股價指數期貨交易對其現貨的影響

Abstract

近年來由於我國證券市場快速發展，市場規模日益擴大，由先前的地方性市場，逐步開放外國法人及自然人參與國內證券市場投資，投資人對於股市投資避險工具需求日益殷切，使股價指數期貨的需求呼聲日亦升高，因此我國於民國八十七年七月二十一日正式掛牌上市台灣股價指數期貨，於一年後，再推出類股指數期貨，因此本研究以台灣所推出的台股期貨（TX）、電子期貨（TE）及金融期貨（TF）為研究對象，探討股價指數期貨推出後會不會對股價指數的波動性及成交量造成影響，及股價指數期貨開始交易後，股價指數期貨的波動性是否會對現貨的波動性造成影響。本研究以日資料為主，採用時間序列之介入模型與GARCH（1,1）模型做為實證上的研究方法。實證結果如下：(一)引進股價指數期貨交易並未對其現貨日周轉率造成顯著的影響；（二）引進股價指數期貨交易對其現貨報酬波動的影響上發現，電子期貨引進後會導致現貨報酬波動的降低，而台股期貨與金融期貨的引進則未對其現貨報酬波動造成影響；（三）股價指數期貨引進後，股價指數期貨的波動性並未對其現貨波動性造成影響。由上述的結論得知，一般而言在台灣的資本市場中，引進股價指數期貨交易對其現貨的波動性及成交量並沒有太明顯的影響，探究其中可能的原因為，相較於國外期貨市場目前台灣期貨市場的成交量仍然偏低。

In recent years, our stock market has been growing faster and faster, and foreigner are also allowed to invest in our stock market. The government decided to open the stock index futures trading to supply business and personal investors some hedging tools. In 1998, TAIFEX started to offer Taiwan index futures. After one year, TAIFEX continued to offer industries index futures. This study wants to know when the stock index futures is offered, does it have any effect on spot market? This research's data used the daily data and applied the intervention model and GARCH(1,1) model. From empirical results, we can get the following summary: First, the stock index turnover in the spot market did not significantly effect since stock index futures start trading. Second, the electric industry index volatility in spot market is significantly decrease, but other index volatility in the spot market have no significantly effect since stock index futures start trading. Third, after the stock index futures start to trade, the stock index futures volatility can not affect the stock index volatility.