| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 89 === Monetary policy is widely believed to have a significant impact on economy,including stock market and future market.This study examines the price adjustment process of Taiwan stock market and Taiwan index future market around announcements of changes in the federal rate using an asymmetric autoregressive exponential GARCH model (ASAR-EGARCH) .First,we use Benchmark ASAR-EGARCH model to examine wether two markets have asymmetric effects in the price adjustment process.Second , we use monetary ASAR-EGARCH model to examine wether the various monetary policy caused asymmetric effects in the price adjustment process in the two markets.
Ⅰ. Benchmark ASAR-EGARCH model
We find that no obvious asymmetric effect and volatility persistence tends to be high in the stock market.There is asymmetric effects and low volatility persistence in Taiwan index future market.The leverage effect and half-life in the stock market are higher than in Taiwan index future market. Moreover , our findings are consistent with that prices adjust quicker to bad news relative to good news.
Ⅱ.Monetary ASAR-EGARCH model
We find that various monetray policies caused asymmetric effect in two markets. The leverage effect and half-life in the stock market are higher than in Taiwan index future market.In the changes of volatility,we find it become larger after the announcement of expansionary monetary policy,and it become smaller after the announcement of tightening monetary policy.Our findings are consistent with that prices adjust quicker to bad news relative to good news.
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