指數期貨價格跳動對現貨價格動態性的影響：制度轉換法

Effects of Index Futures Price Surges on Spot Price Dynamics: A Regime-Switching Perspective

10.6846/TKU.2016.00612

莊曜維

期貨 ； 波動性 ； 制度轉換 ； SWARCH ； Futures ； Volatility ； Regime Switching ； SWARCH

淡江大學管理科學學系碩士班學位論文

2016年

碩士

莊忠柱

繁體中文

股票與期貨市場是臺灣金融市場中的兩個主要市場，隨著金融自由化與國際化的世界潮流，現貨與期貨間的關係成為投資人熱門討論的話題。因此，本研究以1998年7月21日至2015年12月31日的臺灣發行量加權指數和臺灣指數期貨近月期為主要研究標的，利用Hamilton（1989）提出的制度轉換法（Regime-Switching Perspective）探討指數期貨價格跳動對現貨價格動態性的影響。經概似比檢定，相較於其他模型，由Hamilton and Susmel（1994）所提出的SWARCH模型最能捕捉到臺灣股票市場價格行為的特性。研究發現，期貨價格波動對現貨價格有正向影響，但期貨價格波動對現貨價格波動性並無顯著影響。此外，臺灣股票市場的價格波動性狀態持續性的機率相當高，其價格波動可能容易受全球經濟與政治因素影響。

Stock and futures markets are the two main markets in Taiwan’s financial market. With the world trend of financial liberalization and internationalization, the relations between the spot market and the future market have been becoming a hot topic of in-vestors. Therefore, the research subjects in this study are the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Taiwan Index Futures (TX1) from July 21, 1998 to December 31, 2015. The dynamic influence of price jumps of index futures on spot prices with the regime-switching model proposed by Hamilton (1989) is explored. Being compared to other researched models, the SWARCH model proposed by Hamilton and Susmel (1994) can best capture the price behavior of Taiwan Stock Mar-ket on the likelihood ratio test. The resultant showed that futures price volatility has a positive impact on spot prices and futures price volatility has no significant impact on spot price volatility. Besides, the probability of price volatility persistence in Taiwan stock market is very high and price fluctuations may be susceptible to global economic and political factors.

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