The Study of Relationships among Taiwan Stock Index，Taiwan Stock Index Futures，MSCI Taiwan Index and MSCI Taiwan Index Futures

• Main Authors: WAN, LU-CHIEN, 萬露茜
• Other Authors: CHENG, YEN-SHIN
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/39748739589942336693

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士在職專班 === 105 === This study explores the correlation between Taiwan Stock Index，Taiwan Stock Index Futures，MSCI Taiwan Index and MSCI Taiwan Index Futures. Among them, the non-constant measurement method, using Cointegration test as evidence, view the variable between the short, medium and long-term equilibrium relationship between the results found that there is a long-term equilibrium between the variables. In addition, the Granger Causibility Test shows that the MSCI Taiwan Index Futures has a two-way feedback on the Taiwan Stock Index and the MSCI Taiwan Index, and its changes will affect the Taiwan Stock Index and the MSCI Taiwan Index. Observe the changes in the MSCI Taiwan Index Futures . In the empirical study of the impact response function, the variables are affected by the impact of their own, but the fluctuation caused by other variables decreases rapidly with the increase of the time delay. At the same time, the MSCI Taiwan Index is the same as the other variables. The number of more impact of the longer time. Forecasting error variance decomposition empirical results, Taiwan Stock Index and the MSCI Taiwan Index of the highest degree of self-interpretation, the strongest exogenous, Taiwan Stock Index Futures and MSCI Taiwan Index Futures is the most endogenous.