A Study on the Interactions, Volatility Spillovers, and Long Memory Effects for Stock and Futures Markets of Taiwan Electronic and Financial Indexes:The Mediating Effect of Foreign Capital and hedge effect of American Futures and an Application of FIEC-

• Main Authors: Chou, Shih-Han, 周士涵
• Other Authors: LIU, HSIANG-HSI
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/85220719638981963294

碩士 === 國立臺北大學 === 國際企業研究所 === 97 === This study investigates the interactions, volatility spillovers, and long memory effects for stock and futures markets of Taiwan electronic and financial indexes by using FIEC-HYGARCH model. It also discusses the mediating effect of foreign capital and hedge effect of American Futures. The sample period of this study is from January 1, 2005 to August 31, 2008. The empirical results verify that the FIEC-HYGARCH model can capture the long-term volatility behavior. The stock and futures indexes returns of Taiwan electronic and financial indexes have long memory and own-mean spillover effects. Moreover, the conditional variances also have volatility spillover effects, long memory and amplitude. Hence it exist dynamic interrelationship among the stock and futures indexes returns of Taiwan electronic and financial indexes. Further, it also reduces the long memory and spillover effects by incorporating foreign capital and American futures into the model. In addition, it founds that the hedge performance of FIEC-HYGARCH model is the best when including the American futures into the model.