A study of the relationship between futures and spot in Taiwan Area

• Main Authors: Chia-Jung, Liu, 劉嘉蓉
• Other Authors: Yeong-Jia, Goo
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/85893192305355094439

碩士 === 國立臺北大學 === 企業管理學系 === 89 === On July 21, 1998, the Taifex launched the Taiwan Stock Exchange Capitalization Weighted Stock Index futures. Then, on July 21, 1999, the Taifex launched the Taiwan Stock Exchange Electronic Sector Index futures and Finance Sector Index. Henceforth, the financial market of Taiwan becomes more comprehensive. Since the Taifex futures was launched, the trading volume had been increasing steadily. This study focuses on the Taiwan Stock Exchange Capitalization Weighted Stock Index, Electronic Sector Index and Finance Sector Index. Using their daily return rates for samples, applying Bivariate GARCH (1,1) Model in order to examining their relationships between Spot and Futures markets. And hopes the investors to get great benefit from this study. The empirical results are described as follows： 1.The lead-lag relationships between spot and futures price return rates The futures price return rates of Taiwan Stock Exchange Capitalization Weighted Stock Index and Finance Sector Index leads with the spot, and the relationship is positive. The spot price return rates of Electronic Sector Index leads with the futures. 2.The volatility relationships between the spot and futures price return rates The spot and futures price return rates volatility of Taiwan Stock Exchange Capitalization Weighted Stock Index existed a two-way feedback relationship. The spot price return rates volatility of Electronic Sector Index leads the futures. The spot and futures price return rates volatility of Finance Sector Index existed a two-way feedback relationship.