Dissertations / Theses on the topic '期貨市場'
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XIE, SHANG-YUAN, and 謝上元. "期貨市場之研究──以股價指數期貨市場為中心." Thesis, 1990. http://ndltd.ncl.edu.tw/handle/50038444341943082473.
Full textLiu, Chien Shan, and 劉建杉. "台股指數現貨與期貨及期貨市場間關聯性分析." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/90866022282601967045.
Full text阮麗蓉. "個股期貨上市對現貨市場報酬率之影響." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/98965600214026699370.
Full textTsai, Norman, and 蔡佳晉. "台灣公債期貨市場之研究." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/32066788652386927230.
Full text國立政治大學
經營管理碩士學程
93
Since the Taiwan government bond futures trade, the market is lack of liquidity during the year. For the problem, this paper considers the layers of market structure, trading convention and relative theories, try to analysis the causes of less liquidity and resolve the liquidity problem. On the other hand, by making the survey this paper sums up the opinions from the participants of the bond futures market. This paper, which could help the Taiwan Futures Exchange in designing other interest rate derivatives, will wish to give some useful reference.
吳焜龍. "台指期貨之價格發現-市場內與跨市場研究." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/36243089294190532391.
Full text詹博欽. "類股指數期貨交易對現貨及台股指數期貨市場之影響." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/16564451694164294384.
Full textLi, Joving, and 李忠穎. "台灣現貨與期貨市場價格行為∼小型台指期貨創立之影響." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/62383288647480311337.
Full text國立臺北大學
合作經濟學系
90
The Taiwan Futures Exchange launched the mini Taiwan stock index future (MTX) on April 9, 2001 that made Taiwan’s financial market to diversify. Stock index futures has the functions of hedging effect, price discovery and speculations. Although MTX, one kind of derivative contracts, was developed late in the derivatives market, it is also the most popular one. This research used the daily closing prices of the Taiwan stock index and Taiwan futures index. The sample extends from July 21,1999 to November 30,2001. The analysis models are based on Threshold GARCH Model (TGARCH) and Bivariate Exponential GARCH Model (Bi-EGARCH) to explore the effects of MTX trading on spot market and future market volatility and the asymmetric responses of volatility. The major stages of the study are 1.Threshold GARCH analyzes the questions of whether MTX trading ha increased or decreased the level of volatility or the asymmetric responses of volatility in spot market with a dummy variable.2.research analyzes the question of whether MTX trading has changed or unchanged the market structures.3.to determine whether the MTX trading has led to changes in the asymmetric response of volatility is analyzed by Bi-EGARCH with a dummy variable. Stock and Futures data are used in estimating asymmetric models to assess the extent to which the asymmetric responses of volatility in the spot market and futures market are different from the other market. From the empirical results, the major findings of the paper are 1.from empirical results, spot market and futures market added rises to volatility. 2.no significant differences are found to introduce MTX in the market structure. 3. from TGARCH model estimation, the introduction of MTX really made leverage in electrical index, but made adverse-leverage in financial index; from Bi-EGARCH model estimation, there is the leverage in TAIEX index.
Wei, Jennifer, and 韋月桂. "台灣期貨市場交易策略之研究." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/51059953116876152913.
Full textWan, Janet H., and 萬幸真. "現貨市場交易制度改革對期貨市場外溢效果之研究-以TAIFEX為例." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/44741281367768507672.
Full text國立政治大學
財務管理研究所
91
Abstract The Taiwan Stock Exchange adopted four main trading mechanisms. (elimination of the two up/down tick, intra-day volatility interruption, 5-min closing call auction, and disclosure of the best five bid/ask price and volume) This paper investigates the spillover effects on TAIFEX after considering the special market microstructure and trading systems in Taiwan. The major findings are as follows: 1. Trading volume and return volatility increase first and then decrease, under the assumption that ‘ no significant macroeconomic changes ’, spillover effects exists.
吳百正. "台股期貨市場弱式效率性之研究." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/97697464763675027305.
