股價指數期貨引入對現貨市場波動性 之影響與比較

The Effects and Comparisons of Stock Index Futures Introduction on the Volatility of Spot Markets

賴郡德(Chung-De Lai)

指導教授 ： 巫春洲

中原大學/商學院/國際貿易研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500162

摘要

本文主要探討股價指數期貨交易引入對其現貨市場波動性的影響。過去的實證研究往往認為現貨市場波動性增加，會造成市場交易更加不穩定，卻忽略了訊息和波動性結構之間的互動關係。因此，本文以GARCH族模型的計量分析工具來分析指數期貨引入後對其現貨市場在資訊流量和波動性之間的關係。檢視股價指數期貨上市後是否有助於現貨市場在資訊傳遞速度與效率方面的提升。並且藉由波動不對稱性(the asymmetric response of volatility to news)和市場動態(market dynamics)的觀點來分析期貨交易對現貨市場是否有正面的助益。實證結果發現期貨引入後會造成香港、新加坡、台灣的現貨市場波動性增加，是因為資訊流入率的增加，不表示期貨交易對現貨市場帶來負面的影響，另外，期貨市場的交易資訊外溢(spillover)可能降低了現貨市場交易之資訊不對稱性並且改善了訊息傳遞的效率性。且期貨市場相對較低之交易成本和高槓桿的特性，可能導致市場動態的改變進而降低了現貨市場之波動不對稱性。因此，關於股價指數期貨引入對現貨市場影響的分析結果，亦發現槓桿效果並不足以完全解釋在實際交易資料中所觀察到的波動不對稱性現象，至少有部分是受到雜訊交易者的影響。

關鍵字

波動性 ； GARCH模型 ； 股價指數期貨 ； 資訊傳遞

並列摘要

We research the effects of stock index futures trading on the volatility of the spot markets. Previous studies largely ignored the relationship between information and volatility and increasing volatility has been seen as a bad thing. Thus we use GARCH family models to analyze the relationship between information flows to the market and volatility post-futures. We discuss mainly whether after the stock index futures trading can improve the speed and efficiency of information transmission and analyze whether the stock index futures trading introduction has positive benefit to the spot markets by the viewpoints of the asymmetric and market dynamics. We find that after the futures introduction causes the increase in volatility of the spot market by information flows increasing, it doesn’t mean that the stock index futures trading brings negative impact on the spot markets. In addition, the spillover effect of the information on futures trading may decline information asymmetric and improve the efficiency. The lower transaction cost and high leverage for futures markets may lead to change the dynamic condition of the market and lower the volatility asymmetry of the spot markets. In addition to conclusions relating to the impact of futures trading, the evidence presented here suggests that the empirically observed asymmetries in volatility, far from being the result solely of leverage effects, are a consequence, at least in part, of noise trading.

並列關鍵字

Volatility ； GARCH Model ； Information Transmission ； Stock Index Futures

參考文獻

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