- 學位論文
總體經濟訊息的釋放對於台灣衍生性金融市場及其現貨市場之間領先落後關係的影響
The Effect of Macroeconomic Information Releases on the Lead-Lag Relationship Between the Taiwan Derivatives Markets and The Spot Market
摘要
本篇研究在探討總體經濟訊息的釋放，對於股價指數期貨與現貨及選擇權間的領先─落後關係是否具有決定性的影響。釵h實證指出，部分因素如：非同時的交易行為(Shyy, Vijayraghavan and Scott Quinn 1996)、市場成熟度(Stoll and Whaley 1990)、交易成本(Abhyankar 1995; Fleming, Ostdiek and Whaley 1996)、以及市場架構(Grunbichler, Longstaff and Schwartz 1994)，會導致期貨、選擇權與現貨彼此間具有顯著的領先與落後關係，但也有部分研究指出市場間的因果關係不如想像中顯著、或者現貨市場亦可能領先選擇權市場或期貨市場，說法眾說紛紜；而此領域在近年來被部分學者採用不同觀點分析，認為市場上的訊息釋放是造成兩市場間領先落後關係的關鍵因素，故本研究採用日內分時資料，以台灣股價加權指數期貨、選擇權及其現貨市場為研究對象，比較兩衍生性金融市場與其現貨市場間的領先落後關係，接著加入三個總體經濟訊息變數為影響主因，實證結果顯示：(1) 未考慮總體訊息時，期貨與選擇權分別對現貨市場呈現相互領先的效果。(2) 當總體經濟訊息釋放，在總體景氣領先指標、貨幣成長率這兩個總體變數的影響下，使期貨與選擇權此兩衍生性金融市場的領先程度更加強烈。(3) 此兩衍生性金融市場的報酬波動與對未預期訊息的反應皆領先現貨市場。整體而言，總體訊息釋放時，市場間的關係會產生變化，因此本研究認為應先針對訊息的釋放做適當的分類與控制，才能避免無效的比較結果。
並列摘要
This paper is to examine the effect of macroeconomic information releases on the lead-lag relationship between the derivatives markets and the spot index markets. Frino (2000) integrates that the lead-lag relationship between these markets are caused by asynchronous trading, market maturation, transaction costs, and market architecture. But several researches indicate that the lead-lag relationship between these markets is not so strong, or in contrary, the spot market leads the futures and options market. Some researchers adopt different points of view to investigate in this field. They show that the release of macroeconomic information is the determinant reason to cause such relation. Hence, this study considers the futures and options as the samples and adopted the intraday price data to investigate the lead-lag relation between these two derivatives markets and their spot index markets. Then the macroeconomic information variables are considered as the main factors. The empirical results indicate that: (1) the derivatives and the spot indices lead each other while the macroeconomic information release is not considered. (2) After the macroeconomic information releases, the lead of derivatives becomes to strengthen especially under the releases of Macroeconomic Leading Indicators and Growth Rate of Money Supply. (3) The return volatilities of derivatives lead those of spot index, and the reaction of derivatives to unexpected information also leads the spot index. These results suggest that the relation between markets changes while the macroeconomic information releases. Therefore, the consideration and control of macroeconomic information should be done at first to avoid the invalid analyses.