An investigation of the relationship between TAIMEX futures and spot
碩士 === 國立中興大學 === 企業管理學系 === 87 === The hypothesis that time series of futures prices are memoryless is investigated for the time series of transactions prices of the TAIMEX futures contracts during July 21,1998 and March 31,1999, The stationarity of daily data sets of the TAIMEX futures prices is...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/32320903846735086476 |
| Summary: | 碩士 === 國立中興大學 === 企業管理學系 === 87 === The hypothesis that time series of futures prices are memoryless is investigated for the time series of transactions prices of the TAIMEX futures contracts during July 21,1998 and March 31,1999, The stationarity of daily data sets of the TAIMEX futures prices is analyzed by conducting formal unit root tests. The results show that first-order differencing is sufficient to render each data se of daily data. A basic problem in modeling market prices is that they are inconsistent with the Markov assumption. To remedy this inconsistency, the method of expansion of representation. It also provides an estimation procedure for seemingly non-Markov processes, which minimizes an information criterion known as Akiake''s AIC.It is found that the futures market leads with the spot market by as long as 2 days. This result is consistent with previous studies for the US and other countries'' futures markets.
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