| Summary: | 碩士 === 國立成功大學 === 經營管理碩士學位學程 === 97 === Though the period between 2007 to 2008 where is one of the unique experience of the financial turmoil in the world, from the Sub prime mortgage crisis, the bankrupt of Lehman Brothers, AIG, Citi Bank ... and so on, an international financial crisis occurred in a century enterprises, including the eye of the storm “Wall Street” by the United States toward the world, and even endanger some countries discovered financial difficulties, such as Denmark, ..., financial markets, a sudden screams everywhere. Thus, this study collect database in 2008 which explore the relation between the volume of futures and spot prices associated each other.
This research is concentrated on Taiwan Index Futures market and TAIEX Spot market, which the database is based on the return rates and turnover rates to present the price and volume. The primary step is to estimate return rates and turnover rates by using ADF. The second step estimate impulse response analysis and forecast error variance decomposition by using VAR. The empirical regression results will analysis the relation between price and volume that will be the purposes for practical trade strategy.
The empirical regression result form VAR regression model:
(1)The result from impulse response analysis:
There are totally three trade days contemporize impact between Taiwan Index Futures market and TAIEX Spot market. However, in spite of the causation in trade volume has coincide influence but not significant.
(2)Estimate and analysis error variance:
The fluctuation returns and trade volume on Taiwan Index Futures market’s and TAIEX Spot markets’ R² bigger than 0.90 it shows that the regression model has excellent interpretation competence and strong exogenous variables, Moreover, the Taiwan Index Futures market’s return has led compare with TAIEX Spot market.
Finally, to simulate the trading strategy to verify that this period be proactive in considering the case of transaction costs, no matter in the rising period of consolidation and the decline rate of their remuneration is higher than the actual rate of return and provide investors in practice reference to the transaction.
Keywords: Taiwan stock market index, stock price index, Taiwan Index Futures, price volume relationship.
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