台灣股價指數與期貨關連性

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Title:	台灣股價指數與期貨關連性
Authors:	吳亞雯
Contributors:	國際企業管理學系
Keywords:	股價指數股價期貨指數
Date:	2010
Issue Date:	2011-10-31 13:28:10 (UTC+8)
Abstract:	由於金融市場不斷的整合，使得跨國資金流動性不斷提升，市場間相互影響程度增加，多元化的投資工具相繼推陳出新。台灣的期貨市場相較於其他國家規模較小，加上金融海嘯影響使然政府於2008年10月6日調降期貨交易稅，2008年12月17日期貨結算方式改變，藉此擴大台灣的期貨市場以及增加台灣期貨市場的競爭力。本文欲探討期貨交易稅調降後，台灣股票市場與期貨市場的關聯性，設立三個主要時間點，分別為2008年9月15日雷曼兄弟倒閉；2008年10月6日期貨交易稅調降；2008年12月17日期貨的結算方式改變，再將此期間分為六個子期，運用時間序列方法，探討降稅對台股、期貨關係之影響，進而分析降稅前後的變化。研究結果得知，調降期貨交易稅後，期貨發揮價格發現功能。 Because of continued integration of the financial markets, it makes the international liquidity improve and the degree of mutual influence in market increase. In the other hand, the investment tools become more innovation and diversification. The scale of Taiwan’s futures market is smaller than other countries. The Financial crisis made our government to cut the tax of futures in October 6, 2008 and change the Futures settle-ment in December 17, 2008. Our government wants to expand the scale of Taiwan’s futures market and increase Taiwan’s futures market’s competitiveness. This report wants to approach the relevance between Taiwan stock market and fu-tures market after government cut the tax of futures, and set up three main point-in-time, one period is Lehman Brothers collapsed in September 15, 2008, the other period is our government cut the tax of futures in October 6, 2008, another pe-riod is our government changed the Futures settlement in December 17, 2008. We di-vide the period to six sub-periods and Use time series methods to approach tax cuts how to influence the relevance between Taiwan stock market and futures market and come to analysis the change of before and after tariff reduction. Research results show that futures to bring price discovery function after Futures tax cut.
Appears in Collections:	[Department of Business Administration & Graduate Institute of International Business Administration ] Thesis

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