| Summary: | 碩士 === 中國文化大學 === 國際企業管理研究所 === 86 === The study takes the SIMEX Taiwan Stock Index Futures and
Taiwan Stock Index as the objectives. The major purpose focused
on examine the relationship between these two markets'' prices,
discussing the causality between these two markets with VAR(
Vector Auto-Regressive) model, and providing some suggestions
for investing in these two markets. The data was covered from
Jan. 9, 1997 through Mar. 16, 1998, with total 332 sets of
market price data. The results showed that the closing index of
Taiwan Stock Index Futures andthe opening index of Taiwan Stock
Index existed a co-integration. From the lagof the VAR model, we
found that the closing index of Futures and the closing index of
Stock showed a feedback relationship; the closing index of
Futures ledthe first period and the 5th period of opening index
of Futures; the closingindex of Futures led the 2nd period and
the 5th period of opening index ofStock; the closing index of
Stock and the opening index of Futures wereindependent; and the
opening index of Futures led the 4th period of openingindex of
Stock. From the Decomposition of Variance analysis, we found
that no matter whichTaiwan Stock Index Futures opening and
closing Index or Taiwan Stock Index opening and closing index
were mainly affected by the closing index of Taiwan Stock Index
Futures. From the impulse response function analysis, we found
that only the closing index of Taiwan Stock Index Futures showed
a positiveresponse, indexes showed both positive and negative
response.
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