The Study on the Price-Volume Relationship of Taiwan Stock Index, Taiwan Stock Index Futures, and MSCI Taiwan Stock Index Futures

• Main Authors: Jing-Lin Huang, 黃景琳
• Other Authors: 賴鈺城
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/63799429779965671067

碩士 === 長榮大學 === 經營管理研究所 === 93 === This study chooses the daily data of Taiwan Stock Index(TS), Taiwan Stock Index Futures(TF), and MSCI Taiwan Stock Index Futures(MF) from July 21, 1998 to August 31, 2004. This study investigates price-volume relationship between spot and future markets by using bivariate GJR-GARCH(1,1)-M model. Furthermore, Each market volume is separated into expected and unexpected components by moving-average method and VAR model. The empirical results are as follows: First, asymmetric effects are existed in spot and future markets return series, and the negative impact level is greater than positive impact level. Second, all of three markets have risk premium effects. Investors required more premiun, when market risk increased. Third, after adding market volume in the asymmetric GARCH model, the volumes of spot and future markets influence the volatilities of themselves and others. Forth, after adding expected and unexpected volumes in the asymmetric GARCH model, unexpected trading on the volatility has more influence than expected trading. Finally, based on the MLE, comparing both TS v.s TF and TS v.s MF, we find which explanation of first group is better than second one.