期貨交易行為對現貨價格波動率之影響 – 臺灣與國外實證研究

Effects of Futures Trading Activity on Spot Asset Volatility - Empirical Evidences from Taiwan and International Stock Markets

張韋苓(Wei-Ling Chang)

指導教授 ： 黃宜侯

元智大學/管理學院/財務金融學系/碩士(2008年)

摘要

自衍生性市場開始發展以來，學者們對現貨市場和衍生性市場的關聯性一直有高度興趣。由於許多避險方法以及套利策略都是透過這兩個市場來操作的，因此我們可以合理的預期這兩個市場具是高度相關的。更詳細而言，現貨價格和期貨交易量之間的相關性，一直是個熱門的研究主題，但在文獻上仍然沒有單一的結論和共識。
在這篇研究中，台灣以及六個已開發國家的現貨和期貨市場資料將會被使用，並且詳細地研究兩者其中的關係。尤其，期貨交易量對於現貨市場報酬波動性的影響，不論是直接的或是反向的關聯，將會徹底的被探討並且希望能夠被闡明。在此研究中，使用六種方法來計算出不同波動性並且使用四個變數來代表期貨的交易行為，最後再使用三種模型來探討期貨交易行為和現貨價格波動性的關連: (1) 共整合模型 (2) Granger因果檢定 (3) GARCH模型
實證結果發現，對於TE,MTX和CAC40來說，期貨的交易行為和現貨價格的波動性具有共整合關係。並且發現在CAC40,NASDAQ和DJ中，期貨的交易行為和現貨價格的波動性具有因果關係。再者，使用GARCH模型的結果顯示出S&P500和DJ和符合預期:當期貨交易量增加時，會導致現貨價格波動性同時增加，然而，當期貨的未平倉量增加時，則會導致現貨價格波動性下降。這代表著投機者(以期貨交易量來代表)會使現貨市場價格不穩定而避險者(以期貨未平倉量來代表)則會穩定現貨市場價格。

關鍵字

期貨 ； 波動率 ； 交易量 ； 股票指數

並列摘要

The relationships between spot and derivative markets have always been primary interests for academic researchers since derivative markets are formed. It is natural to see high correlations between the two markets since most hedging methods and arbitrage strategies utilize assets from both sources. In particular, the relationship between spot prices and futures trading volumes has become a popular research subject but is still yet undetermined in reaching a common conclusion.
In this research, such relationship will be fully investigated using data of both spot and derivative markets from Taiwan and six foreign countries. The direct or inverse impacts of futures volume on return volatility of spot assets are closely examined and clarified. Six kinds of volatility variables and four variables for futures trading activities are used to conduct in the examination. Three main methodologies are used to investigate the relationship between futures trading activities and spot market volatility: (1) cointegration test, (2) Granger causality (3) GARCH test.
The empirical finding shows that for TE, MTX and CAC40, any two variables from trading activities and volatility are cointegrated and there is causality between trading activities and all kinds of volatility for CAC40, NASDAQ and DJ. Furthermore, the result from GARCH test, only S&P500 and DJ are consistent with expectation: an increase in futures trading volume would increase spot market volatility and an increase in futures open interest would decrease spot market volatility. That means speculators (represented by futures trading volume) would destabilize the market while hedgers (represented by open interest) would stabilize the market in these two futures market.

並列關鍵字

futures ； volatility ； trading volume ； stock index

參考文獻

Antoniou, A. and A.D. Foster (1992). The Effect of Futures Trading on Spot Price Volatility: Evidence for Brent Crude Oil Using GARCH, Journal of Business Finance & Accounting, 19, 473-484.

Bae, S.C., T.H. Kwon and J.W. Park (2004). Futures Trading, Spot Market Volatility, and Market Efficiency: The Case of the Korean Index Futures Market, The Journal of Futures Markets, 24, 1195-1228.

Bessembinder, H. and P.J. Seguin (1992). Futures Trading Activity and Stock Price Volitility, Journal of Finance, 47, 2015-34.

Bessembinder, H. and P.J. Seguin (1993). Price volatility, trading volume, and market depth: evidence from futures markets, Journal and Quantitative Analysis, 28, 21-39.

Bhargava, V. and D.K. Malhotra (2007). The Relationship Between Futures Trading Activity and Exchange Rate Volatility, Revisited, Journal of Multinational Financial Management, 17, 95-111.