THE DYNAM I C RELATI ONSHI PBETW EEN FUTURES TRADI NG AND VOLATI LI TY: THE HEDGI NG AND

ཚຄٌ࣐ፖं೯ၴհ೯ኪᣂএ:ᝩᙠፖދᖲؾऱ

THE DYNAM I C RELATI ONSHI PBETW EEN FUTURES TRADI NG AND VOLATI LI TY: THE HEDGI NG AND

SPECULATI NG PURPOSES

ޕᅗྱ

ཛၺઝݾՕᖂ ತ೭८ᘜߓ ܗ෻ඒ඄

ޙު៙

ཛၺઝݾՕᖂ ತ೭८ᘜߓ ઔߒس

ኴ૞

መװ֮᣸ኙ࣍ཚຄٌ࣐ፖ෼ຄं೯ऱյ೯ᣂএឈڍڶထᕠΔ܀ਢ֟ڶەၦٌ࣐೯ ᖲ᧢೯ኙՂ૪ᣂএհ൶ಘΖءઔߒආشٻၦ۞ݺಱូᑓী(VectorAutoregressions,VAR) Grangerڂ࣠ᣂএ൶ಘދᇷԳᝩᙠፖދᖲؾऱհཚຄٌ࣐ࡉ෼ຄं೯ऱᏆ٣-ᆵ৵ᣂ এΔࠀ։࣫ፕ᨜ཚຄٌ࣐ࢬ(TAIFEX) ၲ࣋؆ᇷ೶ፖཚຄૻࠫᇞೈ৵Δᝩᙠፖދᖲؾ ऱኙཚຄٌ࣐ፖं೯ऱᐙ᥼Δٵழေ۷ٌ࣐೯ᖲऱޏ᧢ਢܡᄎທګؑ໱᡹ࡳࢨլ᡹

ࡳΖ࿨࣠᧩قދᖲृཚຄٌ࣐੒೯ࠀྤٚԫ໢ٻ᧩ထᣂএΔۖᝩᙠृཚຄٌ࣐ᄎ࠹ࠩ

෼ຄं೯ऱᐙ᥼Δᒔኔڶܗ࣍ഏփཚຄؑ໱ऱ࿇୶Ζ׼؆Δᅝਙ࿜ᇞೈ৵Δؑ໱ᝩᙠ

ृൕࠃދᖲٌ࣐ழࠀآڶٚԫ໢ٻ᧩ထᣂএΔࡸآࣔ᧩ᖄીؑ໱ய෷ऱ༞֏Δ܀ਢᝩ ᙠृൕࠃᝩᙠٌ࣐֘ۖᄎᐙ᥼෼ຄं೯Δທګؑ໱լ᡹ࡳΔথਢઌᅝଖ൓׌ጥᖲᣂऱ ૹီΖ່৵Δދᖲृᙟထཚຄ໱ؑ໱ګᑵऱ࿇୶ດዬᖂ฾ഛ塄ᒌ৵ᇷಛऱᇞᦰ౨ԺΖ

ᣂ᝶ڗΚཚຄٌ࣐Ε෼ຄं೯Εڂ࣠ᣂএΕਙ࿜࣋ᐈ

໸ ছߢ

༉ತ೭֮᣸ࡉ८ᘜؑ໱ऱᨠኘਐנ Δཚຄࡉ૜سࢤ೸঴ٌ࣐੒೯ኙं೯ऱᐙ

᥼Δ๺ڍᖂृႜٻڶլٵऱᨠរΔ۟վࡸآބࠩԫીऱ࿠ூΖመװᖂृᎁ੡ཚຄؑ໱

ऱ๻مΔױאᏺף८ᘜؑ໱۞ط֏ፖڍց֏Δࠀ༼ࠎٌ࣐ृᝩᙠΕދᖲΕ୚ܓፖᏝ஁

ٌ࣐࿛פ౨Ζڼ؆ΔਐᑇཚຄՈױא༼ࠎދᇷԳԫଡ೏ய෷Ε܅ګءऱ८ᘜ೸঴ՠࠠΖ ڂڼΔཚຄؑ໱ऱၲ࣋ױאࠌ෼ຄؑ໱Ꮭ௑᝟ٻ᡹ࡳΔڶܗ࣍૾܅ؑ໱ऱं೯ࢤΖ׼

ԫֱ૿Δ਍֘ኙრߠᖂृਐנཚຄٌ࣐ਢທګैؑᏝ௑ं೯ࢤᏺףऱ׌૞଺ڂΔીࠌ ٺഏਙࢌኙཚຄٌ࣐ආ࠷ԫຑۭऱ๵ᒤፖૻࠫΔࠏڕ༼೏অᢞ८Εኙᝩᙠृፖދᖲृ

ආ࠷լٵ࿔෷Ε੷۟ᆃַཚຄٌ࣐Ζ¹ڂڼΔመ৫ኙཚຄؑ໱ऱ๵ᒤፖጥࠫױ౨ທګ

૤૿ऱᐙ᥼Δၞۖᐙ᥼ཚຄؑ໱࿇୶Ζ

ፕ᨜ཚຄٌ࣐ࢬ(TAIFEX)ᖵڣ᜔ٌ࣐ၦፖഏᎾඈټڶດڣᏺףऱ᝟ႨΔڇഏᎾ ᙇᖗᦞؑ໱࠰ᄎ(IOM A) 2006 ڣ໴ਐנΔፕ᨜ཚຄٌ࣐ࢬڇ׈੺ඈټ 18Δڇࠅ੊ඈ ټ੡ 7Δ٤᧯ؑ໱᜔ګٌၦሒ 114,603,379 ՑΔઌለ࣍ 1998 ڣؑ໱᜔ٌ࣐ၦ੡

278,000 ՑΖ׼؆Δ௅ᖕ TAIFEX อૠᇷಛΔ᧩قऄԳ֗۞ᛜ೸ٌ࣐ृޢڣڶࣔ᧩ᏺ ףհ᝟ႨΔ܀۞ྥԳࢬڶֺٌ࣐ࠏڶ྇֟᝟ႨΔൕ 2002 ڣપ 88.63%۟ 2007 ڣપ 71.33%Ζ

ྥۖΔᖲዌऄԳޢڣֺٌ࣐ࠏឈڶՂይհ᝟ႨΔอૠኲ۟ 2007 ڣ 12 ִࢍַΔ ᖲዌऄԳ࣍ءഏཚຄؑ໱ֺٌ࣐ૹપႛ 10.77%Δ൶ߒࠡ଺ڂΔԯਢ TAIFEX ࣍ 1998 ڣ 9 ִ 16 ֲૻࠫऄԳᖲዌႛ౨عᓮᝩᙠെ֪ൕࠃཚຄᝩᙠٌ࣐հᏁޣΔ܀ਢ؆ᇷދ ᇷԳऱٌ࣐೯ᖲࠀլ׽ওૻ࣍ᝩᙠΔࡸދᖲፖ୚ܓ೯ᖲΖՂ૪ૻࠫ๵ᒤྤऄឩՕ؆ᇷ