Full text國立臺灣科技大學
財務金融研究所
92
In this study, we use the technique analysis to test whether the technique indicators can obtain excess return and whether Taiwan index (TX) future market can support weak-form efficiency. Besides, we consider effect of stop loss mechanism and price pattern on trading performance. In this study, the sample contains Taiwan index future daily data from September 1998 to December 2003. The empirical result is: 1.In the total sample period, all technique indicators cannot obtain the significant profit after the transaction cost. It means that in the long term, the Taiwan index future market support the weak-form efficiency. 2.In the total sample period, the stop loss mechanism can improve the trading performance. The trading strategies with stop loss mechanism earn significant profit. 3.There is significant performance difference between the trend period and non-trend period. Hence, the Taiwan index future market does not have efficiency in the short term.
林威沂. "期貨契約之設計與市場管理之探討." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/99447612468400889407.
Full textLIN, CAI-HUI, and 林彩蕙. "外匯期貨選擇權市場之效率性檢定." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/93118029186492993852.
Full textHUANG, WEI-WEN, and 黃蔚文. "貨幣市場利率期限結構--預期理論之實證研究." Thesis, 1991. http://ndltd.ncl.edu.tw/handle/80325250341426666825.
Full text陳威良. "市場價格短期回復的探討 -台灣加權指數期貨." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/88678837384158391899.
Full textHuang, Ming-Yu, and 黃銘裕. "臺灣股市放空管道與指數期貨市場特性之研究." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/74818083453849232681.
Full textYIN, LIN KUN, and 林坤吟. "台灣指數期貨市場技術分析之實證研究." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/24528497728633064357.
Full text呂東晏. "不完全競爭下期貨市場分析文獻之評介." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/44559549110430605834.
Full textLi, Li Wen, and 李麗雯. "臺灣貨幣市場利率期限結構之共積分析." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/11266591256236292669.
Full text何宣儀. "股價指數期貨套利機會分析並驗證國內期貨市場之有效性-以台股、電子、金融期貨為例." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/23876138946382218874.
Full text洪舜華. "摩根臺灣股價期貨指數到期效應對股票市場的影響." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/47715141431414182212.
Full text國立臺北大學
企業管理學系
90
Abstract Recently, in the trend of financial international and freedom, derivatives products were created more and more than before, especially in index futures. The trading of index futures has significantly impact on stock markets. There are many empirical studies show that stock markets will have abnormal behavioral when index futures expire. This is known as the expiration effect. This study uses OLS、EGARCH、GJR、 White’s Heteroskedasticity and Price Reversal Model to analyze the effect of the expiration of the index futures in the return, conditional volatility, and trading volume of the underlying assets. We hope this study will help investors understand how expiration effect influence the behavior of stocks in order to avoid potential risk and to enhance the profit opportunities. The selection of samples is from ninety listed companies that has the principals of heavy weight on index future in the period of the research. We selected TSMC、UMC and others, totally nine companies as our samples. In the same principles, we selected ECS and OSE etc., totally five companies to be the control group in the horizontal period. Moreover, we extended the study period to five more years before futures started trading as the control group in the vertical period. That will let the conclusion more objective and accuracy. The conclusions of this study are: (1) In return, expiration effect have significant effects on TSMC and UMC, especially on expiration day. This indicates that institutional investors will control heavy weighted stocks in order to influence future price. (2) In the influence of expiration effect, the conditional volatility of the individual stocks increased on expiration day and decreased before expiration day. (3)In trading volume, the impact of expiration effect is greater than return and conditional volatility. Moreover, the impact of expiration effect is greater in stock than in index and is less in heavy weighted stocks, and the influence of expiration day is greater than the day before expiration day. (4)According to the study of the control group in the horizontal period, the expiration effect of stock index futures will influence the whole stocks market not only Morgan Stanley component stocks. (5)According to the study of the control group in the vertical period, there is still some expiration effect on some stocks even no index futures trading. (6)Observation group and control group show no price reversal. This evidence indicates the expiration effect wills not extent to the day after expiration. Moreover, the study showed, no matter index or stock, there are negative return, less volatility and trading volume before expiration day. This indicates that investors tend to sell their stocks and to observe market for a while. The negative return is because of selling their holdings from investors；the less volatility and volume is because of the retreat of investors.
