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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/86334

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86334

Title:	股價指數期貨與現貨之關聯性研究--新加坡摩根台股指數期貨實證分析
Authors:	吳易欣
Contributors:	朱浩民吳易欣
Keywords:	指數期貨摩根台股指數期貨
Date:	1997
Issue Date:	2016-04-27 11:17:36 (UTC+8)
Abstract:	本研究探討新加坡摩根台股指數現貨與期貨價格之領先-落後關係。研究期間從 1998年 3 月 1 日至 3 月 18 日，選取現貨指數與最近月份（３月）之期貨契約每 5 分鐘成交價格，總共有 506 比觀察值。在分別以 Engle-Granger ( 1987 )的兩階段估計法與 Johansen ( 1988 )的最大概似法做共整合檢定之後，發現期貨與現貨價存在「共整合現象」，因此以 Granger ( 1986 ) 所建議的誤差修正模型檢定期貨與現貨價格的領先-落後關係。 This study investigates the lead-lag relationship of SIMEX MSCI Taiwan Index futures and spot prices. The sample period is from 1998/3/1 to 1998/3/8. From the two cointegration tests of Engle-Granger`s (1987)“Two Step Estimation” and Johansen`s(1988) “Maximum Likelihood Method”, I find a “cointegration ”relationship between spot and futures prices. And then, I use the “error correction model”to test the lead-lag relationship.
Description:	碩士國立政治大學金融研究所 85352003
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002002069
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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