| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 104 === This paper is based on the data of future and spot for US., DE., Jp., HK., and TW.. investigate the price discovery role. The data was measured from January 5, 2012 to December 30, 2015 every day. The tools apply ADF Unit Root Test, Vector Autoregression (VAR) Models, Impulse - Response Analysis and Forecast Error Variance Decomposition to examine the price discovery function and the relationship between futures and spot.
The conclusion can be summarized as follows: (1) Futures and spot exist a co-integration relationship from ADF Unit Root Test； (2) Estimated coefficients of the vector error correction model suggest that price adjustment takes place in the index futures of US., DE., JP.,and TW.. (3) For impulse response function, the auto variance extent has more innovation effects in the futures vs. spot. This conclusion provide a information to the investment one that future index could be seen as a leader, besides, it could be seen as a hedge tool for people.
|
|---|
