臺灣股票指數現貨、期貨、選擇權三市場的基差及價差變動行為探討～應用ANST-GARCH

The Movements of Basis and Spreads which are between the TAIFEX Spot, Futures, and Options.-Use ANST-GARCH Model.

古永嘉(Yeong-Jia Goo)；游忠儒(Chung-Ju Yu)

基差 ； 價差 ； ANST-GARCH ； Put-Call Parity ； 指數選擇權 ； basis ； spread ； ANST-GARCH ； Put-Call Parity ； index options

輔仁管理評論

20卷2期（2013 / 05 / 01）

1 - 25

繁體中文

「臺灣證券交易所發行量加權股價指數」及其衍生性金融商品～臺股指數期貨、臺股指數選擇權，三個市場的基差、價差變動行為，以往研究集中探討基差（現貨與期貨之間）變動；本研究增加選擇權市場（以Put-call Parity導出隱含現貨價格），探討存在於三市場的基差、價差為本研究之研究對象，分別為「期貨vs.選擇權」價差、「期貨vs.現貨」基差、「選擇權vs.現貨」價差，共三組基差、價差的變動行為進行探討，以ANST-GARCH模型進行實証，結論摘要如下：1.三組基差、價差變動行為呈現非線性均數特質；2.三組基差、價差數列受到前期基差（或價差）方向不同影響時，返還均數的情況呈現不對稱的特質；3.三組基差、價差的變動行為均存在著條件異質變異數的特質；4.三組基差、價差數列皆存在著波動性不對稱的特質。

The research focuses the movements of the basis and spreads which are between the TAIFEX spot, futures, and options. Many past literatures mainly focused on the basis between spot and futures. There are few studies about the spreads. This study focuses on the movements of the spreads, especial about the index options market. The study uses the Put-Call Parity to calculate the price of the spot form the options. This study uses ANST-GARCH model for empirical estimation. The research findings are summarized as follows: 1. All movement of basis and spreads are non-liner. 2. All movements of basis and spreads have different effects when the last movement had different direct. 3. All movements of basis and spreads are conditional heteroscedasticity. 4. The volatilities of the movements are asymmetric.

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