台股指數期貨與現貨於台灣50ETF發行前後的非線性動態關係研究：門檻誤差修正模型

Abstract

本文利用門檻誤差修正模型（TVECM）來探討台灣50ETF（TTT）發行前後，台指期貨與現貨間的非線性動態關係。實証結果顯示：除了顯著的門檻共整合外，台指期貨與現貨間亦存在著長期非線性調整及短期非線性動態關係。且研究發現，台灣50ETF的發行確實有效提升期貨與現貨的連動關係，促進市場的訂價效率。然而，就整體而言，台指期貨相對於台指現貨仍然保有較強的領先性。

This article investigates the nonlinear dynamic relationship between the index futures and the underlying index, and the effect of creation of tracking stocks on the cash-futures pricing relationship. Using the threshold error correction model (TVECM), we estimate the effect of the introduction of the Taiwan Top50 Tracker Fund (TTT) on the pricing relationship between the TAIEX index futures and cash. The empirical results reveal the presence of threshold cointegration, nonlinear adjustment, and nonlinear dynamic coefficients, and support the hypothesis that the introduction of tracking stocks on indexes tightens the spot-futures pricing relationship.