| Summary: | 碩士 === 國立臺北大學 === 合作經濟學系 === 91 === The purpose of this paper is to investigate the impact of foreign investment on the volatility of the stock markets and futures markets. This study performed by utilizing
VECM-VS-GARCH-X model.
The main empirical results are as follows:
Firstly, the result of cointegration test shows that there is a long-run equilibrium relationship among stock markets and futures markets.
Second, the volatility switching effects between these stock markets and futures markets also exist.
Thirdly, the condition correlations between stock market and futures markets are significant.
Finally, foreign capital trading information has more influences on stock markets and futures markets.
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