೶ፖ࿓৫Δലլܓ࣍؀᨜ཚຄؑ໱ΔڂڼΔTAIFEX ࣍ 2006 ڣ 3 ִ 27 ֲᇞೈڼऄח

ૻࠫΔၲ࣋؆ᇷ൓א୚ܓΕދᖲ࿛ॺᝩᙠؾऱൕࠃഏփཚຄؑ໱ٌ࣐Δۖڼႈૻࠫ๵

ᒤऱᇞೈਢܡᄎທګؑ໱ं೯լؓᙩࢨᏝ௑᝟࣍᡹ࡳΔଖ൓ݺଚװ෡৸Ζ

ءઔߒऱ׌૞ؾऱ੡൶ಘؑ໱ދᇷԳڇཚຄٌ࣐ࡉ෼ຄं೯հၴऱᣂএ Δઔߒ

࿇෼Δᝩᙠृհཚຄٌ࣐੒೯᧩ထ࠹ࠩ෼ຄं೯ऱᐙ᥼ΖኙދᖲृΔឈྥլژڇٚԫ

1 ભഏམڇ ˄ˌˈˋ ڣᆃַٌ࣐੉ᓓཚຄΔֲۖءՈམڇ ˄ˋˉˌ ڣᆃַᒟۏཚຄٌ࣐Ζ

໢ٻऱᣂএΔ܀ਢࠡཚຄٌ࣐੒೯থ࠹ࠩᒌ৵ᇷಛऱं೯ᐙ᥼Ζང؁ᇩᎅΔދᖲृՈ

ၲࡨᖂ฾ᝩᙠृᣂ֨։࣫ࠀᇞᦰؑ໱ڶᣂऱᒌ৵ᇷಛΔኙؑ໱᡹ࡳࢤڶإ૿ऱܗ墿Ζ ڼ؆Δءઔߒ੡Աᛵᇞਙ࿜ᠾᆙኙؑ໱೶ፖृऱ೯ᖲ᧢೯ਢܡᄎኙཚຄٌ࣐ፖ෼ຄं

೯ᣂএທګᐙ᥼Δઔߒ࿨࣠᧩قڇਙ࿜ᠾᆙ৵ࠀآ࿇෼ᝩᙠृၞ۩ދᖲٌ࣐ழڶٚԫ

᧩ထ໢ٻ᧩ထᣂএΔࡸآࣔ᧩ᖄીؑ໱ய෷ऱ༞֏Ζ܀ਢᝩᙠृൕࠃᝩᙠٌ࣐֘ۖᄎ ᐙ᥼෼ຄं೯Δທګؑ໱լ᡹ࡳΔথਢઌᅝଖ൓׌ጥᖲᣂऱૹီΖ່৵Δྤᓵᝩᙠृ

ਢܡᄎޏ᧢ٌ࣐ࠡ೯ᖲΔދᖲृڇਙ࿜ᠾᆙ৵ຘመᖂ฾ࠀၲࡨࣹრؑ໱ᒌ৵ᇷಛΔ྇

֟ࡉᝩᙠृऱᇷಛլኙጠ෼ွΔ֘ۖਢڶܗ࣍ᒷࡉؑ໱ऱլ᡹ࡳ෼ွΔ֠ࠡਢڇᝩᙠ

ृၞ۩ދᖲٌ࣐ழΖ

ء֮ऱਮዌڜඈڕՀ:รԲᆏڃ᥽֮᣸ڃ᥽ΔรԿᆏտฯء֮ኔᢞᇷறፖઔߒֱ

ऄΔร؄ᆏ໴ܫࠀ։࣫ኔᢞ࿨࣠Δรնᆏঞਢნᖞࠀᎅࣔ׌૞ऱᓵរፖ࿨ᓵΖ

၁ ֮᣸൶ಘ ԫΕཚຄٌ࣐ၦΕآؓପၦፖ෼ຄᏝ௑ं೯ࢤհᣂএ

(ԫ)ཚຄٌ࣐Ꮖ٣෼ຄᏝ௑ं೯

ڇ؆ႪཚຄፖਐᑇཚຄऱኔᢞઔߒխΔGrammatikos andSaunders (1986)ઔߒ؆Ⴊ ཚຄፖᏝ௑ं೯հၴऱᣂএΔ᧩ق෼ຄᏝ௑ं೯ࢤਢ࠹ࠩཚຄٌ࣐ၦऱᐙ᥼ΖೈԱ؆

Ⴊཚຄ؆Ζ׼؆ΔYang, Balyeat, andLeatham (2005)։࣫෼ຄᏝ௑լ᡹ࡳࢤਢܡ੡ཚ ຄࢬᐙ᥼Δ࿇෼ཚຄٌ࣐ၦᏺףᄎ֧ದ෼ຄᏝ௑ऱं೯ࢤΔၞԫޡ։࣫࿇෼ཚຄࡉ෼

ຄऱઌյᣂএਢ࠷ެ࣍լٵऱᇷขࢨؑ໱ਮዌΖ (Բ)෼ຄᏝ௑ं೯Ꮖ٣ཚຄٌ࣐

Rutledge (1979)៶طSims (1972)ڂ࣠ᛀࡳΔ։࣫ཚຄٌ࣐ၦፖ෼ຄᏝ௑᧢ฆհၴ

ऱᣂএΔ࿇෼೸঴ཚຄٌ࣐ၦᄎ࠹෼ຄᏝ௑᧢ฆࢬᐙ᥼ΖW iley and Daigler (1998)։

࣫ཚຄٌ࣐ၦፖ෼ຄᏝ௑ं೯९࿍ཚհၴऱᣂএΔ࿨࣠࿇෼ٌ࣐ၦፖᏝ௑ं೯ڶ९ཚ ፖ࿍ཚհ٥ᖞٽᣂএΔࠀ׊ژڇ۟֟໢ٻհڂ࣠ᣂএΖᆖط٥ᖞٽΕVAR ᑓীGranger ڂ࣠ᣂএྒྷᇢ֗ᎄ஁ଥإֱऄխΔ൓वٌ࣐ၦڇ९ཚՂڶᓳᖞᏝ௑ं೯հ᝟ႨΔۖ࿍

ཚՂঞਢᏝ௑ं೯Ꮖ٣ٌ࣐ၦΖ

Ciner (2002)ઔߒႛ࿇෼ཚຄٌ࣐ၦ࠹ࠩ෼ຄं೯ऱ໢ٻᐙ᥼ Ζഏփᖂृ๺ۂࣾ

(1999)ਐנ؀ैཚຄٌ࣐੒೯ፖ෼ຄᏝ௑ं೯ࢤऱᣂএΔ࿇෼ཚຄٌ࣐੒೯ਢ࠹ࠩ෼

ຄᏝ௑ं೯ऱᐙ᥼Ζ

(Կ)ཚຄٌ࣐ፖ෼ຄᏝ௑ं೯ژڇᠨٻᣂএ

Chatrath, Ramchander, and Song (1996)൶ಘ؆Ⴊཚຄٌ࣐ၦፖႪ෷ं೯հၴऱᣂ এΔઔߒ࿇෼ࠟृਢઌյᐙ᥼Ζ׼؆ΔKocagil and Shachmurove (1998)࿇෼Օຝٝཚ ຄৈપঞ᧭ᢞנཚຄٌ࣐ၦࡉ෼ຄᏝ௑᧢೯࿪ኙଖհၴژڇઌյᐙ᥼ऱڂ࣠ᣂএΔრ

࠺ထދᇷृױאܓشመװཚຄٌ࣐ቃྒྷؾছ෼ຄं೯Ζ

Luu and Martens (2003)ઔߒS&P-500 ਐᑇཚຄٌ࣐ၦፖᏝ௑ं೯հ೯ኪᣂএΔઔ ߒ࿨࣠᧩قڇ᜔ٽޢֱֲؓ໴ሟՀΔᏝ௑ं೯ፖٌ࣐ၦܧ෼ᠨٻऱڂ࣠ᣂএΖ׼؆Δ Hsueh, Liu, and Lee (2007)ᓳ਷ભഏፖଉཽཚຄٌ࣐ፖ෼ຄं೯հᏆ٣-ᆵ৵ऱᣂএΔ ઔߒ࿨࣠᧩قΔԲؑ໱ཚຄٌ࣐ፖ෼ຄं೯յ੡Ꮖ٣ᆵ৵ऱᣂএΔፖLuu and Martens (2003)࿨ᓵઌٵΖ

(؄)ཚຄٌ࣐ፖ෼ຄᏝ௑ं೯ژڇྤٚԫᏆ٣ᆵ৵ᣂএ

ڇཚຄؑ໱խऱኔᢞઔߒխڶࠄᖂृ֭਍෼ຄᏝ௑ं೯ࢤፖګٌၦΕآؓପၦࠀ

ྤٚԫᏆ٣ᆵ৵ᣂএΔ܀ױ౨ژڇྤᣂࢨઌᣂࢤΖGrossman (1988)ઔߒS&P-500 ෼ຄ

֗ཚຄऱޢֲᇷறΔ࿇෼ٌ࣐ၦፖᏝ௑ं೯ࢤհၴࠀྤࣔ᧩ऱᣂຑࢤΖ׼؆ΔBocketti and Rovert (1990)࿇෼S&P-500 ਐᑇྤᓵਢޢֲࢨޢ՛ழऱैᏝ᧢೯࿪ኙଖፖཚຄٌ

࣐ၦࠀྤ᧩ထઌᣂΖࠡխΔPericli and Koutmos (1997)ઔߒS&P-500 ैปਐᑇཚຄՂ

ؑኙ෼ຄؑ໱ं೯ࢤऱᐙ᥼ ΔೈԱ 1987ڣ10ִऱैؑഽᒌཚၴೈ؆Δैปਐᑇཚຄ ࠀլᐙ᥼෼ຄؑ໱ऱं೯Ζ׼؆ΔWatanabe (2001)ᛀྒྷڇՕ߾ᢞٌ࣐ࠦࢬ(OSE)ٌ࣐

ऱֲᆖ225 ैᏝਐᑇཚຄΔ൶ಘᏝ௑ं೯ࢤΕګٌၦፖآؓପৈપᑇհၴऱᣂএΔ࿇

෼ࠀ޲ڶ᧩ထऱᣂএΖ

ԲΕؑ໱೶ፖृٌ࣐೯ᖲऱ۩੡൶ಘ

ؑ໱೶ፖृᖑڶլٵऱᇷಛ፦ႃ౨ԺΔףՂ࢖ڼٌ࣐ॾ࢚ቃཚऱ஁ฆΔױ౨ࠌؑ

໱೶ፖृژڇᇷಛլኙጠΔၞۖᖄી෼ຄؑ໱ं೯ขسऱ׌ڂΖၞԫޡ։࣫࿇෼Δཚ ຄؑ໱ՕીՂലދᇷԳ։੡ދᖲृፖᝩᙠृΔڇᇷಛլኙጠհՀΔᝩᙠٌ࣐ृຏൄᖑ ڶለࠋऱቃྒྷ౨ԺፖߏڶಛஒΔڇᄅᇷಛࠩሒؑ໱ழᄎمܛ֘ᚨٌ࣐࣍۩੡ՂΔڶܗ

