A Study on the Interactions, Long Memory and Volatility Spillovers Effects for Stock, Futures,and Options Markets of Taiwan Weighted Stock Index: The Mediating Effect of Foreign Capital and Hedging Effect of S&P500 Futures and an Application of FIVAR-HYGA

• Main Authors: LAI, KUN-MU, 賴昆睦
• Other Authors: LIU,HSIANG-HSI
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/70686563631406257032

碩士 === 國立臺北大學 === 國際企業研究所 === 97 === This study investigates the interactions, long memory, and volatility spillover effects for stock, futures and options markets of Taiwan weighted stock index by using FIVAR-HYGARCH model. It also discusses the mediating effects of foreign capital and hedging effect of US S&P500 Futures. The sample period of this study is from January 1, 2005 to August 31, 2008. The empirical results verify that the FIVAR-HYGARCH model can capture the long-term volatility behavior. The stock, futures and options indexes returns of Taiwan weighted indexes have long memory and own-mean spillover effects. Moreover, the conditional variances also have volatility spillover effects, long memory and its amplitude. Hence, it exists dynamic interrelationships among the stock, futures and options indexes returns of Taiwan weighted indexes. Furthermore, it shows the reduction in long memory and spillover effects by incorporating foreign capital and US S&P500 futures into the model. It also finds that the hedge performance has been improved by using FIVAR-HYGARCH model. In addition, option trading value ratios (vrs>1 or vrs<1),the representative variable of option market have significant effect on cash and futures markets. This indicates that informed investors trade in both option and stock (cash or futures)markets will cause positive/negative option volume to predict future stock price comovement. This effect could be reduced when US S&P500 futures or foreign capital is incorporated into the model as an exogenous variable. This also implies that US S&P500 futures or foreign capital to play the role for showing the mediating effect.