基差偏態對臺指期貨價格的預測能力

Can skewness of the basis predict in TAIEX futures returns

林煜恒(Yu-Heng Lin)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓(Shih-Chuan Tsai)

淡江大學/商管學院/財務金融學系碩士班/碩士(2021年)

https://doi.org/10.6846/TKU.2021.00198

摘要

本研究主要為探討基差偏態對臺指期貨價格預測之能力。在Jiang et al. (2019)研究表明基差偏態對價格預測之能力有影響，然而在該模型並未探討流動性的變數。因此本研究根據Jiang et al. (2019)為基礎，並加入流動性代理變數來觀察基差偏態對臺指期貨是否具有價格預測之能力。本研究同時透過正基差(逆基差)將市場區分成正向(逆向)市場，且同時探討基差偏態在不同市場狀況下期貨價格之預測能力是否有影響。最後本研究引用Chow (1960)提出的模型去檢測，基差偏態在高波動的情況下是否仍具有對臺指期貨價格之預測能力。
實證結果發現，基差偏態對臺指期貨報酬率有顯著相關之預測能力，且符合Jiang et al. (2019)的研究結果呈現負向的顯著關係。且在研究中也發現，在正向市場的時候會失去顯著的預測能力然而在逆向市場中顯著的預測能力依然會存在。而在高波動期間時基差偏態則無顯著相關之預測能力，並透過chow檢定得出顯著的結果，代表基差偏態在高波動的時候有結構性變化的存在。綜合上述的研究結果，可以得出基差偏態對臺指期貨價格具有預測能力之影響。

關鍵字

期貨市場 ； 基差 ； 偏態 ； 價格預測

並列摘要

This study is to investigate the ability of basis skewness to predict TAIEX prices. The Jiang et al. (2019) showed that the basis skewness can predict in futures returns. main discussion is the basis skewness to predict the TAIEX futures returns. However, the liquidity variables were not discussed in the model. Therefore, this study is based on Jiang et al. (2019) and adds liquidity proxy variables to observe whether the basis skewness predict of TAIEX prices. This study divides the market into positive and negative markets on the positive basis or negative basis, and discusses the basis skewness has the ability to predict TAIEX futures returns in the positive market and the negative market at the same time. Finally, this study use the model by Chow (1960) to test the basis skewness can predict TAIEX futures returns under high volatility time.
The empirical results show that the predictive power of basis skewness on the TAIEX futures returns has a significant effect, and the results of the Jiang et al. (2019) show a significant negative relationship. And in this study, the significant predictive ability will be lost when the market is positive market, but the significant predictive ability has in the negative market. During periods of high volatility, basis skewness predictive power has no significant predictive power, and significant results are obtained through the chow test, which represents the existence of structural changes in basis skewness. Base on the results above, it can be concluded that basis skewness can predict price when the market negative market, but it will loses that prediction when the market is positive market or high-volatility market.

並列關鍵字

Futures Market ； Basis ； Skewness ； Forecasted Price

參考文獻

參考文獻

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