門檻向量誤差修正模型在金融市場之運用

Abstract

本研究使用門檻向量誤差修正模型(threshold vector error correction model)，探討兩個領域中，衍生性金融商品與其標的物價格間之動態關係。第一個主題，是有關於美國存託憑證(ADRs)與其標的股價格間的動態關係；第二個主題則是有關於交易成本的減少對於臺灣期貨交易所(TAIFEX)電子現貨與電子期貨間領先落後之關係。 在第一個主題中，本研究使用的近年來所發展的門檻共整合架構，著手估計存在於美國存託憑證(ADRs)與其標的股價格間動態關係，本實證結果支持美國存託憑證(ADRs)與其標的股價格間存在非線性均數復歸(mean-reversion)的現象；而在極端狀態(extreme regime)下，門檻向量誤差修正模型中誤差修正項的係數估計顯示出較線性向量誤差修正模型所估計的係數大；在美國存託憑證(ADRs)與其標的股價格間的短期動態效果，在典型狀態(typical regime)與極端狀態(extreme regime)之間是有顯著的差異。 在第二個主題中，本研究估計臺灣期貨交易所電子現貨與電子期貨之間長期均衡、短期動態關係，並檢視其價格間是否存在著非線性的關係。本研究使用臺灣期貨交易所(TAIFEX)電子現貨數與電子期貨之間的價差，於調降交易稅後進行線性模型與非線性模型預測能力的比較。於民國89年5月1日後，臺灣期貨交易所(TAIFEX)的期貨交易稅由千分之零點五調降為千分之零點二五。研究發現在減稅後，臺灣期貨交易所(TAIFEX)電子期貨扮演一個價格發現的角色；而且門檻值也隨之降低；在樣本外的預測比較顯示門檻向量誤差修正模型的結果是較線性向量誤差修正模型佳。

This dissertation employed the threshold vector error correction model (VECM) to investigate (1) the dynamic relationship between the prices of American Depository Receipts (ADRs) and their underlying stocks and (2) the effect of transaction cost reduction on the lead-lag relationship between the Taiwan Futures Exchange (TAIFEX) Electronic Index and Futures. First, this study set out to estimate the dynamic relationship that exists between the prices of ADRs and their underlying stocks using a number of recent developments of the threshold cointegration framework. The empirical results support the notion of nonlinear mean-reversion of the prices of ADRs and their underlying stocks. The estimated coefficients of the error correction terms in the ‘extreme’ regime appeared to be larger than those in the linear VECM. The short-run dynamic effects of ADRs and UND prices showed significant differences between ‘typical’ and ‘extreme’ regimes. Second, this study explored the dynamic relationship that exists between prices of the TAIFEX Electronic Index and Futures, in both the short-run and the long-run, and examined the possible nonlinear relationship between them. Using prices of the TAIFEX Electronic Index and Futures, this study carried out a number of forecast comparisons of the out-of-sample predictability of linear and nonlinear models after TAIFEX Electronic Futures reduced the transaction tax from 5 basis points to 2.5 basis points on May 1, 2000. Results showed that the TAIFEX Electronic Futures plays a dominant price discovery role. The threshold value decreased after a transaction tax reduction. An out-of-sample comparison was conducted, which showed that the forecast results of the threshold VECM were more reliable than those of the linear VECM.