台灣股價指數期貨與現貨市場資訊傳遞及價格波動性之研究－雙元EGARCH-X模式與介入模式之應用

The Information Transmission and Price Volatility between Spot and Stock Index Futures Markets in TAIFEX: Using Bivariate EGARCH-X and Intervention Models

張瓊嬌(Chiung-Chiao Chang) ； 古永嘉(Yeong-Jia Goo)

《管理評論》 22卷1期 (2003/01) Pp. 53-74

https://doi.org/10.6656/MR.2003.22.1.CHI.53

摘要

本研究利用EC-EGARCH(1,1)與EGARCH(1,1)-X模式以檢視台灣股價指數期貨與現貨兩市場間價格之動態關係，研究期間為87年7月21日至90年8月31日。研究結果顯示即使考量TAIFEX調降交易稅之結構性改變，兩市場價格仍具有共整合關係。同時研究結果顯示誤差修正項對於期貨條件均值與兩市場之條件變異數具有很高的解釋能力，此意味著若忽略誤差修正項，模型將可能為－誤設模型。兩市場波動性的分析，EC-EGARCH(1,1)模型顯示，若僅考慮誤差修正項對於條件均值的影響，現貨市場本身存在顯著波動不對稱性，資訊的傳遞亦由現貨市場傳遞至期貨市場。另外兩市場皆存在顯著的波動持久性現象，且期貨市場波動持久性比現貨市場長。EGARCH (1,1)-X模型顯示，誤差修正項對於兩市場波動性有顯著的解釋力，同時會增進市場資訊的流通，市場波動由單向改為雙向，除了由現貨市場傳遞至期貨市場外，亦會由期貨市場傳遞至現貨市場，且前一方向較為強烈。最後介入模式分析顯示，TAIFEX調降交易稅的政策增加了期貨與現貨的同期相關性，但不影響跨市場波動外溢效果、符號效果與兩市場波動的持久性。

關鍵字

波動性不對稱 ； 跨市場波動 ； 波動性外溢 ； EGARCH-X模型 ； 介入模式

並列摘要

This paper investigates the dynamic relationship between the spot market and the stock index futures market in TAIFEX, where the futures market has experienced a major structural event due to the transaction tax reduction. We extend the EC-EGARCH(1,1) model to a bivariate EGARCH(1,1)-X model, by including a cointegrating residual as an explanatory variable for both the conditional mean and the conditional variance. Results reveal both markets are cointegrated. The futures conditional mean returns and both markets' conditional variances are significantly influenced by the long-run equilibrium relationship, indicating that the cointegrating residual is an important variable in the dynamic relationships between markets. When considering the cointegrating residual in conditional variance, and the information flows change from one-way direction to two-way direction, i.e., exist cross-market volatility spillover. The volatility of spot market exhibits asymmetric behavior to past standardized innovations. An intervention analysis reveals that correlation coefficients have shifted after the transaction tax reduction by the TAIFEX.

並列關鍵字

volatility asymmetry ； cross-market volatility ； volatility spillovers ； EGARCH-X model ； intervention analysis

參考文獻

Abhyankar, A. H.(1995).Return and Volatility Dynamics in the FT-SE 100 Stock Index and Stock Index Futures Markets.Journal of Futures Markets.15(4)

Bae, Kee-Hong,Karolyi, G. A.(1994).Good News, Bad News and International Spillovers of Stock Return Volatility between Japan and the U. S..Pacific Basin Finance Journal.2

Berndt, E. K.,Hall, B. H.,Hall, R. E.,Hausman, J. A.(1974).Estimation and Inference in Non-Linear Structural Models.Annals of Economic and Social Measurement.2006/3/4

Bhar, R.(2001).Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH-X Framework.Journal of Futures Markets.21

Bollerslev, T. P.,Engel, R. F.,Wooldridge, J. M.(1988).A Capital Asset Pricing Model with Time Varying Covariances.Journal of Political Economy.96(1)