李昀薇. "台股指數現貨、期貨與選擇權市場交互動態關聯之探討." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/10366304897809769039.
Full text東海大學
國際貿易學系
93
This paper develops a multivariate GJR GARCH-M with Threshold Conditional Correlation Model to analyze the return and volatility transmissions among stock, futures and options markets in Taiwan, as well as to investigate the risk premium, return-volume relationship and own and cross market asymmetric volatility transmission process. In addition, one of our innovations is to discover the asymmetric effect of positive and negative basis on return, volatility, and correlation. Further, this paper also employs implied volatility information of options market to explore the dynamic relationships among markets. The empirical findings are summarized as follows: (1).There exists significant return and volatility spillovers effect among three markets. (2) Our results show futures market plays the discovery role on return and volatility transmissions relative to the other two markets (3).Our research finds the evidence of positive feedback trading from spot or futures to options market; whereas, the possibility of momentum reversal phenomenon existing from options to spot or futures markets. (4).Spot market play significant role to make adjustments back to equilibrium between spot and futures markets. Besides, we demonstrate the degree of basis has significant impact on returns, volatility and correlation. (5).Our evidence indicates that the correlation between futures and options market is higher than that of the others. Of interesting, the larger the bias, the higher correlation between futures and options markets.
Hsu, Shih Shang, and 徐仕尚. "台灣指數期貨市場效率性-濾嘴法則之研究." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/90357711170717664032.
Full text國立政治大學
國際貿易研究所
92
This thesis adopts futures data, which are the daily closing prices of the Taiwan Stock Exchange Capitalization Weighted Stock Index futures contracts. The sample period is from September 2, 1998 to September 30, 2003, a total of 1304 transaction days. The goal we want to achieve is to test and verify the momentum by filter rules based on price and volume in the futures market in Taiwan. In addition, the open interest is substituted for the trading volume to exam its effect on the futures price. The empirical results show that we can predict the price trend as long as we employ an appropriate range value to filter out “the noise”.
陳錦旋. "我國期貨市場之建立暨管轄權歸屬之研究." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/36981472998378735604.
Full textFu, Rui Bin, and 傅瑞彬. "期貨市場操縱行為:壟斷與壓擠之經濟分析." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/42794500335303553563.
Full text廖崇豪. "期貨與現貨價格之關連性分析與預測─以芝加哥玉米及股價指數期貨市場為例." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/53045290618820152152.
Full textZhuang, Ding Xu, and 莊定旭. "股價指數現貨與期貨關係研究:美國股市崩盤前後兩市場關係實證." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/49942847802067347006.
Full textFU, HE-JIN, and 伏和靖. "台灣地區貨幣市場利率期限結構之實證研究." Thesis, 1989. http://ndltd.ncl.edu.tw/handle/26639847777175254943.
Full text劉勝興. "臺灣股價指數期貨與股票現貨市場資訊傳遞之關聯性研究." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/08319568965281914519.
Full textChiu, Jiun-Ruei, and 邱俊睿. "金融海嘯前後台股指數現貨、期貨與選擇權市場關聯之探討." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/06182761342719134047.
Full text國立中正大學
財務金融研究所
100
This study investigates the integration condition, information transmission and price discovery between spot, futures and options of Taiwan index in deer, bear and bull markets, adapting a put-call parity (PCP) approach to recover the spot index embedded in the options premiums. The empirical evidence suggests that there exists stable balance in long-term period among three markets and the price change comes from the lag terms of each market in short-term period. In deer and bear markets the sequence of price discovery efficience is futures, spot and then options. But in bull market spot is the poorest efficience. For the dynamic relationships among markets, futures and options in bear and bull markets have information feedback each other. In deer, bear and bull markets only transmits information from futures to spot. Also in deer and bear markets spot transmits information to options by single direction. In addition, variance disassembly finds the explaination percentage of futures, spot and options is similar. Innovation response shows three index commodities can reflect information impact within 15 minutes and back to normal level.