࣍૾܅෼ຄं೯ऱய࣠Ζۖދᖲٌ࣐ृڂ੡ኙᏝ௑հቃཚڶ࠹ૻ࣍ൣፃڂైΔॺطഗ ء૿ಛஒࢬ׌ᖄΔאી࣍ྤऄإᒔ༳༽آࠐᏝ௑ऱಛᇆΔႜٻ࣍܂נᆢፋ֘ᚨፖመ৫

֘ᚨհٌ࣐۩੡ΔᖄીᏝ௑ं೯ऱףᏣΖ

ط Silber (1984)ᓳ਷ཚຄؑ໱ऱދᖲृߡۥΔ࿇෼ދᖲृਢຘመؑ໱ऱੌ೯ࢤၞ

۩୚ܓ۩੡Δ׌૞ਢංྒྷٌ࣐۩੡ۖ᝚࠷Ꮭ஁Ζ׼؆ΔAdmiti and Pfleiderer (1988)׌

്אᇷಛլኙጠࠐᇞᤩᇷಛٌ࣐ृፖྤᇷಛٌ࣐ृհ࿜ฃࢤٌ࣐۩੡Δא֗ኙᏝ௑ं

೯ࢤٌ࣐֗ၦհᓢᚰΖ

Wiley and Daigler (1998)ܓشٌ࣐ಛஒࢨٌ࣐೯ᖲ൶ಘլٵٌ࣐ृऱٌ࣐۩੡Δ ઔߒ࿨࣠᧩قΔཋ֪੡ؑ໱༼ࠎ࿍ཚੌ೯ࢤΔࢬאಛஒࡉٌ࣐ၦઌለ࣍ࠡהٌ࣐ृ੒

ᥬΔ׊ಛஒࡉٌ࣐ၦڇࠡהٌ࣐ृᣊীհၴऱੌ೯ழΔႛ׽ڶ༓֚ۖբΔࠀ࿇෼ޢԫ ۯٌ࣐ृࠀॺٵழگࠩᄅಛஒΔۖਢԫڻ׽ႚᎠ࿯ԫۯٌ࣐ृΔຍฤٽCopeland (1976) ࢬ༼נԱ༛ݧᇷಛᑓী Ζ׼؆ΔWang (2001)։࣫լٵٌ࣐ृᣊী (ދᖲृΕᝩᙠृ) ऱٌ࣐۩੡ኙቃྒྷآࠐཚຄᏝ௑ऱڶயࢤΔઔߒ࿇෼ދᖲृڇཚຄؑ໱ऱ।෼ᚌ࣍ᝩ ᙠृΖྥۖΔSingh and Bhatia (2006)׌്ދᖲٌ࣐ृኙ෼ຄं೯ᄎທګլٵऱ࿨࣠Ζ

ၞԫޡ࿇෼૜سࢤ೸঴੒೯ᄎܮ֧ᇷಛٌ࣐ृፖދᖲृၞ۩୚ܓ੒೯Δࠡ଺ڂ੡ދᖲ

ृፖᇷಛٌ࣐ृᖑڶዋථ܂ش֗ለ܅ٌ࣐၄شΔᖄીދᖲृፖᇷಛٌ࣐ृᣋრނᇷ८ ൕ෼ຄؑ໱ฝ᠏࣍૜سࢤ೸঴ؑ໱ΔڂڼΔދᖲृലᄎ૾܅෼ຄं೯հլ᡹ࡳࢤΖ

㴍 ઔߒֱऄ ԫΕᑌءࠐᄭፖᇷறᎅࣔ

ءઔߒא؀᨜ףᦞैᏝਐᑇཚຄፖףᦞैปਐᑇ੡ᑑऱਐᑇ೚੡ཚຄፖ෼ຄհ

։࣫ᑌءΔ։ܑ։࣫ᝩᙠृፖދᖲृཚຄٌ࣐੒೯ፖ෼ຄؑ໱ं೯հၴ೯ኪᣂএΔࠀ ᛀ᧭؀᨜ཚຄٌ࣐ࢬ(TAIFEX)ᇞೈ؆ᇷ೶ፖཚຄૻࠫ๵ᒤհছ৵Δኙཚຄፖ෼ຄؑ໱

հၴऱ೯ኪᣂএհᐙ᥼Ζ

ءઔߒא؀᨜ףᦞैᏝਐᑇཚຄৈપऱޢֲګٌၦፖآؓପၦૠጩؑ໱լٵ೶

ፖृհཚຄٌ࣐੒೯Ζ׼؆Δא෼ຄؑ໱ޢֲਐᑇհ່೏ᏝΕ່܅ᏝΕၲᒌᏝ֗گᒌ ᏝΔ೚੡෼ຄं೯հᘝၦΖࢬڶᇷற݁࠷۞࣍؀᨜ᆖᛎᄅ໴ᇷற஄(Taiwan Economic Journal Data BankΔTEJ)Ζ

ط࣍ TAIFEX ࣍ 1999 ڣ 10 ִ 30 ֲၲࡨ࣋ᐈ؆ᇷ೶ፖཚຄؑ໱հૻࠫΔء֮

ઔߒཚၴ੡ 1999 ڣ 11 ִ 1 ֲ۟ 2007 ڣ 12 ִ 31 ֲΖ²ڼ؆Δط࣍ TAIFEX ڇ 2006 ڣ 3 ִ 27 ֲݙ٤ᇞೈ؆ᇷ೶ፖཚຄऱૻࠫΔءઔߒലಾኙਙ࿜࣋ᐈছ৵ԫڣת܂੡

ઔߒཚၴ( 2004 ڣ 9 ִ 27 ֲ۟ 2007 ڣ 9 ִ 27 ֲ)Δࠀ൶ಘࡉֺለ؆ᇷൕࠃᝩᙠፖ୚

ܓٌ࣐ኙ෼ຄं೯ऱᐙ᥼Ζ³ ԲΕ᧢ᑇࡳᆠ

(ԫ)ཚຄٌ࣐ਐᑑ

ࠉᖕGarcia, et al. (1986)ലޢֲཚຄٌ࣐᧢ᑇF(t) ࡳᆠ੡:

) t ( OI

) t ( (t) V

F (1)

ࠡխV(t) ।قร t ழរհཚຄٌ࣐ၦΔۖOI(t) ঞ੡รt ழរհཚຄآؓପٽપᑇΖ Garcia et al. (1986)ᎁ੡אཚຄٌ࣐ၦࢨآؓପٽપᑇ໢ᗑࠐ։࣫ཚຄٌ࣐ፖ෼ຄं

೯ऱᣂএΔ܀থᄎڶᑨڇऱࠩཚֲயᚨΔࠉᖕٌ࣐ၦፖآؓପ݁ڶࠩཚֲհயᚨΔ៶ طԲ᧢ᑇઌೈհᑑᄷ֏መ࿓Δ܍ೈٌ࣐ৈપࠩཚֲࢬ֧࿇լٵհ۷ૠೣᎄΖ׼؆Δڼ

᧢ᑇࡳᆠٍז।ؑ໱խދᖲٌ੒೯ऱՕ՛࿓৫Δڇ৵ᥛऱಘᓵ։࣫խΔݺଚല៶طڼ

ࡳᆠၞԫޡࣈᇞؑ໱խ׌૞ऱދᖲृհދᖲ੒೯ࡉॺ׌૞ऱᝩᙠृऱދᖲ੒೯Δא൶

2 ؆ഏറᄐދᇷᖲዌΕቼ؆ဎ቞֗؆ഏԳދᇷഏփᢞࠦ Δ൓ދᇷ࣍ֆ႘ΕࡳཚژཱིΕຄኞؑ໱ՠࠠ֗

ൕࠃᝩᙠࢤཚຄٌ࣐ Ζࡳཚژཱིհཚૻլ൓၌መԿଡִ Δཚየ൓ᥛژԿଡִΔ܀אԫڻ੡ૻΖދᇷ ຄኞؑ໱ՠࠠא၏ࠩཚֲ԰Լ֚אփհปࠦ੡ૻ Δൕࠃᝩᙠࢤཚຄٌ࣐א਍ڶ෼ຄຝۯ੡ছ༼ Ζދ ᇷֆ႘ΕࡳཚژཱིΕຄኞؑ໱ՠࠠ֗ൕࠃᝩᙠࢤཚຄٌ࣐հ᜔ᠰ৫Ղૻ Δլ൓၌መࠡႪԵᇷ८հۍ

։հԿԼΔ܀ދᇷ၇ᔄឰֆ႘ΔլڇڼૻΖ

3 ഗ࣍ᝩᙠፖދᖲᏁ૞Δᐒೈ؆ഏറᄐދᇷᖲዌΕቼ؆ဎ቞֗؆ഏԳދᇷഏփᢞࠦΔ൓ދᇷ࣍ֆ႘Ε

ࡳཚژཱིΕຄኞؑ໱ՠࠠ֗ൕࠃᝩᙠࢤཚຄٌ࣐Ζࡳཚژཱིհཚૻլ൓၌መԿଡִΔཚየ൓ᥛژԿ ଡִΔ܀אԫڻ੡ૻΖދᇷຄኞؑ໱ՠࠠא၏ࠩཚֲ԰Լ֚אփհปࠦ੡ૻΔൕࠃᝩᙠࢤཚຄٌ࣐

