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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/60512


    Title: 台股現貨指數與期貨指數連動關係
    Spillover effect between Taiwan stock market and Taiwan futures market
    Authors: 葉宗旻
    Contributors: 郭維裕
    Kuo, Wei Yu
    葉宗旻
    Keywords: 外溢效果
    Date: 2009
    Issue Date: 2013-09-05 16:47:08 (UTC+8)
    Abstract: This paper examines daily return and volatility spillovers in Taiwan spot and futures stock index markets by using a generalized vector autoregressive (generalized VAR) model where forecast-error variance decompositions are invariant to variable ordering. We measure both total and directional volatility spillovers. This study has used six spot and futures indices, Taiwan Stock Exchange Capitalization Weighted Stock Index (TX), Taiwan Stock Exchange Electronic Sector Index (TE), Taiwan Stock Exchange Finance Sector Index (TF), Future index of TAIEX (FITX), Future index of TE (FITE) and Future index of TF (FITF), daily data spanning over 1th January 2001 to 31st March 2010. From empirical result, the generalized vector autoregressive model shows that the return and volatility spillovers from FITE and FITF to other indices are relatively large. It is clear that futures market is more dominantly to have an effect on spot market but return spillovers from spot to futures could not be ignored.
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    Miyakoshi T(2003), "Spillovers of Stock Return Volatility to Asian Equity Markets from Japan and the US", Journal of International Financial Markets,Institutions & Money, No.13. pp.383-399
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    97351003
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097351003
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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