個股期貨交易對股票市場波動度的影響 -以台灣期貨市場為例

Impact of Single Stock Futures Trading on Stock Market Volatility -The Case of Taiwan Futures Market

李言駿(Yen-Chun Li)

指導教授 ： 涂登才

國立臺北大學/商學院/國際企業研究所/碩士(2013年)

摘要

本文的目標在於利用適當的高頻資料，研究個股期貨對現貨股票波動度的影響。利用GARCH模型捕捉波動度及個股期貨對現貨股票的影響；利用GJR-GARCH模型檢驗好壞消息對股票報酬的不對稱效果；利用GJR-GARCH-M模型衡量投資人在樣本期間對風險溢酬要求的變化。最後利用GJR-GARC模型及 GJR-GARCH-M模型來分析引進個股期貨前後股票現貨的到期日效果和元月效應。本文樣本選擇在台灣證券交易所掛牌，且其個股期貨在樣本期間成交量前十大的股票為樣本。其中，樣本期間為2007年7月2號到2010年1 月22號，以及2010年7月1 號到2012年12月28號，共1,259個交易日。
本文的實證結果指出，個股期貨的引進會降低股票現貨的報酬及流動性；投資人在樣本期間對風險溢酬要求的變化並不顯著；好壞消息對股票報酬的不對稱性影響並不顯著且存在逆槓桿現象；個股期貨引進後，股票報酬的波動度存在負的到期日效果，且利用考慮風險溢酬的GJR-GARCH-M模型來衡量效果會更顯著；個股期貨引進後，股票報酬的波動度存在負的元月效應，且利用考慮風險溢酬的GJR-GARCH-M模型來衡量效果會更顯著。

關鍵字

個股期貨 ； 波動度 ； 到期日效果 ； 元月效應

並列摘要

The purpose of this study is to examine the impact of single stock futures on the volatility of the underlying stocks using high frequency proprietary data. A GARCH model is applied to capture volatility and examine the impact of single stock futures introduction. A GJR-GARCH model is used to examine asymmetric response to good and bad news. A GJR-GARCH-M model is employed to investigate the change of risk premium that investors require over time. The expiration-day effects and January effects are analyzed by GJR-GARCH model and GJR-GARCH-M model post the introduction of single stock futures. This study selects ten stocks, which are listed on the Taiwan Stock Exchange (TSE) and had top ten transaction volume futures contracts in the derivatives market during our sample period, to examine the variations of volatility post single stock futures introduction. The data cover the period July 2, 2007 to January 22, 2010 and July 1, 2010 to December 28, 2012 for 10 of the stocks, totaling 1, 259 trading days.
The empirical results of this study indicate that the introduction of single stock futures reduces the volatility of rates of return and liquidity of underlying securities. There are not sufficient demonstration to prove that the risk premium that investors require would change over time. The asymmetric response to good and bad news and is absent and reverse leverage effect is existed when single stock futures were traded. The expiration-day effect decreases the volatility of the rate of return of the underlying securities post single stock futures introduction and is more effective when risk premium is considered in the estimation model. January effect also decreases the volatility of the rate of return of the underlying securities post single stock futures introduction and likewise is more effective when the investigation conducts the risk premium term.

並列關鍵字

single stock future (SSF) ； volatility ； ARCH ； GARCH ； GJR-GARCH ； GJR-GARCH-M ； expiration-day effects ； January effects

參考文獻

Ang, J. and Y. Cheng (2005). Financial innovations and market efficiency: The case for single stock futures. Journal of Applied Finance, 15(1), 1-14.

Aitken, M. and R. Segara (2005). Impact of warrant introductions on the behaviour of underlying stocks: Australian evidence. Accounting & Finance, 45(1), 127-144.

Admati, A. R. and P. Pfleiderer (1988). A theory of intraday patterns: Volume and price variability. Review of Financial Studies, 1(1), 3-40.

Andersen, T. G. and T. Bollerslev (1997). Intraday periodicity and volatility persistence in financial markets. Journal of empirical finance, 4(2), 115-158.

Andersen, T. G., T. Bollerslev and A. Das (2002). Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns. The Journal of Finance, 56(1), 305-327.