The Impacts of E-Mini Dow Futures and Shanghai A Stock on Taiwan’s Index Futures—Applications of GARCH Models

• Main Author: 陳民堅
• Other Authors: Chiou-Wei, Song-Zan
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/wv372p

碩士 === 國立高雄應用科技大學 === 國際企業系碩士在職專班 === 104 === The aim of this study is to investigate whether the US E-Mini Dow Futures and shanghai A stock have significant impacts on Taiwan’s index futures. Methods adopted by this study was the Unit Root Test to determine whether the variance is stationary and whether the regression model has the ARCH effect, then import the results into the GARCH model test results to see if there is any significant effect, and then compare with the results from GARCH models to select the optimum model in order to verify whether the US E-Mini Dow Futures and Shanghai A Stock actually affected the Taiwan’s index futures, a total of 786 samples ranging from January 1st 2013 to January 1st 2016 were selected to observe the relationship of the rates of return between these indices. The empirical results reveal that there is a reference value of two lag lengths between the US E-Mini Dow Futures and Shanghai A-share and the Taiwan’s index futures. Therefore, the investors may refer to the three indices to utilize hedging or arbitrage strategies when arbitraging the Taiwan’s index futures.