The effect of trading system on volatility of FTSE100 stock index and stock index futures markets:bivariate ARJI-GARCH model

The effect of trading system on volatility of FTSE100 stock index and stock index futures markets:bivariate ARJI-GARCH model

碩士 === 國立中正大學 === 財務金融所 === 95 === none

Bibliographic Details
Main Authors:	Szu-yu Chen, 陳思伃
Other Authors:	Jing-yi Lai
Format:	Others
Language:	zh-TW
Published:	2007
Online Access:	http://ndltd.ncl.edu.tw/handle/54145139586025217384

Similar Items

Issues in stock index futures trading : evidence for the FTSE-100 and FTSE-mid 250 contacts
by: Butterworth, Darren David
Published: (1998)

The effect of futures trading on spot stock index volatility
by: Szu-Chen Liu, et al.
Published: (2002)

Price discovery in the FTSE 100 index and FTSE 100 futures contract : the impact of electronic trading systems
by: Sebastiao, Helder Miguel Correia Virtuoso
Published: (2007)

The Study of Hedge Ratios and Hedging Performance of Stock Spot/Stock Index Futures in Taiwan–The Applications of OLS, Rolling Regression, Bivariate CC GARCH and Bivariate DCC GARCH Models
by: Wu-Yen Chang, et al.
Published: (2012)

On the Estimation and Prediction the Volatility of S&P500, NIKKEI225 and FTSE100 stock index with CARR-MIDAS Model
by: Ming-Chun Chou, et al.
Published: (2012)

Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options
by: Rehnby, Nicklas
Published: (2017)

Garch modelling of volatility in the Johannesburg Stock Exchange index.
by: Mzamane, Tsepang Patrick.
Published: (2013)

The Return and Volatility Interrelation between Taiwen Stock and Futures Markets: An Asymmetric Bivariate GARCH Approach
by: Yi-Jen Hwang, et al.
Published: (1999)

The Effect of Stock Index Futures Trading on the Cash Stock Price Volatility
by: Chen ,Yeh-shiu, et al.
Published: (1996)

The relationship between futures trading activity and price volatility in Taiwan stock index futures and stock index.
by: CHO MENG-CHUN, et al.
Published: (2007)

The Performances of Pair Trading Strategies for the underlying stocks of FTSE TWSE Taiwan 50 Index
by: CHANG,I-HAN, et al.
Published: (2016)

An Application of Closed-Form GARCH Option Pricing Model to FTSE 100 Options and Volatilities
by: Ming-Da Chen, et al.
Published: (2006)

The Effects of Stock Index Futures Trading on Stock Index Volatility——An Empirical Analysis of Chinese Market
by: Jingjing Ren, et al.
Published: (2013)

A Comparison of Stock Index Futures Valuation under Different GARCH Volatility Models
by: Yi-shu Kao, et al.
Published: (2007)

The Pricing of Stock Index Futures during the Early Period after Listing of Stock Index Futures: Evidence from the SGX FTSE Xinhua China A50 Index Futures
by: Wen-Shang Wang, et al.
Published: (2008)

The Study on Intraday Price Discovery and Returns Volatility Spillovers between Taiwan Stock Index Market and Taiwan Stock Index Futures Market: The Comparison Study of the Difference in Bivariate GARCH Model between VECH, CCC and BEKK
by: Yuh Huang, et al.
Published: (2009)

ARJI-Trend with Structural Break Model in Taiwan stock market
by: Jung-Kuei Chan, et al.
Published: (2004)

The Impact of Trading Volume on Stock Return：A Bivariate GARCH-M Model
by: Chih-Shyang Tsay, et al.
Published: (2003)

How useful are the Various Volatility Estimators for Improving GARCH-based Volatility Forecasts? Evidence from the Nasdaq-100 Stock Index
by: Jying-Nan Wang, et al.
Published: (2014-09-01)

