The Study of Causality Relationship between Single Stock Futures and Underlying Stocks

• Main Authors: CHANG, HSING-NUAN, 張杏暖
• Other Authors: 古永嘉
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/47507411784289892228

碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 101 === This study collects and analyzes 584 trading historical data from Taiwan Futures Exchange, since 18 June, 2010 to 17, October, 2012. Top eight companies by market value in Taiwan are firstly chosen as the candidates of this research. Three of them, TSMC, Hon Hai Group, and MediaTek, are then screened as our research targets according to the completeness on trading historic of stock futures. This research uses the causality test, impulse response analysis and variance decomposition to test the causality relationship between single stock futures and underlying stocks. The empirical findings are summarized as follows: 1. Causality test: No causal relationship between the spot price and stock futures for TSMC, Hon Hai and MediaTek. 2. Impulse response analysis: The stock futures of TSMC, Hon Hai, and MediaTek show more significant positive impacts in former two periods, then show slight volatility impacts. The impact of TSMC will continue within eight periods and MediaTek is six to seven periods. 3. Variance decomposition: The stock futures of TSMC, Hon Hai, and MediaTek have more influence and predictive ability than spot prices.