A Study on the dynamic internations of the Morgan and Taiwan index futures and stock index

• Main Authors: Pei-Yuan Lee, 李佩源
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/77913357928630017618

碩士 === 逢甲大學 === 經營管理碩士在職專班 === 93 === Empirical literature always uses lead-lag relationship between future market index and stock market index to test the theoretical saying that future market is more sensitive than spot market. The purpose of this paper examines whether this relationship exists or not in Taiwan. By using the daily index data in Taiwan future and stock market from January 2, 2002 to December 31, 2004, we do a couple of test and analysis, such as unit-root test, co-integration, and Granger causality test, to see the dynamic interaction between these two markets. The results show that (1) In the short term, Taiwan future market leads Taiwan stock market, and they form a long run equilibrium relationship by error-corrected item adjusted. (2) After the difference process, the future and stock index data indicates stationary characteristic. (3) The co-integration analysis reveals that there is a long run equilibrium relationship between Taiwan future market and Taiwan stock market. (4) Taiwan future market Granger causes Taiwan stock market, but MSCI Taiwan index future not Granger causes MSCI Taiwan index spot..