臺灣博碩士論文加值系統

台灣期貨交易所上市之金融指數期貨與股票期貨市場均有開盤時間早於標的現貨股票市場，而收盤時間晚於標的現貨股票市場的現象。本文將採用台灣期貨交易所金融指數期貨與金融類股票期貨，運用Wang et al. (2019)所提出實證方法，以比較運用期貨收盤價格以預測次一交易日現貨開盤價格以及運用期貨開盤價格以預測當日現貨開盤價格之預測績效。
本文實證發現：(1)以期貨開盤價格以預測當日現貨開盤價格之預測績效，顯然優於以期貨收盤價格以預測次一交易日現貨開盤價格之預測績效。(2)以金融指數期貨價格預測現貨指數開盤價格的績效顯著地優於以金融類的股票期貨價格預測現貨股票開盤價格的績效。

The TAIFEX (Taiwan Futures Exchange) finance sector index futures and single stock futures markets close later and open earlier than the underlying spot markets. Using the TAIFEX finance sector index futures and single stock futures contracts as a sample and the empirical method proposed by Wang et al. (2019), this study investigates the forecasting performance of using the futures prices of extended trading hours to predict the opening spot price on the same day.
The empirical results indicate that (1) using the opening futures price to predict the opening spot price on the same day outperforms using the closing futures price to predict the opening spot price on the next trading day (2) the forecasting performance of using the finance sector index futures contract to predict the opening underlying index is significantly superior to that of using the finance sector single stock futures contract to predict the opening stock price.

中文摘要 --------------------------------------------------------------------------- i
英文摘要 --------------------------------------------------------------------------- ii
誌謝 ---------------------------------------------------------------------------iii
目錄 --------------------------------------------------------------------------- iv
表目錄 --------------------------------------------------------------------------- v

壹、緒論----------------------------------------------------------------------1
一、研究動機------------------------------------------------------------------1
二、研究目的----------------------------------------------------------------3
貳、文獻探討----------------------------------------------------------------5
一、金融指數期貨契約與股票期貨契約規格-------------------------5
二、現貨指數與指數期貨之間價格領先落後關係之
實證文獻----------------------------------------------------------------9
三、較晚收盤與提早開盤之期貨市場具有現貨市場資
訊內涵之實證文獻---------------------------------------------------10
四、現貨股票融券賣出限制或禁止與股票價格對於新
資訊調整速度之間關係---------------------------------------------12
參、研究方法---------------------------------------------------------------14
一、實證方法---------------------------------------------------------------14
二、資料來源與說明------------------------------------------------------19
肆、實證結果分析---------------------------------------------------------21
一、運用期貨價格以預測現貨開盤價格上漲或下跌之
命中次數與命中率---------------------------------------------------21
二、運用期貨價格以預測現貨開盤價格之MAPFE分析----------30
伍、結論與建議------------------------------------------------------------43
一、結論---------------------------------------------------------------------43
二、建議---------------------------------------------------------------------44
參考文獻---------------------------------------------------------------------------46

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