| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 94 === This research is to examine and evidence these three markets the lead and lag and price discovery role relationship when in the bear market or bull market for the stock index of the Taiwan stock exchange corporation with stock index futures and stock index options(put and call) of the Taiwan futures exchange corporation. In bear or bull market have or have not different results.
We choose two sample periods to research as follows: The bear market period is from August 18 , 2005 until August 31 , 2005 total 10 trading days and the bull market period is from October 28 , 2005 until November 10 , 2005 also 10 trading days. We use every minute the intra-day trading data to research. First we examine the data with unit-root test to make sure the data is standinary. Second we use the AIC test to find the best lagging period, Third use Granger causality test and VAR model to find the causality of these three markets for pairs relationship and use the impulse response and variance decomposition to analysis the lead and lag relation of these three markets.
In this research we find in spite of the bear or bull market the Taiwan stock index and the Taiwan stock index futures and options(call and put) all have pairs causality relationship. But the futures market more independent with other markets. Therefore the futures market lead other markets and it’s the role of price discovery. Opposite in options market the call and put options all influence by futures markets and it’s lag for price discovery.
Under this research we find the Taiwan stock index futures market have price discovery function and lead with stock index spot market and stock index options market.
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