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研究生: 林俊佑
Lin, Chun-Yu
論文名稱: 台灣期貨市場頻繁交易人對期貨市場報酬波動的影響
The Impact of Frequent Traders on Return Volatility in Taiwan Futures Market
指導教授: 蔡蒔銓
Tsai, Shih-Chuan
學位類別: 碩士
Master
系所名稱: 管理研究所
Graduate Institute of Management
論文出版年: 2018
畢業學年度: 106
語文別: 中文
論文頁數: 41
中文關鍵詞: 頻繁交易預期與未預期成交量GARCH模型Component GARCH模型
英文關鍵詞: Frequent Trade, Expected and Unexpected Volume, GARCH Model, Component GARCH Model
DOI URL: http://doi.org/10.6345/THE.NTNU.GIM.003.2018.F08
論文種類: 學術論文
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  • 本研究主要目的為探討台灣期貨市場中,頻繁交易人對於期貨市場報酬波動的影響。我們以台灣期貨市場中的大台指期貨與小台指期貨為研究標的,並根據成交量大以及持倉率低兩個特徵篩選期貨市場中的頻繁交易人。將頻繁交易人成交量區分為預期與未預期兩部分,以GARCH模型及不對稱Component GARCH模型探討其對市場報酬波動的影響。
    實證結果發現預期成交量與市場報酬波動呈正向顯著關係,未預期成交量與市場報酬波動呈負向關係但不顯著,不同過去多數文獻發現市場波動為未預期成交量所解釋。長期波動與短期波動亦皆由預期成交量所解釋,呈正向顯著關係。此外,本研究發現預期成交量對於短期波動的影響大於長期波動。

    The main purpose of this study is to examine the impact of frequent traders on the return volatility in Taiwan futures market. We use the TAIEX Futures (TX) and the Mini-TAIEX Futures (MTX) as our research topic. In this study, Frequent traders are identified by two characteristics: large trading volume and low position level. Decomposing frequent traders’trading volume into expected and unexpected components, we use GARCH and asymmetric Component GARCH model to investigate influence of expected and unexpected trading volume on the market return volatility.
    The results suggest a positive relationship between the expected trading volume of frequent traders and market return volatility. But there is a negative but non-significant relationship between the unexpected trading volume of frequent traders and market return volatility. On the other hand, we apply asymmetric Component GARCH model to decompose market return volatility into the permanent component and the transitory component. The results suggest that the expected trading volume of frequent traders is positively correlated with the permanent component and the transitory component. Furthermore, we find that the expected trading volume of frequent traders has larger effect on the transitory component than the permanent component.

    第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 2 第三節 研究架構 3 第二章 文獻回顧 4 第一節 高頻交易定義 4 第二節 價量關係 4 第三節 金融資產價格波動叢聚性 5 第四節 價量關係的GARCH模型 6 第五節 金融資產報酬波動不對稱 7 第六節 金融資產報酬波動組成成分 7 第七節 預期與未預期交易與波動性的關係 8 第八節 高頻交易與波動度 8 第三章 研究方法 9 第一節 樣本資料來源與說明 9 第二節 頻繁交易人的定義 12 第三節 研究變數定義 13 第四節 期貨市場報酬波動與頻繁交易人成交量的動態關係 13 第五節 頻繁交易人成交量與期貨市場報酬波動的迴歸模型 17 第四章 實證結果與分析 20 第一節 敘述性統計 20 第二節 AR模型 21 第三節 AR-GARCH模型 23 第四節 不對稱Component GARCH模型 29 第五章 結論與建議 36 第一節 研究結論 36 第二節 研究建議 37 參考文獻 38

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