台灣股票市場與期貨市場間價格與波動性傳遞關係之探討－EGARCH-DCC模型之應用

Price and Volatility Dynamics between Stock Index and Index Futures-An EGARCH-DCC Analysis on Taiwan Markets

10.29973/JCSA.200612.0005

楊聲勇(Sheng-Yung Yang)；董澍琦(Shuh-Chyi Doong)；李昭蓉(Jau-Rong Li)；黃喬郁(Ciao-Yu Huang)

期貨市場 ； 價格發現 ； 波動性外溢效果 ； 共整合與誤差修正 ； EGARCH模型 ； DCC模型 ； Futures market ； price discovery ； volatility spillover ； cointegration and error-correction ； EGARCH model ； DCC model

中國統計學報

44卷4期（2006 / 12 / 01）

417 - 439

繁體中文

為了解台灣期貨交易對現貨市場的真正影響與兩市場的動態關係，本研究利用雙變量EC-EGARCH-DCC(1,1)模型同時檢測台灣期貨市場與現貨市場間的價格發現功能與波動性外溢現象，並檢視兩市場間的條件相關性變動對避險比率的影響。針對民國92年6月30日至民國94年10月27日之日對數報酬資料進行分析後，得到以下結論：(1)在價格發現功能部分，期貨市場與現貨市場間存在一階共整合關係，且短期內，期貨與現貨存在互為因果的回饋關係，但長期而言，現貨市場相對期貨市場具有價格發現與指標性之功能；(2)而在報酬波動的檢定結果方面，兩市場皆有波動性叢聚現象，且短期而言，現貨標準化後市場衛擊變數對於期貨報酬波動性之影響可明顯辨別且具不對稱性（反之則無），就長期而言，當期貨市場與現貨市場產生偏差時，亦會引起高度波動性，故兩市場間互有長期波動性外溢之效果產生；(3)而在兩市場條件相關性的檢測發現，因農曆春節效應造成兩市場短期共移現象減小，相關性會下降，且於週四結算日時，不存在預期的相關性增加的現象。

The purpose of this research is to test the impact of Taiwan futures trading on the spot market. We propose a bivariate EC-EGARCH-DCC (1, 1) model to investigate the dynamic price discovery and volatility spillovers between the spot and futures markets. The sample is the daily closing prices spanned from 2003/6/30 to 2005/10/27. The empirical evidence shows that: (1) in the short run, the causal relation between the two markets is bi-directional; however, from the long run perspective, the spot market plays a more important and leading role; (2) the two markets all exhibit volatility clustering effect and there is an asymmetric volatility spillover effect from the spot market to the futures market (not vice versa); in addition, a deviation from futures and spot markets' long-run equilibrium will intensify the volatility for both markets; (3) examining the dynamic conditional correlations between the two markets, we found holiday (lunar New Year) but not weekday (Thursday) effect.

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