Relation of Pricing Errors and Trading Behaviors of Indexed-Futures with the Application of VAR

• Main Authors: Wen, Ting-Wei, 温婷瑋
• Other Authors: Chang, Chien-Hung
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/60422560023192342160

碩士 === 靜宜大學 === 財務與計算數學系 === 103 === This study uses the correlation analysis, Vector Autoregressive（VAR）and Granger causality to investigate the relations among volume, open interest, price volatility and pricing errors of Taiwan index futures markets. We focus on the interaction between variables, with and without mispricing in the models. The empirical findings include the following: First, we find that there is a significant relationship when volume among variables. There is a negative correlation between open interest and price volatility. With the pricing errors added, the pricing errors are negatively correlated with price volatility, but the degree of correlation is small. No significant changes are found after the joint of the pricing errors. Among the volume, open interest, price volatility are no significant changes. We can conclude that pricing errors don’t play a critical role in linking the other variables in futures markets.