台灣指數期貨基差與價差之變動與加權股價指數走勢及交易量關係之研究

The Research of the Relations between the Variations of Taiwan Stock Index Future’s basis & spread and the Variations of Taiwan Stock

吳明昌(Wu Ming Chang)

指導教授 ： 王澤世

共同指導教授 ： 林霖(Lin Lin)

國立暨南國際大學/管理學院/財務金融學系/碩士(2008年)

摘要

台灣本土股價指數期貨自1998年7月21日掛牌交易至今將滿十年，在2007年10月8號期交所更推出了跨月價差交易委託機制，期貨市場與現貨市場的效率為投資者所關注。本研究利用最小平方法迴歸模型研究個變數對台指期之基差以及價差的影響，取樣為2001年1月1日到2007年12月31日的日資料。實證結果如下:
基差：不論是當月到期貨是次月到期的基差都無法用交易量、距離到期天數和天數乘上利率任何一個變數來解釋。不過當月到期期貨基差可以很強的被利率解釋，次月到期期貨的基差則沒有此影響關係。
價差：價差可以被交易量解釋，為負向影響，唯只在統計上為顯著而較缺乏經濟意義。
「向零變動量」與「增減數」兩種資料處理方法中，股價報酬率對於次月到期期貨基差和價差資料的「向零變動量」都有顯著結果，也就是股價報酬率大會使基差價差更靠近零，同時股價變動率對於次月到期期貨基差的「增減數」有正向影響，而對於當月到期期貨基差和價差增減數則沒有解釋能力。另外交易量變動則適合解釋價差「向零變動量」和「增減數」，為正向關係，代表當交易量變大，價差會增加以及偏離於零，而交易量變動對期貨基差走勢都沒有顯著影響。

關鍵字

基差 ； 價差 ； 期貨 ； 期貨交易量

並列摘要

It has been ten years since the first trade of local Taiwanese stock index future took place in July 21, 1998. In October 8, 2007, Taiwan Future Exchange further granted the consignment of spreads trading. The investors all care about the efficiency of stock and future markets. This research uses the OLS regression model to analyze how each variable can affect the basis and spread of Taiwan Stock Index Future. The daily data were from January 1, 2001 to December 31, 2007. And the following are the empirical results:
1.The trading volume, the period before expiration date, and the product that interest rate multiples the period can’t explain the basis no matter the contract is due in the current month or in the next month. Instead, Interest rate can strongly explain the basis of future due in current month but can’t explain the basis of future due in next month.
2.The trading volume can explain the spread and the relation is negative. But the result is significant only statistically and lack of the economic meaning.
3.The return rate of Taiwan Stock Index (TAIEX) can explain that if spread and the basis of contract due in the next month converges to zero or not. Meanwhile, the return rate of TAIEX can also positively affect the volatility of the basis which contract is due in the next month.
4.The volatility of trading volume can explain whether the spread converges to zero, and the relations are negative, which means as the trading volume becomes larger the spread will diverge from zero. Additionally, the volatility of trading volume can also affect the volatility of spread positively.

並列關鍵字

basis ； spread ； future ； volatility of basis and spreads ； trading volume of futures

參考文獻

國內：

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2.李遠清 1993 期貨價格與交易量、未平倉量及交易者結構間關係之探討，國立成功大學企業管理研究所碩士論文。

3.李鎮宇 1999 台灣期貨市場價差現象之研究，交通大學科技管理所碩士論文。

4.李曉菁 2004 臺股指數期貨理論價差之計算及交易策略探討，東吳大學國際貿易學系碩士論文。