本文欲採用Bae and DE Jong (2007) 一文中所提出之非線性共整合回歸模型(nonlinear cointegrating regression) 為計量方法, 對期貨之訂價理論-持有成本理論(Cost-of-carry) 進行相關之實證研究, 而又因為持有成本理論之基本假設為市場為完美市場(perfect market) 故檢驗持有成本理論也相當於同時檢定市場之效率性, 本文分別以台灣加權股價指數與台灣證券交易所股價指數期貨、電子類股加權指數與電子類股價指數期貨、金融類股加權指數與金融類股價指數期貨為研究標的, 並將資
料區分為日收盤資料、截至下午一點半之日收盤資料與五分鐘收盤資料三種分別進行實證並於最終結果可知持有成本理論於台灣之期貨市場, 除了於金融市場之五分鐘收盤資料之結果為不顯著外其他市場均為顯著。

This article adopt ”nonlinear cointegrating regression” model, which was published by Bae and DE Jong in 2007, to conduct related empirical research on one of the pricing theories of futures-Cost of carry theory. Since cost of carry theory is based on the assumption that the market belongs to ”perfect market”, the test for cost of carry theory is accompanied by the test of the
efficiency of the market. This article takes Taiwan Stock Exchange Capitalization Weighted Stock Index 、Taiwan Stock Exchange Electronic Sector Index and Taiwan Stock Exchange Finance Sector Index as our researching target and the final result exhibits that the cost of carry theory is mostly significant in the future market of Taiwan .

1. 緒論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6
1.1 研究動機與目的. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 6
1.2 持有成本理論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 7
1.3 文獻回顧. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ...8
2. 研究方法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.1 Augmented Dickey-Fuller檢 定. . . . . . . . . . . . . . . . 12
2.2 KPSS 檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.3 DF-GLS 檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.4 Ng-Perron 檢定. . . . . . . . . . . . . . . . . . . . . . . . . . ... . . 18
3. 計量方法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
3.1 模型介紹. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
3.2 非線性共整合回歸模型. . . . . . . . . . . . . . . . . . . . . . . . 21
3.3 NCLS Estimataor . . . . . . . . . . . . . . .. . . . . . . . . . . . . 23
3.4 FMOLS Estimator . . . . . . . . . . . . . . . . . . . . .. . . . . . . 23
4. 實證研究. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
4.1 資料來源與處理. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
4.2 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
4.3 FMOLS 持有成本理論實證結果. . . . . . . . . . . . . . . .. 31
5. 結論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
附錄. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ... . . . . . . . . . . 40
參考文獻..............................................................................40

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