The Price Discovery Relationship among Spot Index, Index Futures, ETF－Taking NASDAQ 100 Derivatives for Example.

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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Main Authors: Tang, Wan Wei, 唐婉崴
Other Authors: William Lin
Format: Others
Language:zh-TW
Online Access:http://ndltd.ncl.edu.tw/handle/38235559333673121773
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spelling ndltd-TW-091TKU003040172015-10-13T13:35:58Z http://ndltd.ncl.edu.tw/handle/38235559333673121773 The Price Discovery Relationship among Spot Index, Index Futures, ETF－Taking NASDAQ 100 Derivatives for Example. 指數現貨、指數期貨與指數股票式基金間價格發現能力之探討－以NASDAQ100指數商品為例 Tang, Wan Wei 唐婉崴 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. William Lin 林蒼祥 學位論文 ; thesis 60 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 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.
author2 William Lin
author_facet William Lin
Tang, Wan Wei
唐婉崴
author Tang, Wan Wei
唐婉崴
spellingShingle Tang, Wan Wei
唐婉崴
The Price Discovery Relationship among Spot Index, Index Futures, ETF－Taking NASDAQ 100 Derivatives for Example.
author_sort Tang, Wan Wei
title The Price Discovery Relationship among Spot Index, Index Futures, ETF－Taking NASDAQ 100 Derivatives for Example.
title_short The Price Discovery Relationship among Spot Index, Index Futures, ETF－Taking NASDAQ 100 Derivatives for Example.
title_full The Price Discovery Relationship among Spot Index, Index Futures, ETF－Taking NASDAQ 100 Derivatives for Example.
title_fullStr The Price Discovery Relationship among Spot Index, Index Futures, ETF－Taking NASDAQ 100 Derivatives for Example.
title_full_unstemmed The Price Discovery Relationship among Spot Index, Index Futures, ETF－Taking NASDAQ 100 Derivatives for Example.
title_sort price discovery relationship among spot index, index futures, etf－taking nasdaq 100 derivatives for example.
url http://ndltd.ncl.edu.tw/handle/38235559333673121773
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