标题: 门槛向量误差修正模型在金融市场之运用
The applications of the threshold vector error correction model in financial markets
作者: 魏伶如
Ling-Ju Wei
钟惠民
许和钧
Huimin Chung
Her-Jiun Sheu
管理科学系所
关键字: 门槛向量误差修正模型;美国存托凭证;交易成本;threshold vector error correction model;ADR;transaction cost
公开日期: 2005
摘要: 本研究使用门槛向量误差修正模型(threshold vector error correction model),探讨两个领域中,衍生性金融商品与其标的物价格间之动态关系。第一个主题,是有关于美国存托凭证(ADRs)与其标的股价格间的动态关系;第二个主题则是有关于交易成本的减少对于台湾期货交易所(TAIFEX)电子现货与电子期货间领先落后之关系。
在第一个主题中,本研究使用的近年来所发展的门槛共整合架构,着手估计存在于美国存托凭证(ADRs)与其标的股价格间动态关系,本实证结果支持美国存托凭证(ADRs)与其标的股价格间存在非线性均数复归(mean-reversion)的现象;而在极端状态(extreme regime)下,门槛向量误差修正模型中误差修正项的系数估计显示出较线性向量误差修正模型所估计的系数大;在美国存托凭证(ADRs)与其标的股价格间的短期动态效果,在典型状态(typical regime)与极端状态(extreme regime)之间是有显着的差异。
在第二个主题中,本研究估计台湾期货交易所电子现货与电子期货之间长期均衡、短期动态关系,并检视其价格间是否存在着非线性的关系。本研究使用台湾期货交易所(TAIFEX)电子现货数与电子期货之间的价差,于调降交易税后进行线性模型与非线性模型预测能力的比较。于民国89年5月1日后,台湾期货交易所(TAIFEX)的期货交易税由千分之零点五调降为千分之零点二五。研究发现在减税后,台湾期货交易所(TAIFEX)电子期货扮演一个价格发现的角色;而且门槛值也随之降低;在样本外的预测比较显示门槛向量误差修正模型的结果是较线性向量误差修正模型佳。
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.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009131806
http://hdl.handle.net/11536/56780
显示于类别:Thesis


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