A Study on the Effect of MSCI Taiwan Stock Index Futures Start Trading in Taiwan on Taiwan Stock Market Volatility and Information Transmission

[[abstract]]自1987年10月美國發生股市大崩盤事件後，指數期貨交易對股市的影響，不論在美國或臺灣都受到愈來愈多的重視。本論文探討臺灣於1997年8月1日開放摩根臺指期貨交易對臺灣股市的影響。除了延續以往在此議題的研究重點，探討指數期貨交易對股市波動性的影響；並進一步探討以往在此方面研究較少論及的方面，如：股市波動與資訊傳遞的關係、兩市場(股票市場、指數期貨市場)間訊息面的關聯與對股市好壞訊息波動不對稱的影響。 為了解開放摩根臺指期貨交易對臺灣股市的影響，本論文透過文獻的探討與整理，採用GARCH和GJR GARCH模型來探討上述所提及本論文之相關研究目的。此外，本論文尚考量其他影響股票報酬率的因素，如：東南亞金融風暴、到期日效應與股市交易熱絡情形等，將其納入實證模型中，以求能得到更精確的結果。 本論文選取1995年11月3日至1999年3月2日摩根臺指期貨與臺灣加權指數的每日報酬率資料，進行實證檢驗後，得到下列主要的結論： （1） 開放摩根臺指期貨交易會使臺灣股市波動變大，其原因可能為傳遞至股市的資訊品質改善的緣故。 （2） 摩根臺指期貨市場與臺灣股市均存在好壞訊息波動不對稱的現象，但在開放摩根臺指期貨交易後，因臺灣投資人的投資習性與當時市場情況等原因，使股市好壞訊息波動不對稱現象並未有減小且轉移至摩根臺指期貨市場的情況。 （3）臺灣股市和摩根臺指期貨市場存在著好壞訊息交互影響的情況。[[abstract]]Since the stock market crash on Oct. 1987 in the United States, the study on the impact of stock index futures trading on stock market has received considerable attention in the U. S. as well as in Taiwan. This thesis not only focusing on the effect of index futures trading on the volatility of stock market, as most of the previous researches did, but also concerning the following issues. They are the relationship between the volatility of stock market and information transmission, the interaction between two markets (stock market and index futures market) of news ,and the effect of the asymmetric response of volatility to news on stock market, which are areas that have received little attention. Particularly, this thesis analyzes the effect of Morgan Stanley Taiwan stock index futures contract start trading in Taiwan on Auguest 1,1997 on Taiwan stock market. To explore the issues mentioned above. Following the literature, this thesis explores GARCH and GJR GARCH models. In addition, some influencial factors on the stock returns, for example, financial crisis of southeast Asia, the expiration-day effects, and the trading volume in stock market,are included in the empirical models to take account their effects. This study uses the daily returns data of MSCI Taiwan Index Futures and Taiwan Stock Exchange Capitalization Weighted Stock Index spans from November 3, 1995 to March 2, 1999. The empirical findings are summarized as follows： 1. MSCI Taiwan stock index futures start trading in Taiwan has led to increased Taiwan stock market volatility. It maybe that index futures trading has improved the speed and quality of information flowing to the Taiwan stock market. 2. There is the asymmetric response of volatility to news phenomenon in MSCI Taiwan stock index futures market and Taiwan stock market. But after MSCI Taiwan stock index futures start trading in Taiwan doesn''t make the asymmetric response of volatility to news phenomenon reduced and led to a transfer of the asymmetries to the index futures market because Taiwanese investor''s investment habits and market conditions. 3. News originating in the Taiwan stock market affects MSCI Taiwan stock index futures market volatility in an asymmetric fashion and in MSCI Taiwan stock index futures market does, too