A Study of price relationship between Finance Insurance Index and Finance Future

• Main Authors: Chun-Ching Liao, 廖俊青
• Other Authors: Ai-Chi Hsu
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/31765778307675318923

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 97 === This paper uses vector autoregression, Granger causality to test price relationship of Finance Insurance Index, Finance Future before and after Lehman Brothers Holdings bankrupt. We use daily closing price during 7/12/2006∼4/30/2009. We divide the sample into two periods, which are before and after Lehman Brothers Holdings bankrupt. The results are as follows: According to granger causality and VAR model no matter before and after Lehman Brothers Holdings bankrupt, Finance Insurance Index and Finance Future granger cause each other. By the impulse response function, before and after Lehman Brothers Holdings bankrupt, Finance Insurance Index leads Finance Future.