影響台股現貨、期貨價量波動因素之探討

The Study of Factors Impacting Price & Volume Volatility on Spot Stock &Future Index Market In Taiwan

陳智明(Chih-Ming Chen)

指導教授 ： 楊浩二

大同大學/經營設計學院/事業經營學系所/碩士(2004年)

摘要

本研究主要在探討影響台股現貨、期貨價量波動之因素，主要包括兩部份，其一為台灣加權股價指數選擇權，上市前後期台股現貨、期貨，主要商品包含台股現貨指數、金融股指數、電子股指數、台股成交量、金融股成交量、電子股成交量、台股指數期貨、金融股指數期貨、電子股指數期貨、台股指數期貨成交量、金融股期貨成交量、電子股期貨成交量等１２組成對樣本之波動性探討，其二為針對台股現貨指數、貨幣供給m1b，證券劃撥餘額等對台股成交量之迴歸分析，結論於下：1.本研究發現，台股股價指數選擇權上市，前後期台股現貨、期貨主要商品之波動性，除了台股指數期貨成交量、電子期貨成交量、金融期貨
成交量波動增加外，其餘皆明顯降低，且不論是價對量的影響強度方面，現貨均大於期貨。
2.若以台股現貨成交量為應變數，貨幣供給額m1b 及證券劃撥餘額及台股現貨指數為自變數進行迴歸分析的結果發現上述四個變數之間，可存在三個自變數對台股成交量的影響具有高度解釋力，係數估計結果除了貨幣供給額m1b 較不顯著外，證券劃撥餘額及台股現貨指數
皆達顯著水準。3.分別以台股成交量、台股指數為應變數，以證券劃撥餘額，選擇權乘上證券劃撥餘額及選擇權為自變數，分別以台股成交量、台股指數當應變數，以貨幣供給m1b，選擇權，貨幣供給m1b 乘上選擇權當自變數等四組資料分別進行迴歸分析，發現證券劃撥餘額對台股成交量，台股指數不論有無加入干擾變數（選擇權），應變數與自變數之間存在顯著關係，加入干擾變數之係數達顯著，表示有干擾效果，即貨幣供給m1b 對台股指數及成交量在加入干擾變數後顯著水準降更低。

關鍵字

證券劃撥餘額 ； 波動性 ； 選擇權 ； 貨幣供給m1b

並列摘要

This study explores the factors that influence the price and volume volatility
of Taiwan spot and futures’ index. There are two major sections in this study. The first one is the study of the volatility of the Taiwan index option, including spot and futures, pre- and post-listed. Major underlying commodities in section one are the following 12 pair samples: Taiwan spot index, financial sector index, electronic stock index, volume of Taiwan stock market, volume of financial sector, volume of electronic sector, Taiwan equity index futures, financial sector index futures, electronic sector index futures, volume of Taiwan equity index futures, volume of financial sector futures and volume of electronic stock futures. The second section is the regression analysis of Taiwan spot index, money supply (m1b), and stock transfer balance on
Taiwan stock transaction amounts, and the results are as below:
1. This study discovered that the volatility of the spot and futures index are reduced significantly when public listing of Taiwan stock index option, pre- and post-listed.Exceptions are the volatility of volume of Taiwan equity index futures, volume of electronic futures, and volume of financial futures transaction. And the volatility for the spot is higher than the futures regardless of the influence intensity of price to volume.
2. By assuming Taiwan spot transaction amounts as dependent variable (DV) and money supply m1b, stock transfer balance, and Taiwan spot index as independent variables,there could exist three independent variables that have high explanatory to the influence of volume of Taiwan stock transaction. And the R square results revealed that except money supply (m1b) is less significant, the stock transfer balance and Taiwan spot index are all reached to significant level.
3. We use Taiwan stock transaction volume and Taiwan’s equity index as DV respectively,and use stock transfer balance and option multiply stock transfer balance and option as independent variable; and use Taiwan stock transaction amounts and Taiwan’s equity index as DV respectively, and use money supply (m1b), option, and money supply(m1b) multiply option as independent variable to carry out regression analysis respectively ,and it is discovered that regardless of intervening variables (option) in Taiwan’s equity index, the stock transfer balance to Taiwan stock transaction amounts have significance between DV and independent variables. While the coefficient with intervening variables reached to significance, it means there is the moderating effect, i.e., money supply (m1b) to Taiwan’s equity index and transaction volumes’ significance is more reduced after putting the intervening variables, into consideration.

並列關鍵字

money supply (m1b) ； option ； stock transfer balance ； volatility

參考文獻

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