א਍ڶ෼ຄຝۯ੡ছ༼Ζދᇷֆ႘ΕࡳཚژཱིΕຄኞؑ໱ՠࠠ֗ൕࠃᝩᙠࢤཚຄٌ࣐հ᜔ᠰ৫Ղૻ Δ լ൓၌መࠡႪԵᇷ८հۍ։հԿԼΖ

ಘދᇷԳڇٌ࣐೯ᖲ᠏᧢ࢬ֧ದཚຄٌ࣐ࡉ෼ຄं೯ᣂএਢܡᄎڶࢬլٵΔ֠ࠡਢᝩ ᙠृΖ

ءઔߒࢬආشGarcia, et al. (1986)հࡳᆠٵழەၦཚຄٌ࣐ၦፖآؓପٽપᑇΔ׌

૞ਢױא౏Ելٵؑ໱೶ፖृ (ދᖲΕᝩᙠृ )ࢬขسऱᏝ௑ய࣠ Ζڼ؆ΔLuu and Martens(2003)ਐנࠌشڼֺ෷ᘝၦٌ࣐੒೯ ֺ໢ᗑࠌشٌ࣐ၦࢨآؓପٽપᑇޓ౨

஢ᛧለڍᇷಛΖ׼؆Δط࣍Ղ૪᧢ᑇץܶދᖲृፖᝩᙠृհދᖲ੒೯Δઌኙױא஢஦

ࠩދᖲ੒೯Δء֮ല៶طຍଡ᧢ᑇװ೴։ᝩᙠृፖދᖲृΖ (Բ)෼ຄं೯ࢤਐᑑ

ءઔߒऎش Garman and Klass (1980)ኙ෼ຄं೯հࡳᆠΔאޢֲᑑऱਐᑇ່೏Ꮭ (P )Ε່܅Ꮭ(_H P )ΕၲᒌᏝ(_L P )֗گᒌᏝ(_O P )ΔࠀאฤᇆC ।قڕՀ:_C

> @

^

`

C      (2)

Ղ૪࿛ڤխx ln

መװઔߒΔڕ:Garcia, et al. (1986)ΕChatrath, et al. (1995)ፖWang (2002)ኙ෼ຄं

೯հࡳᆠ⁴Δ࿇෼Ղ૪ᖂृऱኔᢞ࿨࣠஁ฆլՕΖ׼؆ΔWiggins (1992)ኙ෼ຄं೯հ

ࡳᆠՈڶ׼ԫጟ઎ऄΖ⁵ڂڼΔءઔߒආشGarman and Klass (1980)ڼࡳᆠ܂੡෼ຄं

೯ऱᘝၦΖ

׼؆Δݺଚא Schwert (1990)ࡉ Jones et al. (1994)৬ዌլٵऱं೯᧢ᑇΔڕՀΚ )

t ( e ) j t ( R b ) t , k ( D a ) t ( R

10

1 j

j 5

1 K

k 

¦

¦

Ղ૪࿛ڤխR(t) ੡ཚຄ໴ሟ֗D(k,t) ᧢ᑇ੡ၜԫ۟ၜնऱဠᚵ᧢ᑇΔD=1ז।ၜԫΔ D=0ঞ੡ၜԲ۟ၜնΔR(t-j)੡ᆵ৵༓ཚཚຄ໴ሟ Δe(t)੡ྲྀ஁ႈΔء֮אྲྀ஁ႈ࿪ኙ ଖΔᅝ܂Ꮭ௑ं೯(C) ᄅऱཙזਐᑑΔࠀ։אၲᒌኙگᒌΕگᒌኙၲᒌࡉگᒌኙگᒌ

4 Garcia, et al. (1986)ΕChatrath, et al. (1995)ፖ Wang (2002)ቫᇢࠌشመլٵࡳᆠհ෼ຄं೯ᘝၦ ଖΔץਔᓳᖞ৵ऱᏝ௑ᒤ໮ΕᏝ௑᧢೯࿪ኙଖא֗ GARCH ᑓীයٙं೯ࢤ࿛Δլመ Chatrath, et al. (1995)ऱኔᢞ࿨࣠᧩قᓳᖞ৵ऱᏝ௑ᒤ໮ΕᏝ௑᧢೯࿪ኙଖא֗ GARCH ᑓীլٵं೯ ᘝၦଖၴऱ஁ฆࠀլ᧩ထΖ

5 Wiggins (1992)ਐנא່೏Ꮭፖ່܅Ꮭ੡ഗ៕ऱ෼ຄं೯ΔઌለאگᒌᏝ੡ഗ៕ऱਐᑑΔױא ץܶޓڍऱᇷಛփ୲ΔٵழՈࠠڶለ՛ऱೣᎄፖለࠋऱய෷Ζ

Ꮭ۷ૠཚຄ໴ሟं೯Ζ ԿΕཚຄٌ࣐հٌ࣐ᣊী

ط࣍ Karpoff (1987)ࡉ Bauer and Nieuwland (1995)׌്լٵऱދᇷृڇᇞᤩᇷಛ ழΔ࢓࢓ᄎ೚נլٵऱٌ࣐࿜ฃΔၞۖ֘ᚨࠩؑ໱ٌ࣐ՂΔڂڼΔء֮੡೴։נཚຄ ᝩᙠृፖދᖲृऱٌ࣐੒೯Δܓشٌ࣐ᇷಛΔץਔመװཚຄٌ࣐ࡉٺ۞ٌ࣐ၦፖآؓ

ପٽપ᧢ᑇװࣈᇞཚຄٌ࣐᧢ᑇΖ

੡װೈཚຄٌ࣐ױ౨ץਔᒵࢤࡉॺᒵࢤழၴ᝟ႨംᠲΔء֮௅ᖕGallant , Rossi, and Tauchen (1992)ΕChen , Firth , and Rui (2001)֗Lee and Rui (2002)ലཚຄٌ࣐װೈ

ழၴ᝟ႨΔࠀאᎄ஁ႈ܂੡ᄅऱཚຄٌ࣐ཙז᧢ᑇΖڕՀࢬق:

F (4)

Ղ૪࿛ڤխ F(t)=V/OI ੡ཚຄٌ࣐Δt ੡ழၴΖ

ྥۖΔءઔߒ੡Ա೴։ᝩᙠृፖދᖲृऱཚຄٌ࣐੒೯ΔאԲၸ੄ࣈᇞֱऄၞ۩

ಘᓵ Ζଈ٣ Δء֮ຘመ ARIMA ֱऄড়ᨠ஢஦ؑ໱Ղދᖲ੒೯ Δᛧ࠷ ቃྒྷ ྲྀ஁

(t) 

H ΔࠡڻΔݺଚ೗๻ދᖲृױ౨ᄎܓشመװٌ࣐ᇷಛၞ۩ቃྒྷΔ

ڂڼΔࠀലՂ૪ऱቃྒྷᎄ஁אመװٌ࣐ၦፖآؓପ᧢ᑇၞ۩ቃྒྷΔڕՀࢬق:

) t ( ) i t ( OI )

j - (t V )

t (

2 k

1 i 1

k

1 j

Q



 '

 '

 D

H ¦ ¦

Ղ૪࿛ڤխ'V (t j) ࡉ'OI (t i) ੡ཚຄٌ࣐ၦࡉآؓପٽપᑇऱ஁։Δ

k 1 ࡉ

k2 ެࡳ࣍ྲྀ஁ऱྤઌᣂࢤᛀࡳΖ່৵Δv(t) ੡ཚຄٌ࣐ॺቃཚऱຝٝΔۖཚຄٌ࣐

੒೯(F) ፖ v(t) հၴऱ஁੡ཚຄٌ࣐ቃཚຝٝΖང؁ᇩᎅΔॺቃཚຝٝঞז।ᝩᙠृ

ऱދᖲፖ୚ܓ੒೯Δא H ।قΙ׼ԫֱ૿Δቃཚຝٝ੡ދᖲृऱދᖲ੒೯Δא S । قΖ

Harris (1989)ਐנΔދᖲृਢຘመؑ໱ऱੌ೯ࢤၞ۩୚ܓ۩੡Δᝩᙠृऱٌ࣐۩

੡Δ׌૞ഗ࣍ᝩᙠृᖑڶߏڶಛஒ֗ቃྒྷ౨ԺΖط࣍ދᖲृة᎛ڇၞ۩ދᖲ੒೯Δྥ

ۖᝩᙠृՈڶױ౨ڇਬଡ௽ࡳऱणኪհՀթᄎၞ۩ދᖲፖ୚ܓٌ࣐ΖڂڼΔء֮ലཚ

ຄٌ࣐ࣈᇞ੡ᝩᙠृፖދᖲृཚຄٌ࣐Δലױ༼ࠎं೯ፖٌ࣐ᣂএԫଡڶᔊऱಘᓵ࿨

࣠Ζ

੡ԱԱᇞᝩᙠृڇؑ໱߷ԫ௽ࡳऱणኪՀᄎၞ۩ᝩᙠፖދᖲ۩੡Δءઔߒᇢቹං

ᖄᝩᙠृऱ೯ᖲ۩੡Ζء֮אཚຄٌ࣐(F) ፖދᖲٌ࣐(S)ၞ۩ಘᓵΖᅝ F ՛࣍ SΔᄎ ࠌآؓପ(OI) ᏺףࢨٌ࣐ၦ(V) ྇֟Δז।ؑ໱ދᖲٌ࣐྇֟Δრᘯᝩᙠृᄎᏺףᝩ ᙠ੒೯ࠀ྇֟ދᖲ੒೯Δ।قؑ໱ܧ෼᡹ࡳ෼ွ;׼ԫֱ૿Δᅝ F Օ࣍ S ழΔᄎࠌآ

