• 作者： 黃玉娟
• 作者服務機構： 國立中山大學財務管理系
• 中文摘要： 本文以雙變量EGARCH Error Correction 模型來探討摩根台股指數之現貨與期貨市場的日內報酬和波動性之動態交互關係。共整合檢定之結果顯示，摩根台股指數之現貨與期貨市場間已存在長期均衡之關係，因此欲研究這兩個市場的報酬與波動性之動態關聯應考慮誤差修正項。而雙變量EGARCH Error Correction 模型之實證結果則顯示，新加坡摩根台股指數的現貨與期貨之間，除了報酬具有雙向之因果關係外，其波動性亦具有顯著的雙向互動關聯；其次，現貨與期貨報酬之波動性具高度持續性，且為過去衝擊的不對稱函數；此外，短期的失衡（指誤差修正項）除影響這兩個市場的報酬外，亦會增加這兩個市場的波動與不確定性，因此，忽略這些因素將會造成模型誤設而導致不正確的推論。
• 英文摘要： The objective of this paper is to study the dynamic relationship between return and volatility in the Taiwan stockindex and stock index futures traded on SIMEX. As stock index and index futures return are cointegrated, we use a biv-ariate EGARCH error correction model in this study. The empirical results shows that, there is a strong intermarket de-pendence not only in the returns of the cash and futures market, but also in the volatility of the two markets. The volatilityin both markets is highly persistent and is found to be an asymmetric function of past innovation. Results indicate thatthe short run disequilibrium (measured by error correction term) is responsible not only for returns but also for volatility(measured by conditional variance）of the two markets. These results implies that more precise specification of returnand volatility in the two markets may be obtained by including the above factors found in these two markets.
• 中文關鍵字： 雙變量 EGARCH Error Correction 模型; 摩根台股指數; 報酬波動性
• 英文關鍵字： Bivariate EGARCH error correction model; Taiwan stock index futures; Return volatility