- 學位論文
以不同波動模型衡量指數期貨上市對其現貨市場的影響
Measuring the Effect of Index Futures Introduction on its Spot Market with Different Volatility Models
摘要
本研究針對股價指數期貨引入，對現貨市場之波動性行程是否造成改變，進行探討。過去文獻往往只著重在大盤股價指數期貨對其標的現貨市場波動性的影響。至於大盤指數中，各組成類股指數之波動性行程，是否會因類股指數期貨契約的引入，造成對應之類股指數波動性有所變化，則較沒有被討論。除簡單GARCH模型外，我們利用可以刻畫槓桿效果的EGARCH模型，來協助此議題的剖析，並利用近期Chou(2005)提出的CARR模型來輔助分析結果的穩健性。結果發現，類股指數期貨契約的引入，確實會增加其對應現貨市場中的資訊傳遞流量，以及資訊傳遞的速度。電子類股指數以及金融類股指數因為還有本身對應專屬的指數期貨，因此，波動性的結構型態轉變更為顯著且類似。塑化類股雖然沒有對應之指數期貨，但它的交易量對台股大盤指數而言，佔有顯著比重，在大盤股價指數期貨的帶動下，塑化類股指數波動性的變化結構，類似金融類股指數以及電子類股指數。可能的理由之一為大盤股價指數交易下，所伴隨之資訊的外溢效果所致。
並列摘要
This paper explores the effects that the index futures introduced to its coincident spot market in volatility structure. In past relative literature, most papers usually focus on the volatility changes for the whole stock index futures to its spot market. As to the discussion about the component stock index is rare. Excepting simple GARCH model is used, we incorporate the EGARCH model which can capture the phenomenon of leverage effect for dissecting this issue. For the robustness, we also adopt the newly volatility model, namely CARR model, which is proposed by Chou(2005) to analyze this topic. By the empirical results, the launched for the individual component index futures will increase the flow of the information transmission surely and the velocity of the information transmission. Due to the electronics index and the finance index have their own correspondent futures contracts, so their volatility structures change are more significance and analogousness. In contrast, the volatility changes pattern for the stock index of the plastics and chemical is similar to the electronics index and finance index, even though there is no simultaneous futures index for the plastics and chemical stock index. One of the reasonable explanations is spillover effect based on the plastics and chemical trading volume is large in the whole stock market.