ؓପ(OI) ྇֟ࢨٌ࣐ၦ(V) ᏺףΔז।ؑ໱ދᖲٌ࣐ᏺףΔང؁ᇩᎅΔᝩᙠृᄎ࿨ޔ ٣ছऱᝩᙠຝۯΔࠀၞ۩ᏺףދᖲ୚ܓ੒೯Δᖄીؑ໱լ᡹ࡳΖڂڼΔءઔߒಾኙছ ૪ऱಘᓵΔຘመٌ࣐ၦፖآؓପݮګ௽ࡳऱؑ໱णኪΔലᝩᙠृፖދᖲृཚຄٌ࣐ፖ

෼ຄं೯հၴऱᣂএΔ৬مދᇷԳٌ࣐೯ᖲ᠏᧢հઌᣂ೗ᎅΔڕՀ:

೗ᎅ 1. ೏ٌ࣐ၦࡉ܅آؓପհՀΔؑ໱ދᖲ੒೯ֺ෷ೣ೏Δז।ཚຄᝩᙠृᄎ

ၞ۩ދᖲٌ࣐Δࠌ෼ຄؑ໱᝟࣍լ᡹ࡳΖ

೗ᎅ 2. ܅ٌ࣐ၦࡉ೏آؓପհՀΔؑ໱ދᖲ੒೯ֺ෷ೣ܅Δঞז।ཚຄᝩᙠृലܓ شޓڍᇷಛၞ۩ᝩᙠ۩੡Δലࠌ෼ຄؑ໱᝟࣍᡹ࡳΖ

೗ᎅ 3. ڇࠡ،ऱؑ໱௽ࡳणኪՀ(೏(܅)ٌ࣐ၦፖ܅(೏)آؓପ)Δᝩᙠृڇᝩᙠ ೯ᖲՀᄎᖄીؑ໱ऱ᡹ࡳࢤ

೗ᎅ 4. ދᖲृྤᓵڇٚԫणኪՀ݁ၞ۩ދᖲ੒೯Δᖄીؑ໱լ᡹ࡳΖ

೗ᎅ 5. ދᖲृቫᇢᖂ฾ᝩᙠृᇞᦰࡉ։࣫ؑ໱ᇷಛΔࠀڶய֘ᚨؑ໱ᇷಛΔᖄ

ીؑ໱᝟࣍᡹ࡳΖ

؄Εኔᢞᑓী

መװઔߒᖂृ׌૞ထૹڇᝩᙠࢨދᖲऱཚຄٌ࣐੒೯ፖ෼ຄं೯հၴऱᣂএΔࠀ آ൶ಘٌ࣐೯ᖲऱ᠏᧢ਢܡኙՂ૪ᣂএᄎທګᐙ᥼Δץਔਙ࿜ऱၲ࣋ਢܡᄎࠌं೯լ

ؓᙩࢨᏝ௑᝟࣍᡹ࡳΖڂڼΔݺଚࠉᖕ FungandPatterson(1999)৬ዌψٻၦ۞ݺಱូ

ᑓী(VectorAutoregressionmodel,VAR)ωΔၞ۩Ղ૪ઔߒؾऱऱಘᓵΔᑓীڕՀ:

L

1 k

k   H



¦

Ղ૪࿛ڤխऱY(t) ੡ (1ͪ3)ٻၦΔץਔ໴ሟं೯Εᝩᙠृٌ࣐੒೯֗ދᖲृٌ࣐

੒೯Δ׼؆ΔM ੡ၜԫऱဠᚵ᧢ᑇΔ׌૞ᛀ᧭ၜԫ/ၜնऱᐙ᥼, ӭ(t) ਢVAR ᑓী

փऱᎄ஁ႈΔL ਢ᧢ᑇࢬڶऱ່ᔞᆵ৵ཚᑇਢאSIC ່՛ଖࠐެࡳΔאܓ৵ᥛGranger ڂ࣠ᛀࡳΖ

ࠉᖕGranger (1969, 1988)༼נאቃྒྷ౨Ժऱᨠរࠐࡳᆠ᧢ᑇհၴऱڂ࣠ᣂএΔء ઔߒא෼ຄं೯(C) (אၲᒌኙگᒌΕگᒌኙၲᒌΕگᒌኙگᒌ֗೏܅Ꮭ)ፖཚຄٌ࣐੒

೯(F) (ᝩᙠृፖދᖲृ)հၴၞ۩ڂ࣠ᣂএᛀࡳΖࠀංᓵ෼ຄं೯(C) ፖཚຄٌ࣐(F) Ꮖ٣ࢨᆵ৵ᣂএΖ

ଈ٣Δءઔߒ৬م෼ຄं೯(C) լᄎᐙ᥼ཚຄٌ࣐(F) հဠྤ೗๻ࡉ෼ຄं೯ᄎ ᐙ᥼ཚຄٌ࣐հኙم೗๻Δᅝࢴ࿪ဠྤ೗๻Δঞ෼ຄं೯ᄎᐙ᥼ཚຄٌ࣐ΔאC o F

।قΖࠡڻΔ৬مཚຄٌ࣐(F) լᄎᐙ᥼෼ຄं೯(C) հဠྤ೗๻ࡉཚຄٌ࣐(F) ᄎ ᐙ᥼෼ຄं೯(C) հኙم೗๻Δᅝࢴ࿪ဠྤ೗๻Δঞז।ཚຄٌ࣐ᄎᐙ᥼෼ຄं೯Δ אC m FࢬقΖรԿ੡ٵழࢴ࿪Ղ૪Բृऱဠྤ೗๻Δז।ཚຄٌ࣐ፖ෼ຄं೯ઌյ ᐙ᥼ΔאC l F।قΖร؄੡ٵழ൷࠹Ղ૪Բृऱဠྤ೗๻Δ।قཚຄٌ࣐ፖ෼ຄं

೯ࠀྤٚԫᣂএΔא&)ࢬقΖ

ᆥ ኔᢞ࿨࣠ፖ։࣫

ԫΕඖ૪อૠ (ԫ)٤ཚ

।1 ੡ፕ᨜ؑ໱հཚຄٌ࣐(F)ፖ෼ຄं೯(C)հඖ૪อૠၦΔץਔؓ݁ᑇΕᑑᄷ

஁ΕADF ໢௅ᛀࡳ֗PACF อૠၦΔࠡխ෼ຄं೯։ܑץਔၲᒌኙگᒌΕگᒌኙၲ

ᒌΕگᒌኙگᒌΕ೏܅ᏝΖ

ઔߒ࿨࣠᧩قഏփؑ໱հཚຄٌ࣐ؓ݁ଖ੡ 101.97%ΔڂڼΔݺଚං۷ഏփཚຄ ދᇷԳ׌૞ᝫਢאދᖲٌ࣐੡׌ Ζۖ෼ຄं೯ؓ݁ଖտ࣍ 0.0061۟ 0.0135հၴΖ׼

؆Δݺଚܓشೣ۞ݺઌᣂএᑇ(PACF) ॣޡܒឰ෼ຄं೯ፖཚຄٌ࣐ऱᆵ৵ཚᑇΔ൓

वཚຄٌ࣐ऱᆵ৵ཚ੡ 1-5ཚΔۖ෼ຄं೯հၲᒌኙگᒌ֗گᒌኙگᒌऱᆵ৵ཚ੡

1-8ཚΔז।መװᆵ৵᧢ᑇኙؾছ᧢ᑇࠠڶ᧩ထቃྒྷ౨Ժ Δۖ೏܅Ꮭঞ᧩قנྤᆵ৵ ཚΖ່৵Δء֮ࠌشDickeyand Fuller (1979)հADF ᛀࡳΔ։ܑኙཚຄٌ࣐ፖ෼ຄं

೯ऱઔߒ᧢ᑇၞ۩໢௅ᛀࡳΔ࿨࣠ڇ᧩ထֽᄷ 1%հՀΔࢬڶ᧢ᑇ݁ฤٽਁࡳणኪΖ ط࣍ཚຄٌ࣐ױ౨ץܶழၴ᝟Ⴈ ΔڂڼΔء֮ࠉᖕGallant , Rossi and Tauchen (1992)ΕChen , Firth, and Rui (2001)֗Lee and Rui (2002)װೈᒵࢤፖॺᒵࢤழၴ᝟ႨΔ ࠀאྲྀ஁ႈ܂੡ཚຄٌ࣐ᄅऱཙז᧢ᑇΔאܓ৵ᥛઌᣂઔߒΖ

