本研究使用非線性TAR-GARCH(threshold autoregressive-GARCH)模型,來檢視台股指數期貨與現貨市場日內報酬波動在好消息與壞消息之下是否會存在不對稱的關係。此外,本研究以前期交易量當成訊息流之替代變數,用來探討日內報酬波動的持續性是否會因為加入此一替代變數之後而有所改變。實證結果發現,交易量確實會正向顯著影響台股指數期貨與現貨市場日內報酬波動,並且會降低市場報酬波動之持續性效果。同時,本研究也發現台股指數期貨與現貨市場日內報酬波動之壞消息衝擊影響大於好消息衝擊,進一步驗證台股指數期貨與現貨市場日內報酬波動存在不對稱性效果。
This study employs the nonlinear TAR-GARCH model to investigate the intraday return volatility asymmetric effect in response to past good news and bad news on Taiwan stock index futures and spot markets. Furthermore, we use lagged volume as a proxy for information flows to examine the intraday return volatility persistent effect. Results reveal trading volume has positive effect on intraday return volatility and declines volatility persistent effect. We also find that the past bad news in Taiwan stock index futures and spot markets have a greater effect on intraday return volatility than the past good news. Therefore, there is an asymmetric effect in Taiwan stock index futures and spot markets.