| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 93 === Abstract
The purpose of this paper is to find the price lead-lag relationship
among Taiwan stock index, futures index and Taiwan 50 ETF.
The high frequency intraday data (minutely data) are employed. The
Unit Root test, Cointegration test, Vector Error Correction Model
(VECM), Granger causality test, Impulse Response Function and
Forecast Error Variance Decomposition are applied in this paper.
There are four scenarios in the paper as follows: spot index – Taiwan
50 ETF, spot index -futures index, futures index- Taiwan 50 ETF,
spot index –Taiwan 50 ETF- futures index. The major results are the
following (1)There exists an equilibrium in the long run among them.
(2)According to Granger causality test, there is a feedback between
them, (3) In VECM, the order of price discovery ability is futures index,
ETF, spot index. The leverage hypothesis, the trading cost hypothesis,
the trading limited hypothesis and the market wide information
hypothesis are tested in scenario 1,2, 3. It is applicable in scenario 4. In
summary, the futures index being a lead among them is confirmed in the
paper.
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