题名

Relationships between Stock Price Volatility and Futures Volume in Taiwan

并列篇名

台灣股市波動性與期貨市場交易之關聯性

DOI

10.29698/FJMR.200901.0005

作者

王毓敏(Yu-Min Wang)；呂素蓮(Su-Lien Lu)；楊嘉銘(Vhia-Ming Yang)

关键词

期貨市場交易量 ； 股票價格 ； 波動性 ； futures volume ； stock price ； volatility

期刊名称

輔仁管理評論

卷期/出版年月

16卷1期（2009 / 01 / 01）

页次

91 - 129

内容语文

英文
中文摘要

本文採用隨機微積分與Itô過程研究期貨市場價量與股票價格間的動態關係，並且建構三個假說以驗證股票市場波動性對於期貨市場交易活動之影響。本文以台股指數期貨市場爲探討對象，選取台股指數期貨、金融類股指數期貨、電子類股指數期貨與摩根台股指數期貨進行實證分析。實證結果顯示，股票價格與期貨市場交易活動皆服從隨機漫步，兩者經過一階差分後爲定態序列，並且存在共整合關係，亦即股票價格與期貨市場交易活動間存在長期關係，因此，本文進一步以誤差修正模型萃取出兩者間的長期與短期關係。另外，本文採用三個代理變數衡量股票價格的波動性，並藉此探討股市價格波動性如何影響期貨市場交易活動的波動性，實證結果發現期貨市場交易活動的波動性對於所採用之代理變數頗爲敏感，然而，三個代理變數中股價變動之絶對值仍爲較佳之代理變數。
英文摘要

