The Dynamic Linear and Nonlinear Relationships Among Taiwan Stock Index, Trading Volume and Stock Index Futures

• Main Authors: Ping-Yu Shin, 沈柄諭
• Other Authors: Mei-Hui Chen
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/28614635601463548083

碩士 === 國防管理學院 === 國防財務資源研究所 === 91 === In this paper, Vector Autoregressive Models (VAR) is used to analyze the dynamic linear and nonlinear relationships among Taiwan stock index, trading volume and stock index futures. We take transaction value and transaction volume that are treated as proxy of trading volume. We also investigate the dynamic relationship of Price-Volume at p.m. 1:30 and p.m. 1:00 on each trading day. Empirical results are shown as: 1.Among Taiwan stock index, transaction volume and stock index futures, we found that stock index futures are a leading factor for both Taiwan stock index and transaction volume, but the lead-lag relationship between Taiwan stock index and transaction volume is not significant. 2.Among Taiwan stock index, transaction value and stock index futures, we found that stock index futures lead both Taiwan stock index and transaction value. Moreover Taiwan stock index leads transaction value. 3.The empirical results also show that there exists significant nonlinear causality relationship among Taiwan stock index, transaction volume and stock index futures. In other words, except for considering the linear structure among them, we also have to introduce the nonlinear structure into the linear form. It will be more realistic to discuss the dynamic causality relationships among Taiwan stock index, trading volume and stock index futures by nonlinear causality model.