The effects of Taiwan stock index futures market on Taiwan stock market volatility

• Main Authors: zhao yuan Yu, 游兆源
• Other Authors: rey shan Wu
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/64818664604780829681

碩士 === 國立中興大學 === 企業管理學系 === 87 === During some years, in order to make fast for financial market free and international, government decided to open the futures makret trading from 1997 to supply domestic bussines and personal investors some hedging tools . In 1998,TAIMEX market on Taiwan index futures on July 21. This research''s data used the daily closing prices for the Taiwan stock index. The sample period extends from October 23,1997 to March 31,1999. The analysis model is exponential GARCH process (EGARCH) to examine the effect of Taiwan index futures trading on stock market volatility. From this empirical results, we can get the following summary: First, LM test and EGARCH model can show that the volatility of Taiwan stock index corresponds with the ARCH effect. This supports the financial scholars to publish the theory of volatility clustering.Second, from empirical results, Taiwan index futures did not change the stock average returns. But added a little rise to stock average variance. Third, From EGARCH model estimation, the introduction of Taiwan index futures really made a little impact for stock volatility,but this because of opening futures trading ,and new information from futures market flowed in stock market responed stock price volatility. At the same time, in the model of lag residual item square is not significant, this indicated whole stock market volatility is not high sensitive for if the index futures trading on? On the other hand, it can explain that introduction of index futures did not make stock market huge impact. As to lag conditional variance of the daily returns is significant ,it shows the persistence rose substantially and the implication is that today''s news has become less important in the formation of tomorrow''s volatility forecasts.