The Price Discovery Relationship among Spot Index, Index Futures, ETF－Taking NASDAQ 100 Derivatives for Example.
碩士 === 淡江大學 === 財務金融學系 === 91 === The purpose of this paper is using NASDAQ 100 index derivatives to discover the price lead-lag relationship among spot index, index futures and ETF. We use the closing price in minutes during the study period and classify these data into four time series：index-futur...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/38235559333673121773 |
| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 91 === The purpose of this paper is using NASDAQ 100 index derivatives to discover the price lead-lag relationship among spot index, index futures and ETF. We use the closing price in minutes during the study period and classify these data into four time series：index-futures, index-ETF, futures-ETF and index-futures-ETF. The major models in this paper are Vector Error Correction Model, Impulse Response Analysis and Forecast Error Variance Decomposition. The results suggest that index futures and ETF are better in price discovery. This conclusion is probably because of the lower trading cost and the convenience of trading in each market.
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