為了解期貨與現貨間存有何樣的連動關係, 故本文以持有成本理論為基礎, 並選擇使用臺股期貨和發行量加權股價指數、電子期貨和電子類分類指數、金融期貨和金融保險類分類指數的資料加以分析。再因資料波動具有叢聚性, 所以在分析過程中亦將條件異質變異列入考量。

而研究結果發現, 利用上述資料所估出結果皆與持有成本理論之理論值相當接近, 因此本文認為在觀察期貨與現貨的價格關係時, 持有成本理論確實具有其相當之參考價值。另外也發現, 在不拒絕指數期貨與現貨存有條件異質變異的情形下, 使用考慮此效果的估計方法, 則估計結果可能會較偏向認為真實與理論符合。相反的, 若使用未考慮此效果的估計方法, 則估計結果可能會偏向認為真實與理論有較大的落差。

In order to comprehend the relation between futures and spots, the Cost-of-carry model was used as the fundamental of this article, and the data of TAIEX futures and capitalization weighted stock index, electronic sector index futures and electronic sector index, finance sector index futures and finance sector index was chosen for further analysis. Due to the volatility clustering of the data, we consider the conditional heterescedasticity through the progress of analyzing.

According to the research result, the estimation of data above is fairly close to the theoretical value of Cost-of-carry model. Hence, we consider the Cost-of-carry model was of importance while observing the relations between futures and spots.It was also found that under the circumstances of no rejecting the existence of conditional heterescedasticity between index futures and spots, using the estimation method that considers the effect could lead to the result of the consistency between actual and theoretical value. On the contrary, by using the estimation method that ignores the effect might cause a larger divide on the estimation result of actual and theoretical value.

1 緒論 1
1.1 研究動機與目的. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 文章架構. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2 理論與文獻 2
2.1 持有成本理論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2.2 文獻回顧. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
3 研究方法 5
3.1 落後期數的決定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
3.2 ARCH, GARCH and CCC-GARCH 模型. . . . . . . . . . . . . . . . 5
3.3 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
3.4 共積數目檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
3.5 使用FGLS 估計條件異質變異下的共積參數. . . . . . . . . . . . . . . 15
3.6 殘差GARCH 效果檢定. . . . . . . . . . . . . . . . . . . . . . . . . . 19
4 實證分析 22
4.1 資料來源與處理. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
4.2 單根檢定結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
4.3 臺股期貨與發行量加權股價指數. . . . . . . . . . . . . . . . . . . . . . 25
4.3.1 共積數目檢定結果. . . . . . . . . . . . . . . . . . . . . . . . . 25
4.3.2 共積參數估計. . . . . . . . . . . . . . . . . . . . . . . . . . . 26
4.4 電子期貨與電子類分類指數. . . . . . . . . . . . . . . . . . . . . . . . 28
4.4.1 共積數目檢定結果. . . . . . . . . . . . . . . . . . . . . . . . . 28
4.4.2 共積參數估計. . . . . . . . . . . . . . . . . . . . . . . . . . . 29
4.5 金融期貨與金融保險類分類指數. . . . . . . . . . . . . . . . . . . . . . 31
4.6 考慮條件異質變異及未考慮條件異質變異之估計結果比較. . . . . . . . . 32
5 結論與建議 33
參考文獻 34

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