Relationships between Stock Price Volatility and Futures Volume in Taiwan

台灣股市波動性與期貨市場交易之關聯性

王毓敏(Yu-Min Wang) ； 呂素蓮(Su-Lien Lu) ； 楊嘉銘(Vhia-Ming Yang)

《輔仁管理評論》 16卷1期 (2009/01) Pp. 91-129

https://doi.org/10.29698/FJMR.200901.0005

摘要

本文採用隨機微積分與Itô過程研究期貨市場價量與股票價格間的動態關係，並且建構三個假說以驗證股票市場波動性對於期貨市場交易活動之影響。本文以台股指數期貨市場爲探討對象，選取台股指數期貨、金融類股指數期貨、電子類股指數期貨與摩根台股指數期貨進行實證分析。實證結果顯示，股票價格與期貨市場交易活動皆服從隨機漫步，兩者經過一階差分後爲定態序列，並且存在共整合關係，亦即股票價格與期貨市場交易活動間存在長期關係，因此，本文進一步以誤差修正模型萃取出兩者間的長期與短期關係。另外，本文採用三個代理變數衡量股票價格的波動性，並藉此探討股市價格波動性如何影響期貨市場交易活動的波動性，實證結果發現期貨市場交易活動的波動性對於所採用之代理變數頗爲敏感，然而，三個代理變數中股價變動之絶對值仍爲較佳之代理變數。

關鍵字

期貨市場交易量 ； 股票價格 ； 波動性

並列摘要

The purpose of this paper is to examine the relationship between stock price and futures volume. This paper contributes to previous studies of price-volume relationship and the determinants of futures volume by postulating three hypotheses and testing them with data for four stock index futures in Taiwan. The model developed in this article formalizes the price-volume relationship by stochastic calculus and Itô process. First, we find a long-run relationship between stock price and futures volume by cointegration test. If the cointegarted relationship exists, stock price and futures volume are non-stationary in level but stationary in the first differences. That is, stock price and futures volume follow a random-walk process. On the other hand, we extract the short-run and long-run impacts by vector error correction model. Furthermore, we consider three measures for stock price volatility to test the determinants of change and volatility of futures volume. Although the determinant of change and volatility of futures volume are sensitive to the volatility estimate used, we find that absolute stock price change is a more suitable measure for stock index price volatility.

並列關鍵字

futures volume ； stock price ； volatility

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