探討S&P500 現貨與亞洲市場期貨之領先/落後關係

Abstract

本研究目的於探討美國S&P 500現貨指數，對於於亞洲香港恆生期貨指數、日本日經225期貨指數及台灣加權股價期貨指數之間的領先落後關係。並將2006年1月1日至2012年9月25日之每日報酬率配適GARCH和EGARCH模型進行研究分析。 本文討論美國S&P 500現貨指數對於亞洲三國期貨指數之當期、領先/落後1期、領先/落後2期、領先/落後3期之關係，對於每種領先落後關係皆配適GARCH(1.1)模型與EGARCH(1.1)模型，及利用AIC準則來選擇佳模型。 研究結果可瞭解S&P 500現貨指數和亞洲市場期貨指數間的領先落後關係與酬波動性，利於投資者作為投資策略上的參考，以從中獲取最大利益。一般認為，期貨市場會比現貨市場提早反應，亦即期貨市場領先現貨市場，但由美國指數權數更新速度全球最快，指數權數更新速度愈快，代表著投資者對經濟現況的敏感度愈高，且S&P 500股價指數佔紐約證交所股票總值80%以上，相當具有指標性，因此本研究動機即驗證S&P 500現貨指數是否領先亞洲市場期貨指數。經由實證分析，發現S&P 500現貨對於亞洲市場之當期、領先一期、領先三期、模型係數顯著，對於台股期貨指數，S&P 500現貨多了一個落後二期的結果。

The purpose of this study is investigated the lead/lag relationships between S&P 500 stock index in U.S.A. and Asia, including Hong Kong, Japan and Taiwan, stock index futures. We take the closing price into the rate of log return and fit the time series model with GARCH and exponential GARCH effects from January 1, 2006 to September 25, 2012.

The study investigate the lead/lag relationship between S&P 500 stock index and Asia stock index futures by current period, first-period lead/lag , twice-period lead/lag, third-period lead/lag, and fit GARCH(1.1) and EGARCH(1.1) for S&P 500 stock index and Asia stock index futures; Furthermore, we choose the best model by AIC rule.

By the study, we will know the lead/lag relationship and Returns Volatility between S&P 500 stock index and the Asia stock index futures. The study also will be the best policy for inventory. General speaking, the stock index futures will faster than the stock index. Due to American stock index is the latest in the world and it is accounting for 80% of the total value in the New York Stock; In other words, it’s quiet to be indicator. Thus, it’s our purpose to test and verify whether S&P 500 stock index leads Asia stock index futures or not. As the result, they have current period, first-period lead and third-period lead between S&P 500 stock index and Asia stock index futures, but for TWSE, S&P 500 has extra relationship in twice-period lag