| Summary: | 碩士 === 國防管理學院 === 資源管理研究所 === 87 === Whatever the Stock Index Futures is in the theory or in proved study, most of the people will foresee the futures market is more sensitive than spot market, and the futures market may promote the spot market as well. In other words, it implies the existent and obvious lead-lag relationship, thus, it will have arbitrage opportunities between the Stock Index Futures Market and Spot Market. Therefore, I choose the transaction data from September 21 to December 19 of 1998, and there are five-minute intraday data on prices of 2465- set Taiwan Stock Index futures and spot price. With cointegration, Error Correction Model(ECM) and Granger Casuality test, I proceed the lead-lag relationship and dynamic interaction of futures and spot prices between TAIFEX and SIMEX(Singapore International Monetary Exchange), that is, individually explore the flowing direction of new information and the intraday price discovery of the spot and futures market. Which is capable of predicting the other one? The results of the empirical test are:
1.All five series is unstable, which can''t exclude unit root. It presents stability after one difference.
2.The price series exist cointegration. What it means the relative price of SIMEX and TAIFEX will stay the stable consistence for the long term.
3. The feedback relationship is revealed in the Taiwan stock index futures and spot price, then their information will flow to each other. What''s more, both of them play the price discovery function and refer to the price information of the other. It implies investors have to both reasonably catch up with the trends of the Taiwan Stock Index Futures or spot price since both they will be influenced by price fluctuation of the previously the same and another markets.
4.In the aspect of the lead-lag relationship, I discover (1)SIMEX Taiwan Stock Furtures is the lead goal of spot; the next near futures is the lead goal of the near futures, which has price discovery function. (2)However, TAIFEX is that the spot market leads the futures market.
Probably it is because our transaction cost inclines higher, and investors is not familiar with TAIFEX, which leads most capital flows into stock market. Then the results of information will respond to spot.
5.As to the responding ability of new information, this text uses five-minute interval so that this study result also indirectly verify the responding hours of the Taiwan Stock Index Futures, and spot will not be more than 45 minutes.
6.The hypothesis of the border and territories: Singapore will possess the superiority in information and price lead. It indicates the Taiwan Stock Index Futures prevails very fast and is not effected by the changes of territories. The prediction is (1) SIMEX uses open cry in trading pits, which results in a great number of people. The opening hour is 15 minutes earlier than TAIFEX Market. In addition, there is electronic data processing system transaction in the afternoon, therefore, we need to notice the influence of SIMEX spot opening hour in the country, and that of closing price for SIMEX in the spot price on TAIFEX. (2) SIMEX has 77 pieces only. Traders easily get arbitrage in SIMEX and the spot market.
All in all, the Taiwan Stock Index Futures and spot market will mutually influence, and the price is a type of feedback relationship. The price of SIMEX will be prior to the price of the spot --it can be the target for predicting spot price.
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