| Summary: | 碩士 === 逢甲大學 === 財稅所 === 97 === This thesis demonstrates the price discovery of the SIMEX futures, TAIEX futures and Taiwan stock index. Daily data of these series are collected from September 1, 1998 to December 9, 2008. Furthermore, these data are differentiated between the bull and the bear trends. This paper employs Vector Autoregressive Model (VAR) to investigate the lead-lag relationships among these three markets, and employs conditional probability to investigate the robustness of the price discovery.
The major result is: In bear market, the probability of losing money in TAIEX is 67.91%. It means that in bear market, condition on both the differences in returns between SIMEX and TAIFEX at t-2 and t-1 are negatives, the price discovery is significant.
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