।1 ፕ᨜ཚຄٌ࣐ፖ෼ຄं೯հഗءอૠၦ(1999/11/1-2007/12/31)

อૠଖ ෼ຄं೯ ཚຄٌ࣐

ၲᒌኙگᒌ گᒌኙၲᒌ گᒌኙگᒌ ೏܅Ꮭ

ؓ݁ଖ 0.0104 0.0061 0.0123 0.0135 1.0197 ᑑᄷ஁ 0.0110 0.0071 0.0124 0.0752 0.4323 ADF -8.8228** -11.8956** -9.0878** - 44.6214** -8.3119**

PACF 1-8 1-7 1-8 0 1-5

ုΚADF ᛀࡳڇ᧩ထֽᄷ1%Ε5%ፖ10%Հᜯ੺ଖ։ܑ੡-2.58 ࡉ-1.95 א֗-1.62Ζ**ፖ*։ܑ।ق᧩

ထֽᄷ1%֗5%Ζ

(Բ) ਙ࿜ኙཚຄፖ෼ຄؑ໱ᐙ᥼

।2 ੡ਙ࿜ၲ࣋ছፖ৵ԫڣתऱፕ᨜ؑ໱հཚຄٌ࣐ (F)ፖ෼ຄं೯(C)հඖ૪ อૠၦΔץਔؓ݁ᑇ֗ᑑᄷ஁Δࠀඖ૪ၲᒌኙگᒌΕگᒌኙၲᒌΕگᒌኙگᒌΕ೏܅

Ꮭ࿛Δ෼ຄं೯ഗءอૠၦΖ

ઔߒ࿨࣠᧩قڇਙ࿜ၲ࣋ছഏփؑ໱հཚຄٌ࣐ؓ݁ଖ੡72.77%Δۖၲ࣋৵ཚຄ

ٌ࣐ؓ݁ଖ༼֒۟ 96.94%ΔڂڼΔݺଚං۷ഏփཚຄދᇷԳऱދᖲٌ࣐ڶࣔ᧩ᏺף հ᝟ႨΖۖਙ࿜ၲ࣋ছ෼ຄं೯տ࣍ 0.0037۟ 0.0069Δၲ࣋৵ऱं೯տ࣍ 0.0052۟

0.0096Δང؁ᇩᎅΔं೯ڇਙ࿜ၲ࣋৵ڶᏺףऱ᝟ႨΖ

। 2 ਙ࿜ၲ࣋հፕ᨜ཚຄٌ࣐ፖ෼ຄं೯հഗءอૠၦ

෼ຄं೯ อૠଖ

ၲᒌኙگᒌ گᒌኙၲᒌ گᒌኙگᒌ ೏܅Ꮭ

ཚຄ

ٌ࣐

ؓ݁ଖ 0.0057 0.0037 0.0069 0.0068 0.7277 ছԫ

ڣת ᑑᄷ஁ 0.0053 0.0035 0.0062 0.0031 0.2724

ؓ݁ଖ 0.0073 0.0052 0.0096 0.0081 0.9694

৵ԫ

ڣת ᑑᄷ஁ 0.0072 0.0058 0.0095 0.0044 0.3071

ԲΕGranger ڂ࣠ᣂএ։࣫

ء֮ࠉᖕGranger (1969,1988)༼נאቃྒྷ౨Ժऱᨠរࠐࡳᆠ᧢ᑇհၴ ऱڂ࣠ᣂ এΔലא෼ຄं೯(C) (אၲᒌኙگᒌΕگᒌኙၲᒌΕگᒌኙگᒌ֗೏܅Ꮭ) ፖཚຄٌ

࣐੒೯(F) (ᝩᙠृፖދᖲृ) հၴၞ۩ڂ࣠ᣂএᛀࡳΖ (ԫ)٤ཚ

(A)ؑ໱᡹ࡳࢤ

।3 ୶෼ཚຄٌ࣐(F) հᝩᙠृΕދᖲृፖ෼ຄं೯(C) հၴऱڂ࣠ᣂএΔץਔ ཚຄٌ࣐ኙ෼ຄं೯ऱ໢ٻᣂএ (C m F)ፖઌֱ֘ٻᣂএ(C o F)ࠀ٨נ׬ֱอૠଖ Ζ

࿨࣠᧩قࢬڶऱ෼ຄं೯᧢ᑇኙཚຄᝩᙠृڶ᧩ထհ໢ٻᣂএ(C o F)Δ।قދᇷԳױ אڶயऱሎشཚຄؑ໱ࠐ֘ਠ෼ຄؑ໱ऱᇷಛփොΔڶܗ࣍෼ຄؑ໱ய෷ऱ༼֒Ζ׼

؆Δ൓वᝩᙠऱᇷಛႚᎠຒ৫ለދᖲ੒೯߰ຒΔڂ੡ᝩᙠٌ࣐ृຏൄᖑڶለࠋऱቃྒྷ

౨ԺፖߏڶಛஒΔڇᄅᇷಛࠩሒؑ໱ழᄎمܛ֘ᚨٌ࣐࣍۩੡ՂΖ

׼؆Δ࿇෼ཚຄދᖲृڇگᒌኙၲᒌհՀڶ᧩ထհ໢ٻᣂএ(C o F)Δრᘯދᖲृ

إᖂ฾ᝩᙠृԱᇞᒌ৵ᇷಛऱ࿇܉ΔፖHong (2000)ऱᨠរլٵΔڂڼංឰഏփཚຄؑ

໱ऱ৬مኙ࣍෼ຄؑ໱ਢڶإ૿ऱய墿Ζ

।3 VARᑓীGranger ڂ࣠ᣂএ࿨࣠(1999/11/1-2007/12/31)

ᝩᙠृ ދᖲृ

ᑓী C m F C o F C m F C o F

ၲᒌኙگᒌ 11.5875 67.2896** 7.1364 6.2316 گᒌኙၲᒌ 6.2252 47.6281** 16.3334 19.4728*

گᒌኙگᒌ 13.6282 93.6540** 11.8201 3.2530

೏܅Ꮭ 7.0878 23.2527** 1.2646 2.9599

ုΚ**ፖ*։ܑ।ق᧩ထֽᄷ 1%֗ 5%Ζ

(B)լٵؑ໱යٙՀΔٌ࣐೯ᖲኙؑ໱᡹ࡳࢤᐙ᥼

Harris (1989)׌്ΔᝩᙠृൕࠃᝩᙠΕ୚ܓ੒೯ፖދᖲृၞ۩ދᖲ੒೯Δ܀ࠀآ ܫवݺଚᝩᙠृൕࠃ୚ܓ੒೯ਢڇչᏖൣउհՀΔءઔߒ๻ࡳٺጟլٵऱणኪՀၞ۩

൶ಘΔݺଚආ࠷ Fung and Patterson(1999)ᓳ਷լٵٌ࣐ᣊীऱٌ࣐۩੡Ζء֮ܓشٌ

࣐ၦፖآؓପ᧢ᑇኙཚຄᝩᙠृΕދᖲृፖ෼ຄं೯ၞ۩ Granger ڂ࣠ᛀࡳΖ

। 4 ࿨࣠᧩قΔڇ܅ٌ࣐ၦࡉ܅آؓପհՀΔ෼ຄं೯ࢬං۷ऱ᧢ᑇհၲᒌኙگ ᒌΕگᒌኙၲᒌ֗گᒌኙگᒌኙཚຄᝩᙠृڶ᧩ထհ໢ٻᣂএ(C o F)Δრᘯཚຄᝩᙠ

ृױאڶயऱሎشཚຄؑ໱ࠐ֘ਠ෼ຄؑ໱ऱᇷಛփො Δڶܗ࣍෼ຄؑ໱ய෷ऱ༼

֒Δۖཚຄދᖲृፖ෼ຄं೯ঞྤٚԫᣂএΖ׼؆Δڇ೏ٌ࣐ၦፖ೏آؓପհՀঞ࿇

෼Δ

ཚຄᝩᙠृፖ෼ຄं೯੡ᠨٻᣂএ੡ၲᒌኙگᒌ֗گᒌኙၲᒌ(C l F)Δۖ໢ٻᣂ এ੡گᒌኙگᒌ(C o F)֗೏܅Ꮭ(C m F)Ζ׼؆Δཚຄދᖲृፖं೯੡ᠨٻᣂএ੡گ ᒌኙگᒌ(C l F)Δۖ໢ٻᣂএ੡ၲᒌኙگᒌΕ೏܅Ꮭ(C o F)֗گᒌኙگᒌ(C m F)Δ

