本研究探討臺灣股價加權指數現貨對最近月期貨日報酬率之間,是否存在不對稱的傳遞關係。本研究使用混合動能門檻自我迴歸模型(Hybrid TAR & MTAR),檢定由2009年1月6日至2013年4月30日為止,共計1069筆日資料。實證結果如下所示: 一、Johansen 共整合檢定中發現,在顯著水準為5%之下,無論是軌跡檢定或是最大特性根檢定均發現,兩市場日報酬率之間存在長期穩定的均衡關係。 二、混合動能門檻自我迴歸模型中,不論是門檻值τ固定等於0或為隨機值,兩市場皆存在顯著共整合關係,且不論模型為何,皆顯示出臺灣加權股價指數現貨與最近月期貨日報酬率之間,具有不對稱效果關係存在;不存在不對稱之動能效果。
This study proposes an integrated hybrid non-linear threshold autoregression model (TAR) & momentum TAR model (MTAR) approach for measuring the asymmetric and nonlinear relationships between Taiwan index futures and spot prices. The data series are from the Jan. 6, 2009 to Apr. 30, 2013. The empirical results first using unit-root test and has confirmed the series data stationary. Then, using Johansen cointegration test made sure the return of futures and spot had an equilibrium relationship in the long run. Finally, employing a hybrid TAR & MTAR model examine the asymmetric relationships between futures and spot prices. The main results of the study are summarized as follows: 1. The results of unit roots test in the time series indicates that two series are integrated of order 0, I(0).From the results of Johansen cointegration test,there is an underlying long–term relationship between Taiwan index futures and spot returns. 2. From the results of hybrid TAR & MTAR model, there is an asymmetric transmission relationship between Taiwan index futures and spot returns.