股价指数期货与现货价格关联性之研究

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2002年管理創新與新願景研討會 C-1

股價指數期貨與現貨價格關聯性之研究

An Study of Lead-Lag Relationship between Stock Index Futures and Spot

Prices

陳勁甫 南華大學旅遊事業管理研究所助理教授 錢怡成 南華大學財務管理研究所研究生

嘉義縣大林鎮中坑里中坑32號 E-Mail:c211@ms2.hinet.net

摘要

股價指數期貨不論在理論或實證研究上，大多預測期貨市場對於新資訊的反應能力較現貨市場快，且可能加速現貨市場反應新資訊的速度，亦即隱含明顯的領先落後關係。本文研究台股指數期貨與現貨間的Granger因果關係，研究資料為1998/07/21~2002/01/18的每日收盤價及日內五分鐘資料。以單根檢定、共整合、Granger因果關係，進行研究期貨與現貨價格之領先-落後關係。實證研究顯示：期貨與現貨資料呈現非定態的時間序列，經過一階差分後使資料為定態的時間序列，根據共整合之檢定結果發現台股指數期貨與現貨市場間，已具有穩定的長期均衡的關係，其次，Granger因果關係檢定得知期貨領先現貨，領先時間大約為5~15分鐘。

關鍵詞：股價指數期貨、單根檢定、共整合分析、Granger因果關係

ABSTRACT

From theories or previous empirical studies, it exists the fact that futures market is more sensitive than spot market, In other words, it implies a significant lead-lag relationship. Therefore, the purpose of this paper is to examine the Granger causality between FUTURE and SPOT prices of Taiwan stock index tests. By using the daily closing prices and five-minutes interval data during 1998/07/21 ~ 2002/01/18. Through cointegration and Granger causality tests, we examine the lead-lag relationship between Taiwan Stock Index Futures and Spot Market. The cointegration analysis reveals that there is a long-run equilibrium relationship between these two nonstationary price series. Granger causality implyexamination gives us the idea that the futures market leads the spot market by around five to fifteen minutes.

Keywords: Stock Index Futures, Unit Root test, Cointegration analysis, Granger causality

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