未平倉量與交易量對台指期報酬與波動的不對稱效果

Unanticipated and Asymmetric Effects of TAIFEX Trading Volumes and Open Interests

本文以預期理論研究期貨市場中交易量與未平倉量對期貨價格波動與波動不對稱效果。本研究以台灣期貨交易所發行之台指期貨（TX），自1999年至2009年之日資料為研究對象，以EGARCH及GJR-GARCH模型，將未平倉量與交易量區分為預期量及未預期量兩個部份，探討其對期貨價格波動性的影響。研究發現：交易量增加（減少），波動就會隨之增加（降低），而未平倉量的增加（減少），反而會降低（提高）波動，未預期的衝擊對波動確實呈現不對稱現象，負面資訊對波動造成的影響會大過於正面資訊。顯現相對於未預期之好消息，市場對未預期之壞消息的衝擊，反應速度迅速，幅度也較大。

This paper investigates the unexpected impulse of open interest and trading volume to volatility and related asymmetric effects in Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX). Data include daily closing prices, trading volumes and open interests from 1999 to 2009. We use EGARCH and GJR-GARCH models, outstanding open interests and trading volumes partitioned into expected and unexpected ones. We find that trading volumes is significant positive relation to volatility and open interests are significant negative relation. In the asymmetric effect, the impacts of bad news are greater than those of good news. Empirical results are consistent with the expectation theory.