標題: 以台灣股票期貨研究 -定價誤差、波動率、成交量及未平倉量之關係
Mispricing, Volatility, Volume and Open Interest:Evidence from Taiwan Single Stock Futures
作者: 樊興敏
Fan, Hsing-Min
謝文良
Hsieh, Wen-Liang
管理學院財務金融學程
關鍵字: 股票期貨;定價誤差;波動率;成交量;未平倉量;向量自我迴歸;Stock futures;mispricing;volatility;volume;open interest;VAR
公開日期: 2011
摘要: 本研究主要以2010年1月25日上市之台灣股票期貨契約為樣本,利用向量自我迴歸模型,探討台灣股票期貨市場定價誤差、價格波動率、成交量變動率、未平倉量變動率之關聯性。因定價誤差會產生套利之機會而增加期貨價格波動率,期貨價格波動率與成交量及未平倉量則有價量關係存在,故上述的四個變數有可能會相互影響。台灣股票期貨因屬於新的金融商品,在期貨市場之結構尚未得到深入的研究與探討,故本文將利用期貨市場之相關資料,研究台灣股票期貨合約的定價誤差、價格波動率、成交量變動率、未平倉量變動率之關聯性,並探討各變數間變異來源及其受到衝擊時之反應與遞延效果。 本文經由Granger 因果關係檢定結果發現,除未平倉量變動率領先定價誤差較具有顯著之關係外,其餘各變數均未有顯著之因果關係。以變異數分解來看,定價誤差、價格波動率、成交量變動率、未平倉量變動率各變數之變異由自身的解釋程度最高(皆大於90%以上),顯示此四個變數之外生性都很強,未來在探討上述四個變數相關問題時,應將變數本身前後期納入考量,以增加模型解釋能力。另由衝擊反應函數分析,當定價誤差發生變動時,期貨價格波動變動率會立即發生反應,而形成前三期正負向交替影響,並在第3期後逐漸減弱後消失。此外,定價誤差對成交量變動率的影響最大,且呈正負向交替的影響,而期貨價格波動變動率受其本身變動而產生之反應最強烈,其中大部分為正向反應,並於第一期反應最大後便迅速下降,另外成交量變動率受其本身變動而產生之反應亦最大,第一期均為負向反應且反應最強烈,第2期後呈正負向交替的影響漸漸收斂消失。
This study examines the relation between the mispricing, volatility, volume and open interest of Taiwan Single-stock futures (SSFs) using vector autoregressive model (VAR). The Granger causality test shows that only one significant causality relationship is found between the rate of change in the open interest and mispricing. In the forecast error variance decomposition, for mispricing, volatility, volume and open interest, each series has the higher degree of interpretation (all greater than 90%) for its own than for other series. In the impulse response function analysis, the rise of changes in the rate of volatility has both positive and negative impacts on the change in mispricing. The impulse response gradually decays after the third period. Volume is greatly affected by the mispricing. Both volume and volatility are impacted by their lag information. All impact by rapidly decline after the first period.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079972511
http://hdl.handle.net/11536/50851
顯示於類別:畢業論文