Price discovery of futures markets in Taiwan ARDL-ECM Approach

• Main Authors: Chiang I-Chan, 姜義展
• Other Authors: 聶建中
• Format: Others
• Language: en_US
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/34125009878592801831

碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === The goal of this research is to examine the lead-lag effect between futures and spot markets in Taiwan by employed newly developed econometrics method, ARDL-ECM approach. Such technique avoiding earlier ambiguous causality testing procedure provided more clearly representing of a unique, stable unidirectional price discovery process which may easily explore the dynamics between futures and spot markets. Under intra-day basis, overall findings suggest that the futures prices lead spot markets about thirty minutes during the year 2004. Moreover, during the presidential election period which resulted in political turbulent in Taiwan, the future market which should play the dominated role of price discovery becomes futility. Such interesting findings confirms the economical phenomenon of “surprising election outcomes” (Carfinkel et. al. 1999).