指數期貨與ETF間商品價格發現功能探討

Abstract

本研究將探討在高科技泡沫化下當股價偏離基本面與高科技泡沫崩盤後股價漸漸回歸基本面後，對於美國S&P 500指數、DJIA指數及Nasdaq 100指數間分別在現貨、指數期貨、E-mini指數期貨及ETF等市場中是否存在有共整合關係及長期均衡，並分析如果確實存在長期均衡關係且發生偏離時，是否能藉由短期動態均衡調整回到長期均衡關係；利用因果關係分析探討此三大指數市場何者具有主導走勢的領先地位；當美國股市受到衝擊影響時，對彼此互動程度是否存在變化，並分析其所受衝擊之反應程度，此外更進一步驗證是否符合交易成本假說。

The purpose of this study is to find out if there are definite co-integration and long-term balance relationships existed among S&P500, DJIA, and Nasdaq100 indexes in stocks and index futures (E-mini and ETF) markets. If there were a long-term co-integration relationship existed and bias happened; then, could a long-term balance still be reached through short-term adjustments? The study tries to find which of those 3 indexes leads the market; and if there were impacts in the States’ stock market, would interactions among those indexes be influenced, and how? Furthermore, the study will also exam the price-propheting functions of those indexes after bubble high-tech and stock prices fluctuations are experienced.