Measuring the Effect of Index Futures Introduction on its Spot Market with Different Volatility Models

• Main Authors: Yi-Ju Wang, 王意如
• Other Authors: Chang-Chou Chiang
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/68370051902733361757

碩士 === 中原大學 === 國際貿易研究所 === 94 === This paper explores the effects that the index futures introduced to its coincident spot market in volatility structure. In past relative literature, most papers usually focus on the volatility changes for the whole stock index futures to its spot market. As to the discussion about the component stock index is rare. Excepting simple GARCH model is used, we incorporate the EGARCH model which can capture the phenomenon of leverage effect for dissecting this issue. For the robustness, we also adopt the newly volatility model, namely CARR model, which is proposed by Chou(2005) to analyze this topic. By the empirical results, the launched for the individual component index futures will increase the flow of the information transmission surely and the velocity of the information transmission. Due to the electronics index and the finance index have their own correspondent futures contracts, so their volatility structures change are more significance and analogousness. In contrast, the volatility changes pattern for the stock index of the plastics and chemical is similar to the electronics index and finance index, even though there is no simultaneous futures index for the plastics and chemical stock index. One of the reasonable explanations is spillover effect based on the plastics and chemical trading volume is large in the whole stock market.