The Interrelationships among Stock Index Futures Traded in Taiwan Futures Exchange
碩士 === 國立雲林科技大學 === 財務金融系 === 90 === This thesis examines the information spillover effect among stock index futures traded in TAIFEX (Taiwan Futures Exchange). Namely, they are TAIEX futures, Mini-TAIEX futures, TSE Electronic Sector Index futures and TSE Banking and Insurance Sector Index futures....
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/47888192171655706569 |
| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 90 === This thesis examines the information spillover effect among stock index futures traded in TAIFEX (Taiwan Futures Exchange). Namely, they are TAIEX futures, Mini-TAIEX futures, TSE Electronic Sector Index futures and TSE Banking and Insurance Sector Index futures. It differs from the previous literature in directly investigating the interaction among index futures rather than the connection between futures and its associated spot. One-minute trading data is applied in the vector autoregressive model(VAR) after pre-whitening and the results indicate that these four time series share a two-way feedback relationship. The impulse response function among them is fast and significant. Moreover, the TAIEX futures enjoy a leading position in affecting other three futures. A plausible explanation could be attributed to the high liquidity (trading volume) involved in the TAIEX futures contract.
Keywords: Index futures ,Vector autoregressive model（VAR）
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