ࠡխ(C l F)ז।ཚຄދᇷԳױאڶயሎشཚຄؑ໱ࠐ֘ਠ෼ຄؑ໱ऱᇷಛփොΔڶܗ

࣍ؑ໱ய෷ऱ༼֒Δ܀ڂቃྒྷհᣂএᖄીؑ໱ய෷྇ჾΕ(C o F)।قڶܗ࣍ؑ໱ய෷

ऱ༼֒Δ(C m F)ؑ໱ய෷ڶ྇ჾऱᇾွΖ

א܅ٌ࣐ၦࡉ೏آؓପᨠኘհՀ Δཚຄᝩᙠृፖं೯੡໢ٻᣂএऱਢၲᒌኙگ ᒌΕگᒌኙگᒌ(C o F)֗೏܅Ꮭ(C m F)Ζ׼؆Δཚຄᝩᙠृፖं೯੡໢ٻᣂএऱਢ

ၲᒌኙگᒌ(C m F)Δࠡխ(C o F)।قᄎᏺףؑ໱ய෷Δ(C m F)ᄎ྇ჾؑ໱ய෷Ζ ൕ೏ٌ࣐ၦࡉ܅آؓପհՀΔᝩᙠृፖं೯ೈԱگᒌኙၲᒌ؆Δࠡ塒ຟ੡໢ٻᣂ এ(C o F)Ζދᖲृፖं೯੡໢ٻᣂএ੡گᒌኙၲᒌ (C m F)Δࠡխ(C o F)।قڶܗ࣍

ؑ໱ய෷ऱ༼֒Δ(C m F)ؑ໱ய෷ڶ྇ჾऱᇾွΖ

। 4 լٵणኪՀཚຄٌ࣐ፖ෼ຄं೯հ Granger ڂ࣠ᣂএ࿨࣠

(1999/11/1-2007/12/31)

ᝩᙠृ ދᖲृ

V OI ᑓী C m F C o F C m F C o F

ၲᒌኙگᒌ 8.3409 42.9186** 7.7622 5.3862 گᒌኙၲᒌ 5.8733 31.2130** 3.7175 6.1639 گᒌኙگᒌ 7.6213 61.2697** 7.3350 6.4966

܅ ܅

೏܅Ꮭ 7.2947 11.6386 3.7979 0.7560

ၲᒌኙگᒌ 3.6771 7.3110* 4.9727 6.8726*

گᒌኙၲᒌ 0.4873 3.6266 0.0498 2.8276 گᒌኙگᒌ 1.8992 6.4226* 1.5284 3.4559

܅ ೏

೏܅Ꮭ 13.7961** 1.7110 7.1439 0.9487

ၲᒌኙگᒌ 0.1819 21.8514** 0.7727 0.2846 گᒌኙၲᒌ 1.7922 2.0603 7.9526** 0.0037 گᒌኙگᒌ 1.8719 10.6829** 0.3183 0.2478

೏ ܅

೏܅Ꮭ 1.3736 12.7376** 0.3742 0.5473

ၲᒌኙگᒌ 20.7215* 23.8207** 12.4128 21.4346*

گᒌኙၲᒌ 18.4225* 30.5244** 24.4075** 59.0421**

گᒌኙگᒌ 17.8411 31.1388** 23.9618** 13.2038

೏ ೏

೏܅Ꮭ 18.6875* 10.6906 14.4156 38.1650**

ုΚ**ፖ*։ܑ।ق᧩ထֽᄷ 1%֗ 5%Ζ

(ԫ)ਙ࿜ய࣠

(A)ؑ໱᡹ࡳࢤ

। 5 ੡ਙ࿜ၲ࣋ኙᝩᙠृࡉދᖲृཚຄٌ࣐ࡉ෼ຄं೯ᣂএհڂ࣠ᣂএᛀࡳ࿨

࣠Δอૠଖ੡׬ֱอૠၦΔࠡխ CÆF ।ق෼ຄं೯Ꮖ٣ᐙ᥼ཚຄٌ࣐ΔFÆC ।قཚ ຄٌ࣐Ꮖ٣ᐙ᥼෼ຄं೯Ζ࿨࣠᧩قΔਙ࿜ၲ࣋৵ΔאၲᒌኙگᒌΕگᒌኙگᒌࡉ೏

܅Ꮭ۷ૠऱ෼ຄं೯ۖߢΔᝩᙠृཚຄٌ࣐᧩ထ࠹ࠩ෼ຄं೯ऱᐙ᥼Δڶܗ࣍ؑ໱᡹

ࡳΔ܀ਢᝩᙠृऱཚຄٌ࣐থᄎᐙ᥼گᒌኙگᒌऱ෼ຄं೯ΔၞۖԾીࠌؑ໱ऱլ᡹

ࡳΖኙދᖲृۖߢΔڇਙ࿜ၲ࣋৵Δথڶլٵऱ࿨࣠Δދᖲृཚຄٌ࣐ᄎᐙ᥼گᒌኙ

گᒌऱ෼ຄं೯Δ܀ਢ೏܅Ꮭऱ෼ຄं೯থਢᐙ᥼ދᖲृऱཚຄٌ࣐Ζ

່৵Δءઔߒᨠኘگᒌኙၲᒌऱ෼ຄं೯ࡉཚຄٌ࣐ऱᣂএ࿇෼Δਙ࿜ၲ࣋৵Δ ឈྥދᖲृڶᠨٻ᧩ထऱᣂএΔۖᝩᙠृڶཚຄٌ࣐ᐙ᥼෼ຄं೯ऱ໢ٻᣂএΖࠡխ ދᖲृཚຄٌ࣐࠹ࠩ෼ຄं೯ऱᐙ᥼Օ࣍֘ٻᣂএऱᐙ᥼Δრ࠺ދᖲृڇਙ࿜ၲ࣋৵ ᄎࣹრᒌ৵ᇷಛऱ࿇ؒࠀᖂ฾ᇷಛᇞᦰऱ౨ԺΔࠀທګڇਙ࿜ၲ࣋৵Δދᖲृڇཚຄ

ٌ࣐ࡉ෼ຄं೯ᣂএژڇઌ֘ऱ࿨࣠Ζڇኙᅃཚຄٌ࣐ࡉ෼ຄं೯ऱઌᣂএᑇΔءઔ ߒᢞኔڇਙ࿜ၲ࣋৵ΔՕીۖߢᝩᙠृՕ࣍ދᖲृΔז।ឈྥᝩᙠृࡉދᖲृژڇᇷ ಛլኙጠΔ܀ڂਙ࿜ၲ࣋৵Δދᖲृऱઌᣂࢤڶᏺףऱ᝟ႨΔრ࠺ދᖲृຘመᖂ฾৵ ࡉᝩᙠृऱᇷಛլኙጠڶᒷࡉޏ࿳ऱ෼ွΖ⁶

। 5 ਙ࿜ၲ࣋ኙᝩᙠृࡉދᖲृཚຄٌ࣐ࡉ෼ຄं೯ᣂএհڂ࣠ᣂএᛀࡳ

෼ຄ ᝩᙠृ ދᖲृ

ֲཚ ᑓী C m F C o F C m F C o F

ၲᒌኙگᒌ 16.6528 7.2971 14.6008 13.2433 گᒌኙၲᒌ 4.2292 25.2247** 4.3192 8.3594 گᒌኙگᒌ 8.7437 6.7637 8.9628 20.8722*

2004/9/27

۟ 2006/3/26

೏܅Ꮭ 3.6002 4.8526 9.9759 4.5895

ၲᒌኙگᒌ 4.3244 36.4458** 8.2495 12.4400 گᒌኙၲᒌ 23.5871** 16.3585 19.2782* 34.4822**

گᒌኙگᒌ 17.2266* 24.3514** 29.0587** 15.1769 2006/3/27

۟ 2007/9/27

೏܅Ꮭ 13.7092 23.9150** 14.7924 22.8945**

ုΚ**ፖ*։ܑ।ق᧩ထֽᄷ 1%֗ 5%Ζ

(B)ٌ࣐೯ᖲኙؑ໱᡹ࡳࢤᐙ᥼

੡Աᛵᇞਙ࿜ၲ࣋ছ৵հլٵؑ໱णኪՀΔཚຄٌ࣐ፖ෼ຄं೯ၴऱᣂএΔ։࣫

࿨࣠ຫ٨࣍।6Ζኙᅃਙ࿜ၲ࣋ছ৵Δڇ܅ٌ࣐ၦፖ܅آؓପհՀ࿇෼Δאگᒌኙگ ᒌ۷ૠऱ෼ຄं೯ۖߢΔᝩᙠृཚຄٌ࣐ڇਙ࿜ၲ࣋৵ᄎ࠹ࠩ෼ຄं೯ऱᐙ᥼Δۖދ ᖲृཚຄٌ࣐֘ۖᄎᐙ᥼෼ຄं೯Ζრ࠺ਙ࿜࣋ၲ৵ᝩᙠृڶܗ࣍᡹ࡳؑ໱Δۖދᖲ