The Impact of US Stock Market Returns’ Volatility on Taiwan Stock Market : Application of Bivariate GJR-GARCH Model
by: Wei-Ping Shen, et al.
Published: (2010)

Option pricing under stochastic volatility for S & P 500 FTSE 100 index options
by: Lin, Nicole Yueh-Neng
Published: (1999)

The Relationship between Foreign purchases and Taiwan Stock Market Index－An Application of Bivariate GARCH-in-Mean Model
by: Yan-Jhij Lin, et al.
Published: (2010)

Trading FTSE 100 Index Options Using Skewness and Variable-kurtosis model with Past Index Return
by: Shang-wun Chen, et al.
Published: (2008)

Comparison of the Global, Local and Semi-Local Chaotic Prediction Methods for Stock Markets: The Case of FTSE-100 Index
by: Ayşe İşi, et al.
Published: (2019-12-01)

Taiwan Stock Index Futures’ Volatility, Basis and Three Major Institutional Investors
by: YEH, SZU-YU, et al.
Published: (2019)

EmpiricalPerformanceofAlternativePricingModelsonFTSE100IndexFuturesOptions
by: JY Chen, et al.
Published: (2002)

A Study of Grey Theory on Improving the Investment Performance of Technical Analysis Index－An Example of the London FTSE 100 Index’s Component Stocks
by: Lee,Chiao-Mi, et al.

A Study of Grey Theory on Improving the Investment Performance of Technical Analysis Index－An Example of the London FTSE 100 Index’s Component Stocks
by: Lee,Chiao-Mi, et al.
Published: (2009)

Shariah-compliant index derived from the FTSE100 vs. FTSE 100: 2003-2014 performance comparison
by: Moosagie, Basheer Ahmed
Published: (2015)

The Dynamic Association of Taiwan Stock Index Futures, Stock Index and Exchange Rate - VECM and VECM-GARCH Application
by: Ming-hsuan Jen, et al.
Published: (2008)

A Multivariate GARCH-M Approach to Investigating Price Discovery Processes of Taiwan Stock Index, Taiwan Stock Index Futures and MSCI Taiwan Stock Index Futures
by: Chun-Shen Lee, et al.
Published: (2003)

Modeling of Jakarta Islamic Index Stock Volatility Return Pattern with Garch Model
by: Faizul Mubarok, et al.
Published: (2020-12-01)

THE IMPACY OF STOCK INDEX FUTURES ON CASH STOCK PRICES VOLATILITY:THE CASE OF SIMEX TAIWAN STOCK INDEX FUTURES
by: HSU, SHU-MING, et al.
Published: (1998)

The Research of SIMEX and TAIMEX Stock Index Future Trading on Stock Market Volatility and News Asymmetry
by: Chia-Jing Chang, et al.
Published: (1999)

The predictability and performance of the market volatility forecast implied by the premiums of FTSE100 index option contracts
by: Jones, Greg
Published: (1999)

THE EX-DIVIDEND DAY STOCK PRICE BEHAVIOR : FTSE 100 of the London Stock Exchange
by: Anagho, Zillah, et al.
Published: (2007)

Stock price fluctuations and GARCH modelling of stock market indexes
by: Bistra Radeva
Published: (2019-06-01)

A multivariate GARCH model of international transmission of stock returns and volatility between U.S and Taiwan spot and futures stock index markets.
by: lee wei chen, et al.
Published: (2001)

The Relationships of Taiwan Stock index, Taiwan Stock Index Futures and MSCI Taiwan Stock Index Futures When the Foreign Investment is Incorporated：Application of VEC-GJR GARCH Model
by: Sung-Chiao Lee, et al.
Published: (2006)

The evaluation of the FTSE TWSE Taiwan Dividend+ Index and its constituent stocks’ performance
by: Chih-Hsueh Huang, et al.
Published: (2014)

Cannot write session to /tmp/vufind_sessions/sess_bjjvan1lii3nbsr788tdr904vp