Academic literature on the topic '期貨市場'

碩士<br>國立政治大學<br>經營管理碩士學程<br>93<br>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.

碩士<br>國立臺北大學<br>合作經濟學系<br>90<br>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.

碩士<br>國立政治大學<br>財務管理研究所<br>91<br>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.

碩士<br>國立臺灣科技大學<br>財務金融研究所<br>92<br>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.