The purpose of this paper is to examine the relationship between stock price and futures volume. This paper contributes to previous studies of price-volume relationship and the determinants of futures volume by postulating three hypotheses and testing them with data for four stock index futures in Taiwan. The model developed in this article formalizes the price-volume relationship by stochastic calculus and Itô process. First, we find a long-run relationship between stock price and futures volume by cointegration test. If the cointegarted relationship exists, stock price and futures volume are non-stationary in level but stationary in the first differences. That is, stock price and futures volume follow a random-walk process. On the other hand, we extract the short-run and long-run impacts by vector error correction model. Furthermore, we consider three measures for stock price volatility to test the determinants of change and volatility of futures volume. Although the determinant of change and volatility of futures volume are sensitive to the volatility estimate used, we find that absolute stock price change is a more suitable measure for stock index price volatility.
主题分类 社會科學 > 管理學
参考文献
  1. Antoniou, A.,P. Holmes(1995).Futures Trading, Information and Spot Price Volatility Effects: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH.Journal of Banking and Finance,19,117-129.
  2. Bessembinder, H.,P. J. Seguin(1992).Futures Trading Activity and Stock Price Volatility.Journal of Finance,47,2015-2034.
  3. Bhar, R.,A. G. Malliaris(1998).Volume and Volatility in Foreign Currency Futures Markets.Review of Quantitative Finance and Accounting,10,285-302.
  4. Bollerslev, T.(1986).Generalized Autoregressive Conditional Heterokedasticity.Journal of Econometrics,31,307-327.
  5. Bollerslev, T.,Chou, R.,K. Kroner(1992).ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence.Journal of Econometrics,52,1-59.
  6. Chang, E.,Chou, R. Y.,E. F. Nelling(2000).Market Volatility and the Demand for Hedging in Stock Index Futures.Journal of Futures Markets,20,105-125.
  7. Chen, N-F.,Cuny, C. J.,R. A. Haugen(1995).Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts.Journal of Finance,50,281-300.
  8. Clark, P.(1973).A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices.Econometrica,41,135-155.
  9. Copeland, T.(1976).A Model of Asset Trading under the Assumption of Sequrntial Information Arrival.Journal of Finance,31,1149-1168.
  10. Cornell, B.(1981).The Relationship between Volume and Price Variability in Futures Markets.Journal of Futures Markets,1,303-316.
  11. Crouch, R. L.(1970).A Nonlinear Test of the Random-walk Hypothesis.American Economic Review,60,199-202.
  12. Damondaran, A.(1990).Index Futures and Stock Market Volatility.Review of Finance,9,442-457.
  13. Dickey, D. A.,W. A.(1979).Fuller, Distribution of the Estimators for Autoregressive Time Series with A Unit Root.Journal of the American Statistical Association,74,427-431.
  14. Edwards, F. R.(1988).Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures.Journal of Futures Markets,8,421-439.
  15. Edwards, F. R.(1988).Does Futures Trading Increase Stock Market Volatility?.Financial Analysts Journal,44,63-69.
  16. Engle, R. F.(1982).Augressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation.Econometrica,50,987-1008.
  17. Engle, R. F.,C. W. J. Granger(1987).Co-integration and Error Correction Representation, Estimation and Testing.Econometrica,55,251-276.
  18. Engle, R.,T. Bollerslev(1986).Modelling the Persistence of Conditional Variances.Econometric Reviews,5,1-50.
  19. Epps, T.,M. Epps(1976).The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-distributions Hypothesis.Econometrica,44,305-321.
  20. Floros, C.,D. V. Vougas(2007).Trading Volume and Returns Relationship in Greek Stock Index Futures Market: GARCH vs. GMM.International Research Journal of Finance and Economics,12,98-115.
  21. Garcia, P.,Leuthold, R. M.,H. Zapata(1986).Lead-lag Relationships between Trading Volume and Price Variability: New Evidence.Journal of Futures Markets,6,1-10.
  22. Granger, C. W. J.(1981).Some Properties of Time Series Data and Their Use in Econometric Model Specification.Journal of Econometrics,16,121-130.
  23. Hamilton, J. D.(1994).Time Series Analysis.Princeton University Press.
  24. Holmes, P.,M. Tomsett(2004).Information and Noise in U.K. Futures Markets.Journal of Futures Markets,24,711-731.
  25. Huffman, G. W.(1987).A Dynamic Equilibrium Model of Asset Prices and Transaction Volume.Journal of Political Economy,95,138-159.
  26. Illueca, M.,J. A. Lafuente(2003).The Effect of Spot and Futures Trading on Stock Index Market Volatility: A Nonparametric Approach.Journal of Futures Markets,23,841-858.
  27. Jarque, C. M.,A. K. Bera(1987).A Test for Normality of Observations and Regression Residuals.International Statistical Review,55,163-172.
  28. Johansen, S.(1991).Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models.Econometrica,59,1551-1580.
  29. Johansen, S.(1988).Statistical Analysis of Cointegration Vectors.Journal of Economic Dynamics and Control,12,231-254.
  30. Kamara, A.,Miller, T. W.,A. F. Siegel(1992).The Effect of Futures Trading on the Stability of Standard and Poor 500 Returns.Journal of Futures Markets,12,645-658.
  31. Karpoff, J. M.(1986).A Theory of Trading Volume.The Journal of Finance,41,1069-1082.
  32. Karpoff, J. M.(1987).The Relationship between Price Changes and Trading Volume: A Survey.Journal of Financial and Quantitative Analysis,22,109-126.
  33. Kendall, M. G.(1953).The Analysis of Economic Time-series.J. Roy. Statist. Soc.,I(116),11-25.
  34. Koenker, R.,Z. Xiao(2004).Unit Root Quantile Autoregression Inference.Journal of the American Statistical Association,99,775-787.
  35. Lee, S. B.,K. Y. Ohk(1992).Stock Index Futures Listing and Structural Change in Time-varying Volatility.Journal of Futures Markets,12,493-509.
  36. Ljung, G.,G. Box(1978).On a Measure of Lack of Fit in Time Series Model.Biometrica,65,297-303.
  37. Luu, J. C.,M. Martens(2003).Testing the Mixture-of-distributions Hypothesis Using Realized Volatility.Journal of Futures Markets,23,661-679.
  38. Malliaris, A. G.,J. L. Urrutia(1998).Volume and Price Relationships: Hypotheses and Testing for Agricultural Futures.Journal of Futures Markets,18,53-72.
  39. Malliaris, A. G.,W. A. Brock(1982).Stochastic Methods in Economics and Finance.Amsterdam:North Holland Publishing Company.
  40. Martell, T.,A. Wolf(1987).Determinants of Trading Volume in Futures Markets.Journal of Futures Markets,7,233-244.
  41. Merton, R. C.,Coonter, C. M. (edited),Sharp, W. F.(1982)."On the Mathematics and Economics Assumptions of Continuous-time Financial Models", Financial Economics: Essays in Honor of Paul Cootner.reprinted as Chapter in continuous-time finance.
  42. Pagano, M.(1989).Trading Volume and Asset Liquidity.The Quarterly Journal of Economics,104,255-274.
  43. Parkinson, M.(1980).The Extreme Value Method for Estimating the Variance of the Rate of Return.Journal of Business,53,61-65.
  44. Pilar, C.,S. Rafael(2002).Does Derivatives Trading Destabilize the Underlying Assets? Evidence from the Spanish Stock market.Applied Economics Letters,9(2),107-110.
  45. Rogalski, R.(1978).The Dependence of Prices and Volume.Review of Economics and Statistics,60,268-274.
  46. Rutledge, D. J. S.,A. E. Peck(editor)(1984).Trading Volume and Price Variability: New Evidence on the Price Effects of Speculation.Selected Writings On Futures Markets, 4, Chicago Board of Trade.
  47. Tauchen, G.,M. Pitts(1983).The Price Variability-volume Relationship on Speculative Markets.Econometrica,51,485-506.
  48. Upton, D. E.,D. S. Shannon(1979).The Stable Paretian Distribution, Subordinated Stochastic Processes, and Asymptotic Lognormality: An Empirical Investigation.Journal of Finance,34,1031-1039.
  49. Wang, G. H. K.,J. Yau(2000).Trading Volume, Bid-ask Spread, and Price Volatility in Futures Markets.Journal of futures markets,20,943-970.
  50. Watanabe, T.(2001).Price Volatility, Trading Volume, and Market Depth: Evidence from the Japanese Stock Index Futures Market.Applied Financial Economics,11,651-658.
  51. Westerfield, R.(1977).The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinate Stochastic Models.Journal of Financial and Quantitative Analysis,12,743-765.
  52. Ying, C.(1966).Stock Market Prices and Volume of Sales.Econometrica,34,676-685.
被引用次数
  1. 王秀文(2016)。運用MCDM法探討金融風暴下底部上升段投資組合選擇考量因素與決策。淡江大學企業管理學系碩士班學位論文。2016。1-57。 
print cancel