而不論以傳統線性Johansen共整合檢定法或較具檢定力的無母數共整合檢定法(Bierens, 1997和Breitung, 2002 )測試，均發現台灣股價指數現貨與股價指數期貨、股價指數買權與賣權彼此間應存在至多3組的共整合向量。而以傳統Granger因果關係檢定法進行測定，可找出在台灣地區現貨指數確有領先衍生性商品指數的關係存在。而非線性Granger因果關係的檢定結果則是台灣地區現貨指數與衍生性商品指數間已然存有相互回饋關係。接著分別以一般線性衝擊反應函數與非結構化衝擊反應函數來檢定出四種變數序列彼此間的衝擊反應現象，可發現各衍生性商品市場面對來自現貨市場的衝擊，反應是較劇烈。最後經由一般線性變異數分解與非線性變異數分解方法，皆檢證出台灣股價指數現貨市場對於現貨市場自身與期貨市場的變異擁有最大的解釋能力，同時股價指數買權與賣權此二資料變數對本身的變異皆有較佳的自身解釋能力。

關鍵字

非線性 ； 無母數 ； 衍生性商品 ； 共整合 ； Granger因果關係

並列摘要

The analysis and investigation subject of this study is to discover correlation between the spot market price:「Taiwan stock index」and the derivatives price: 「Daily close index of Taiwan stock index futures」、「Daily settle index of Taiwan stock index call-options」and「Daily settle index of Taiwan stock index put-options」. The sampling time is form 2004/06/17 to 2006/06/21. We use the traditional linear research methods and the nonparametric nonlinear research methods to test the 4 sets of series data for unit-root and cointegration. The result is that the 4 sets of series data found with unit-root, and then exists stationary after first difference. Either the traditional linear Johansen cointegration test method or the nonparametric cointegration test method(Bierens, 1997 & Breitung, 2002 )with more testing power, the testing outcome is that there are no more than 3 cointegration vectors between the Taiwan spot market price and the derivatives price. The result of the traditional Granger-causality testing is the spot market price causes the derivatives price in Taiwan. And the testing result of nonlinear Granger-causality is that exist a reciprocal feedback relationship between the spot market price and the derivatives price in Taiwan. And then we utilize general linear impulse-response function and nonstructural impulse-response function to test the 4 sets of data, and we found that the response of the derivatives price to the impulse of the spot market price is violent. Finally, by way of the testing of the general linear variance-decomposition method and nonlinear variance-decomposition method, we found that the spot market price has the maximum explanation power for the derivatives, and in the meanwhile the index call-options price and index put-options price have the superior explanation power for variance on themselves.

並列關鍵字

Nonlinear ； Nonparametric ； Derivatives ； Cointegraton ； Granger Causality

參考文獻

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