李偉誠. "S&P500期貨及其選擇權市場間之資訊傳遞關係." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/82720436742443283817.
Full textKuao, Polyon, and 郭保良. "臺灣物價膨脹率的長短期分析與貨幣市場結構." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/58074131444214543744.
Full textYeh, Chia-Jung, and 葉家榮. "台灣股票市場與美國公債和黃金現貨及期貨價格相關性分析." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/07261299758515820709.
Full textDuan, Xiao Wen, and 段孝文. "臺灣地區貨幣市場預期模型與效率市場假說之實證研究:變異數臨界檢定." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/90414649873941031723.
Full textHuang, Ren Zong, and 黃仁宗. "利率變異性與期限結構:臺灣貨幣市場之實證研究." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/58250598843653356471.
Full textWang, Chiao-wei, and 王喬緯. "個別投資人日內交易損益:臺灣期貨市場實證分析." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/86428791278420288143.
Full text國立中央大學
財務金融研究所
99
This thesis studies the performance of day trades in the Taiwan Futures Exchange (TAIEX) for the period between January 2007 and March 2009. We investigate the influence of past trading activities on subsequent returns from day trading. The results indicate that day trading is prevalent in the TAIEX futures market. Day trading accounts for 53% of total trading activities, of which individual investors account for 68% of the day trading volume. About 8% of the individual investors can profit by day trading; day trading of these investors accounts for 60% of all day trading activities. Heavy day traders can earn gross profits and their sufficient profits can cover transaction costs. There is a positive relation between past profitability and subsequent returns. Day traders who historically earned profits continue to earn profits. Moreover, trading performance will influence subsequent trading activities. Day traders with better performance will increase their day trading activities and traders with poor performance will reduce their day trading activities in subsequent three month period. Finally, we analyze the holding return of day trading. Heavy day traders have poor holding return than occasional day traders. They can accumulate excess profits through day trading, but not long-term holding strategy.
ZHOU, YU-CHEN, and 周遇宸. "遠期利率訊息之研究--臺灣地區貨幣市場之實証探討." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/61565834055538379118.
Full text鄒震宇. "從□臺灣期貨市場的建立過程□看國家角色的特殊性格." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/79265265251060223165.
Full textSU, HUI-TZU, and 蘇惠滋. "外資持股比率與股票、匯率及期貨市場之關聯性研究." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/82047275492044574501.
Full textLIN, YU-CHIH, and 林有志. "三大法人多空交易行為對臺灣指數期貨市場影響之研究." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/75157134176429819779.
Full textZheng, Jun Qian, and 鄭君茜. "臺灣地區貨幣市場費雪效果與利率期限結構之實證研究." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/19032583263543003048.
Full textLIU, TSAI-CHIN, and 劉彩琴. "商品期貨避險對股票市場績效影響之研究以食品類股為例." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/4nt7gv.
Full text張晉授. "貨櫃場作業費（THC）對於海運運費之影響─遠歐航線定期船市場運費的實證檢測." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/82274192403575183515.
Full textWANG, MING-ZHENG, and 王銘正. "貨幣市場與雙元性金融體係--金融政策短期效果之理論與實證." Thesis, 1987. http://ndltd.ncl.edu.tw/handle/71887491988452400361.
Full textLin, Ying-wen, and 林盈汶. "三大法人於台灣期貨市場之交易行為及其波動性關係之研究." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/30915423970469205324.
Full textChang, Hong-Shen, and 張宏生. "透過價量關係探討摩根台股指數期貨上市的宣告對股票市場流動性之影響." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/91871080448268265190.
