The Relationship Between TED Spread and Index Return

• Main Authors: Chia-Sheng Wei, 魏嘉生
• Other Authors: Ming-Hsien Chen
• Format: Others
• Language: en_US
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/37418453755721371060

碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 99 === If the expectation of the situation that TED Spread and Index Return have some relationship about their volatility. Some of research indicate that they have some degree of interaction. Therefore, we continue to use these two variables for in-depth study in Garch model. Our study is to understand the stock market through the GARCH and volatility of interest rates between markets, and through the Granger causality test to be evidence of causation to determine whether the two also has a one-way or two-way feedback relationship exists. We find that money market also can affect the stock return in the multi-country correlation relationship. According to the financial crisis and the TED spread corresponding to the timing, also found that the financial crisis will have prior to the TED spread fluctuations. Finally, we study in later years, when the TED spread abnormal, it is also means that the risk premium will be generated.