The price relationship of Taiwan stocks index Futures and Taiwan 50 ETF

• Main Authors: Ying-chen Hsiang, 相盈丞
• Other Authors: Ai-Chi Hsu
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/37889429116485450116

碩士 === 雲林科技大學 === 企業管理系碩士班 === 97 === The purpose of this paper is to find the final price lead-lag relationship among futures index and Taiwan 50 ETF. The high frequency intraday data (date data) are employed. The Unit Root test, Cointegration test, Vector Error Correction Model (VECM), Granger causality test, Impulse Response Function and Forecast Error Variance Decomposition are applied in this paper. Granger causality test, there is a feedback between them. Taiwan 50 ETF and futures index have higher relationship. Use the Forecast Error Variance Decomposition, the shock of Taiwan 50 ETF is higher than the shock of futures index. So we can know Taiwan 50 ETF is facing the shock from the market. Then Taiwan 50 ETF leads futures index , they can show the relationship of them that is finding the price. On the other hand, we can know all variations and the other variations affecting frequency .Result, we can know from the data of Taiwan 50 ETF and futures index have higher relatuinship. In summary, the futures index being a lead among them is confirmed in the paper.