Full text輔仁大學
管理學研究所
87
In order to invest in financial assets well, we have to consider liquidity. For the reason that liquidity, as risk and return, is the most important factor of stock pricing. Stocks with derivative commodity may have abnormal liquidity after index futures listing. This research try to explain the abnormal liquidity through price-volume theories: Price Pressure Hypothesis, Demand Curve Slopes Down Hypothesis and Information Hypothesis. First, through price-volume relationship, I use the event of SIMEX Taiwan stocks index futures listing to test the change of underlying stock price and volume. Second, separating these data into two groups (warranted stocks, non-warranted stocks), I try to test if their price and volume have changed abnormally. Finally, back to the subject of "liquidity", I use methodology of event study and multiple regression to test if their liquidity in different period were abnormal and try to interpret the result through price-volume relationship. These results are as follows: 1. All listing stocks price increased temporally at announced date, but it didn''t occur at listing date. 2. All listing stocks volume increased after announced date, but it decreased after listing date. 3. At announced date, non-warranted stocks price variation increased more than warranted stocks. 4. After announced date, all listing stocks liquidity increased. 5. After announced date, non-warranted stocks liquidity increased more than warranted stocks.
Weng, Sheng-Chih, and 翁勝治. "美國黃金期貨市場交易活動、價格波動性及訂價偏誤之實證研究." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/22066684443330107394.
Full text國立中正大學
財務金融研究所
101
This thesis investigate the dynamic relationship between trading activities, return volatilities, and pricing errors for NYSE gold futures. We focus on the interaction between variables, with and without pricing errors in the models. The empirical findings conclude as followers： A positive relationship between trading volume and volatilities of gold futures returns is found, which is consistent with previous studies. The direction of the correlation between open interests and return volatilities vary in different periods, indicating that the forces of price discovery and speculative/hedging activities may both exist, which jointly decides the direction of the above relationship. With the pricing error added, the relation between trading activities and return volatilities is no longer significant. The pricing error is negatively correlated to the trading volume as well as to the return volatilities, while positively to the open interests. The results of the Granger causality tests show that there is a bi-directional feedback relation between trading volume and open interests. Trading activities on the other hand lead return volatilities. After adding the pricing errors to the model, the relationships between trading volume and open interests and between volume and volatilities are either changed. However, now there is a feedback effects from open interests to volatilities which leads pricing errors. Pricing errors, in our study, do not play a critical role in linking the other variables of interest in gold futures market. We therefore consider our results being different from that of Ferris et al. (2002). In the impulse response analysis, each variable has significant impacts on itself. The results also suggest that trading activities increase the volatilities of futures returns. No significant changes are found after the joint of the pricing errors. No specific trends between pricing errors and other variables are detected. From the Variance decomposition analysis, we find that various trading activity variables have great impacts on each other. Pricing errors and volatilities appear be more exogenous than the other variables of interest.
Lee, Yen-Hsing, and 李彥興. "台指選擇權波動度偏頗成因探討：選擇權與期貨市場的最佳策略." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/56184668430765097636.
Full textLin, Yuru, and 林育如. "加入外資買賣超、市場交易資訊、波動率指標對期貨避險績效之影響." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/12177578000582698033.
Full textTseng, Wen-Hsien, and 曾文賢. "應用技術分析於外匯期貨市場是否具超額報酬:前行測試方法檢驗." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/16013182744084113066.
Full text國立東華大學
經濟學系
99
This paper discusses whether the use of technical analysis in the foreign exchange futures markets generates excess return. Based on walk forward analysis and White's reality check, we select 9 kinds of common trading systems to test their performance in 6 FX futures markets. They include Japanese Yen futures (JY), Swiss Franc futures (SF), British Pounds futures (BP), Euro dollar futures (EU), Canadian dollar futures (CD) and Australian dollar futures (AD). And the trading systems are Moving Aver-age Crossover (MA), Moving Average Convergence Divergence (MACD), Price Channel Breakout (PCB), Relative Strength Index (RSI), Stochastic line (KD), Bollinger Band (BB), Average Volume (AV), On Balance Volume (OBV) and Psychological line (PSY). The transaction costs including commissions and slippage are taken into account for a practical manner. The empirical results indicate that the out-of-sample performances of the best trading systems are generally poor under daily data with insignificant profitability. However, the performances are better on average under weekly data with significant profitability.
GUO, WEI-YU, and 郭維裕. "指數期貨與選擇權避險策略之績效評估－－以美國主要市場指數為例." Thesis, 1990. http://ndltd.ncl.edu.tw/handle/82143587076908214268.
Full text