訊息衝擊對期貨報酬及成交量影響之研究-以台灣指數期貨市場為例

The Response of Returns and Volume to the Information Shocks-An Empirical Study of Taiwan Index Futures Markets

方雅婷(Ya-Ting Fang)

指導教授 ： 謝文良

淡江大學/商學院/財務金融學系碩士班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00349

摘要

本研究衡量不同的訊息衝擊下影響期貨市場報酬率和成交量關係的相對重要性，以及商品交易的熱絡頻繁程度對訊息衝擊的反應是否具有效率性。實證採用雙變數移動平均模型(BMAR)和雙變數向量自我迴歸模型(BVAR)，選取台灣指數期貨市場中大型台指期貨、小型台指期貨、電子指數期貨以及金融指數期貨等四種期貨商品，探討不同屬性的訊息對期貨市場價量關係的衝擊。並透過預測變異數分解及衝擊反應分析進一步瞭解期貨報酬率與成交量對訊息衝擊的動態反應，有助於我們了解價格變動的影響因素及影響方式。研究結果如下：
一、資訊性/恆久性訊息衝擊是解釋期貨報酬波動最有力的解釋因子，而非資訊性/短暫性衝擊為最能解釋成交量變動的主要因素。
二、資訊性/恆久性訊息的衝擊對期貨報酬率的變動是即刻且具實質劇烈影響效果的，但影響的程度在短時間內即顯著的降低，也就是市場調整的速度非常快速。
三、當衝擊來自非資訊性/短暫性訊息時，對成交量變化除了具有初期實質影響效果，其影響程度是隨時間演變呈現緩慢降低的現象。
四、在交易較熱絡頻繁的期貨商品(大型台指期貨)和相對較不頻繁的商品(金融指數期貨)兩市場之間，對訊息反應的程度確實存在著效率性差異。

關鍵字

訊息衝擊 ； BMAR ； BVAR ； 期貨報酬 ； 成交量

並列摘要

This paper investigates the response of returns and volume to different information shocks in Taiwan Index Futures Markets using bivariate moving average representation (BMAR) and bivariate vector autoregression (BVAR) methodologies. In particular, the related component of returns and volume of futures due to different information shocks are identified, and the relative importance of each component are examined. Through variance decomposition and impulse response analysis, we are also able to see how futures returns and volume dynamically respond to the information shocks. The empirical results are as follows：
1.It is found that the informational/permanent components are the dominant components for returns movements, and the noninformational/ transitory components are the dominant components for trading volume.
2.Informational/permanent shocks initially have a substantial effect on futures returns, but this effect declines dramatically, which means this adjustment is very rapid.
3.Noninformational/transitory shocks initially have a substantial effect on trading volume, and this effect declines gradually over time.
4.The market response of actively traded futures (TX) is greater than that of the less actively traded futures (TF).

並列關鍵字

information shocks ； BMAR ； BVAR ； futures return ； volume

參考文獻

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