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  • 學位論文

台股指數期貨與現貨價量互動關係之研究-向量自我迴歸模型分析

THE PRICE-VOLUME RELATIONSHIP BETWEEN THE TAIWAN STOCK INDEX AND INDEX FUTURES-VECTOR AUTOREGRESSIVE MODEL

指導教授 : 古永嘉博士
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摘要


本研究針對台股指數期貨與現貨兩市場,以報酬率與成交量變動率分別代表價量,由Granger因果關係檢定及向量自我迴歸模型(VAR Model)之衝擊反應分析與預測誤差變異數分解,瞭解兩市場價量間的互動關聯,茲將本研究之結論歸納如下: 一、由Granger因果關係檢定與向量自我迴歸模型(VAR Model)得知:在台股現貨市場有「價先量行」的現象。而在台指期貨市場,期貨報酬率與期貨成交量變動率兩者互相影響,具有回饋關係存在,且兩市場間價量互相影響。 二、由預測誤差變異數分解得知:台股現貨報酬率與台指期貨成交量變動率的預測誤差變異由自身解釋的程度相當高,顯示此兩變數之外生性相當強。此外,雖然各變數間互有領先落後關係,但僅有台股現貨報酬率與台指期貨報酬率間領先-落後關係較顯著,而此結果也與Wahab and Lashgari(1993)相同。 三、由衝擊反應分析得知: (一) 在「價」方面;台股現貨報酬率變動一標準差時,在第一期時其自身之衝擊反應最強烈,而台股指數期貨報酬率變動一標準差時,在第一期時台股現貨報酬率衝擊反應最強烈,其自身之衝擊反應居次。 (二) 在「量」方面;台指期貨成交量變動率變動一標準差時,其自身之衝擊反應最強烈,而台股現貨成交量變動率變動一標準差時,其自身之衝擊反應最強烈,其次為台指期貨成交量變動率與台股現貨報酬率。

並列摘要


This study uses Granger Causality test, Vector Autoregressive Model (VAR Model) to analyze the price-volume relationship of Taiwan stock index and index futures. Daily data of these series are collected from 2004/1/5 to 2009/3/31. The research procedure includes identification of stationary of a time series for each variable using Augmented Dickey-Fuller test (ADF), causality test using Granger Causality test and VAR Model. The results of this study are as follows: (1) In the part of Granger causality test, the rate of return and the change rate of aggregate trading volume between stock and futures market possessed the feedback causality. (2) In the decomposition of the predictive error variance and the impulse response function analysis results, the rate of return in stock market and the change rate of aggregate trading volume in futures market had the strongest exogenity effect among various variables.

參考文獻


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