The Study of Relationship of Stock Index Futures, Stock Index and Trading Volume－The Application of Markov Error-Correction（MEC）Model

• Main Authors: Jia-Rung Sung, 宋佳容
• Other Authors: Chun-Hsuan Wang
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/73ahca

碩士 === 銘傳大學 === 財務金融學系碩士班 === 93 === This thesis discusses the long-run equilibrium and short term dynamics of stock index, stock index futures and trading volume. Most past researches preferred using traditional linear models; however, there may exist a nonlinear behavior for which deviations from the long-run equilibrium have different rates of adjustment and relations in short term. Therefore, we attempt to apply Markov Error-Correction（MEC）model to discover the relationship of stock index, stock index futures and trading volume in two states (with cointegration and no cointegration) of Taiwan stock market. The results show that these variables have cointegrating relationships and using the nonlinear model would have a better interpretation on them. For the group of stock index and stock index futures, we found that stock index futures lead stock index in the state of cointegration, but the scenario reverses in the state of no cointegration. However, for the group of stock index and trading volume, the relation between stock index and trading volume is positive no matter in the state of cointegration or no cointegration. Moreover, for the group of stock index, stock index futures and trading volume, stock index futures lead stock index in the state of cointegration. And the relationship between trading volume, stock index future and stock index is positive in the state of no cointegration.