6 ࠹ૻ֮ີ଄ᑇΔڇڼઌᣂএᑇآ٨נΖ

ृᄎຘመቃྒྷं೯ۖၞ۩ٌ࣐ཚຄৈપᖄીؑ໱ऱլ᡹ࡳΖڼ؆Δڇ೏ٌ࣐ၦፖ೏آ

ؓପՀΔאگᒌኙگᒌऱ෼ຄं೯ۖߢΔਙ࿜ၲ࣋৵Δᝩᙠृཚຄٌ࣐࠹ࠩ෼ຄं೯ ऱ᧩ထᐙ᥼Δۖދᖲृཚຄٌ࣐থᄎ᧩ထᐙ᥼෼ຄं೯Δრ࠺ᝩᙠृᄎڶܗ࣍ؑ໱ऱ

᡹ࡳΔۖދᖲृথ༞֏ؑ໱ऱ᡹ࡳΖ

׼؆Δڇ܅ٌ࣐ၦፖ೏آؓପՀΔڇਙ࿜ၲ࣋৵Δאگᒌኙگᒌऱ෼ຄं೯ۖߢΔ ᝩᙠृࡉދᖲृথآڶٚԫ໢ٻ᧩ထᣂএΔ܀ਢא೏܅Ꮭऱ෼ຄं೯Δᝩᙠृऱཚຄ

ٌ࣐ᄎᐙ᥼෼ຄं೯Ζრ࠺ᝩᙠृൕࠃᝩᙠٌ࣐ழথᄎᖄીؑ໱ऱլ᡹ࡳΖ່৵Δڇ

೏ٌ࣐ၦፖ܅آؓପհՀΔڇਙ࿜ၲ࣋৵Δאگᒌኙگᒌऱ෼ຄं೯ۖߢΔᝩᙠृࡉ ދᖲृথآڶٚԫ໢ٻ᧩ထᣂএΔრ࠺ᝩᙠृڇၞ۩ދᖲٌ࣐ழࠀآኙؑ໱լ᡹ࡳڶ

ංंܗᣴऱ෼ွขسΖຍᑌऱ࿨࣠ڇא೏܅Ꮭࡉၲᒌኙگᒌऱ෼ຄं೯Ո൓ࠩઌٵऱ ᓵរΖྥۖڇኙދᖲृۖߢΔދᖲृཚຄٌ࣐࠹ࠩگᒌኙگᒌࡉ೏܅Ꮭऱ෼ຄं೯ऱ ᐙ᥼Δܛދᖲृڇڼؑ໱णኪՀڶܗ࣍ؑ໱ऱ᡹ࡳΖ׼؆ΔݺଚՈᨠኘگᒌኙၲᒌऱ

෼ຄं೯ࡉཚຄٌ࣐ᣂএࠀ࿇෼Δឈྥᝩᙠृூދᖲृཚຄٌ࣐݁ᄎᐙ᥼෼ຄं೯Δ

܀ਢދᖲृཚຄٌ࣐ᄎ࠹ࠩ෼ຄं೯ऱᐙ᥼Ζང؁ᇩᎅΔދᖲृڇڼؑ໱णኪՀᄎᣂ

֨ᝩᙠृਢܡᄎၞ۩ދᖲٌ࣐ऱᒌ৵ؑ໱ᇷಛΔࠀቫᇢװᖂ฾ܒឰᇷಛإᒔፖܡΖ

। 6 ਙ࿜ၲ࣋հլٵणኪՀཚຄٌ࣐ፖ෼ຄं೯ऱ Granger ڂ࣠ᣂএ࿨࣠

(ছԫڣתΕ৵ԫڣת)

ছԫڣת ৵ԫڣת

णኪ ᝩᙠृ ދᖲृ ᝩᙠृ ދᖲृ

V OI ᑓী C m F C o F C m F C o F C m F C o F C m F C o F

ၲᒌኙگᒌ 4.76* 0.12 0.43 0.78 0.00 2.19 5.58* 3.98*

گᒌኙၲᒌ 1.84 10.46** 1.50 0.05 0.93 4.95* 11.39** 0.20 گᒌኙگᒌ 0.89 0.61 0.17 0.21 0.09 5.39* 8.80** 2.08

܅ ܅

೏܅Ꮭ 10.89** 0.35 1.40 1.45 1.48 0.00 3.05 1.70

ၲᒌኙگᒌ 1.78 0.65 0.23 0.08 0.17 0.00 0.48 3.41 گᒌኙၲᒌ 0.11 3.76 0.09 0.07 1.75 0.84 4.45* 0.13 گᒌኙگᒌ 0.16 2.09 0.37 0.05 0.95 1.83 0.14 0.01

܅ ೏

೏܅Ꮭ 3.56 0.63 2.75 4.97* 12.42** 1.10 3.10 0.86

ၲᒌኙگᒌ 8.60** 0.22 2.92 0.34 0.94 2.10 1.76 0.21 گᒌኙၲᒌ 0.41 0.88 0.00 0.07 40.80** 9.05 69.78** 48.57**

گᒌኙگᒌ 7.46** 0.27 4.91* 0.59 0.01 2.19 2.96 5.17*

೏ ܅

೏܅Ꮭ 3.21 3.56 3.03 1.41 7.55 27.80 7.79 81.01**

ၲᒌኙگᒌ 0.09 3.45 2.42 3.80 0.83 3.44 3.89* 0.03 گᒌኙၲᒌ 1.14 3.87* 0.44 0.48 2.32 1.11 43.42** 0.33 گᒌኙگᒌ 1.54 5.11 3.15 3.51 0.60 5.98* 7.96** 0.15

೏ ೏

೏܅Ꮭ 0.67 1.09 0.16 4.15* 0.83 1.44 0.89 1.06

ုΚ**ፖ*։ܑ।ق᧩ထֽᄷ 1%֗ 5%Ζ

รնີ ઔߒ࿨ᓵፖ৬ᤜ

ڇၲ࣋؆ᇷൕࠃཚຄ୚ܓٌ࣐ՀΔءઔߒ൶ಘཚຄٌ࣐ፖ෼ຄؑ໱ं೯ऱ೯ኪᣂ এΖݺଚאፕ᨜ཚຄٌ࣐ࢬ(TAIFEX) ࿇۩ऱ؀᨜ैปؑ໱ैᏝਐᑇ੡ᑑऱਐᑇཚຄ

ৈપ੡ᑌءΔܓشGranger ڂ࣠ᣂএࠐᛀࡳཚຄٌ࣐ፖ෼ຄं೯ᣂএऱᐙ᥼Ζඖ૪อ ૠၦ։࣫᧩قഏփཚຄؑ໱׌૞ਢאދᖲٌ࣐ृࡺڍΔۖGranger ڂ࣠ᛀࡳঞᒔᎁԱ

෼ຄं೯ኙཚຄᝩᙠृڶ᧩ထऱ໢ٻᣂএΔຍ।قؑ໱ދᇷԳױאຘመཚຄٌ࣐ࠐ߰

ຒ֘ᚨ෼ຄं೯ऱᇷಛփොΔང؁ᇩᎅΔഏփཚຄٌ࣐ኙ࣍෼ຄؑ໱ய෷ऱ༼֒ᒔኔ ڶإ૿ऱܗ墿Ζ

ءઔߒڇಘᓵၲ࣋؆ᇷൕࠃཚຄ୚ܓհ੒೯଺ءਢݦඨ౨ឩՕཚຄؑ໱๵ᑓΔܮ

֧ᖲዌދᇷृऱףԵΔڶܗ࣍ൎ֏ኙ෼ຄؑ໱ऱ᡹ࡳࢤΖ࿨࣠᧩قਙ࿜ၲ࣋৵Δء֮

ࠀآ࿇෼ᝩᙠृൕࠃދᖲٌ࣐ڶᖄી૾܅ؑ໱ऱய෷ࢤΔྥۖᖄીؑ໱լ᡹ࡳऱ׌ڂ ױ౨ᄎࠐ۞࣍ᅝᝩᙠृൕࠃދᖲٌ࣐ழཚຄٌ࣐ࡉ෼ຄं೯ڶإઌᣂऱ෼ွΖڼ؆Δ ءઔߒ࿇෼ދᖲृڇᝩᙠृૉൕࠃދᖲٌ࣐ழᄎᖂ฾ࠀԱᇞؑ໱ᒌ৵ᇷಛऱ࿇܉Δڶ ܗ࣍ᒷࡉؑ໱լ᡹ࡳΖ׼ԫֱ૿Δڇਙ࿜ၲ࣋৵Δᝩᙠृૉਢൕࠃᝩᙠٌ࣐ழཚຄٌ

࣐ᄎᐙ᥼෼ຄं೯Δრ࠺ᝩᙠृൕࠃᝩᙠٌ࣐ழথᄎᖄીؑ໱ऱլ᡹ࡳΖ

ڂڼΔഏփؑ໱଺ء༉ਢא ދᖲٌ࣐ृ ੡׌Δ܀ڂၲ࣋؆ᇷൕࠃઌᣂऱ୚ܓ۩

੡Δ֘ۖᖄીދᖲٌ࣐ृឩՕٌ࣐ࠡ๵ᑓΖ৬ᤜ׌ጥᖲᣂᚨ᠃შەᐞຝٝ࣋ᐈ؆ᇷൕ ࠃ୚ܓհઌᣂऱ಻୚Δࢨृਢᓿղᝩᙠፖދᖲٌ࣐ृ஁ܑࢤऱ୚ܓ࿓৫Ξ࿛᡹ࡳ෼ຄ

ؑ໱ऱൻਜΔאᝩ܍ڇឩՕཚຄٌ࣐ٵழჾ֗෼ຄؑ໱ऱய෷ࢤፖੌ೯ࢤΖ

೶ە֮᣸

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