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題名 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作者 葉宗旻 貢獻者 郭維裕
Kuo, Wei Yu
葉宗旻關鍵詞 外溢效果 日期 2009 上傳時間 5-Sep-2013 16:47:08 (UTC+8) 摘要 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. 參考文獻 Tse, Y. (1999), ‘Price discovery and volatility spillovers in the DJIA index and futures markets’,Journal of Future Markets 29, P: 911-930.Bhar, R. (2001) Return and volatility dynamics in the spot and futures markets in Australian: An Intervention Analysis in a bivariate EGARCH-X framework. Journal of Futures markets, 21, 833-850.Meneu, V. & Torro., H.(2003) Asymmetric covariance in spot-futures markets. Journal of Futures Markets, 23, 1019-1046.Fu, L.Q. and Qing, Z.J. (2006), ‘Price discovery and volatility spillovers: Evidence from Chinese spot-futures markets’.Gupta, K. and Belwinder, S. (2006), ‘Price discovery and causality in spot and future markets in India’, The ICFAI Journal of Derivatives.Diebold, F.X. and Yilmaz, K. (2009), "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Economic Journal, 119, 158-171.Diebold, F.X. and Yilmaz, K. (2009), "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," International Journal of Forecasting, forthcoming. (With discussion.)Forbes, K., Rigobon, R. (2002), ‘No Contagion, only Interdependence: Measuring Stock Market Comovements’, Journal of Finance, 57, 2223-2261.Karolyi, G.A. (1995), ‘A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The case of the United States and Canada’, Journal of Business and Economic Statistics, 13, 11-25.King, Mervyn A and Wadhwani, Sushil, (1990). "Transmission of Volatility between Stock Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(1), pages 5-33.Koop, G., Pesaran, M.H., and Potter, S.M. (1996), “Impulse Response Analysis in Non-Linear Multivariate Models,” Journal of Econometrics, 74, 119–147.Pesaran, M.H. and Shin, Y. (1998), “Generalized Impulse Response Analysis in Linear Multivariate Models,” Economics Letters, 58, 17-29.Cho.Bauer(2002), “The analysis of Stock return change to Asian Equity Markets from US”,The Korean Journal of Financial Management, Vol.19, No.2, pp.181-200Morana, C., Beltratti, A. (2006), ‘Comovements in International Stock Markets’, Journal of International Financial Markets, Institutions and MoneyMiyakoshi 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 描述 碩士
國立政治大學
國際經營與貿易研究所
97351003
98資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097351003 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei Yu en_US dc.contributor.author (Authors) 葉宗旻 zh_TW dc.creator (作者) 葉宗旻 zh_TW dc.date (日期) 2009 en_US dc.date.accessioned 5-Sep-2013 16:47:08 (UTC+8) - dc.date.available 5-Sep-2013 16:47:08 (UTC+8) - dc.date.issued (上傳時間) 5-Sep-2013 16:47:08 (UTC+8) - dc.identifier (Other Identifiers) G0097351003 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60512 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 97351003 zh_TW dc.description (描述) 98 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents Chapter 1. Introduction....................................1Chapter 2. Generalized Spillover Definition and Measurement ...................................................3Chapter 3. Estimates of Equity Index Return and Volatility Spillovers Across Taiwan Spot and Futures Markets..........53.1 Full-sample analysis...................................63.2 rolling-sample analysis................................83.3 rolling-sample directional spillover...................9Chapter 4. Conclusion.....................................11References................................................12 zh_TW dc.format.extent 2525581 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097351003 en_US dc.subject (關鍵詞) 外溢效果 zh_TW dc.title (題名) 台股現貨指數與期貨指數連動關係 zh_TW dc.title (題名) Spillover effect between Taiwan stock market and Taiwan futures market en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Tse, Y. (1999), ‘Price discovery and volatility spillovers in the DJIA index and futures markets’,Journal of Future Markets 29, P: 911-930.Bhar, R. (2001) Return and volatility dynamics in the spot and futures markets in Australian: An Intervention Analysis in a bivariate EGARCH-X framework. Journal of Futures markets, 21, 833-850.Meneu, V. & Torro., H.(2003) Asymmetric covariance in spot-futures markets. Journal of Futures Markets, 23, 1019-1046.Fu, L.Q. and Qing, Z.J. (2006), ‘Price discovery and volatility spillovers: Evidence from Chinese spot-futures markets’.Gupta, K. and Belwinder, S. (2006), ‘Price discovery and causality in spot and future markets in India’, The ICFAI Journal of Derivatives.Diebold, F.X. and Yilmaz, K. (2009), "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Economic Journal, 119, 158-171.Diebold, F.X. and Yilmaz, K. (2009), "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," International Journal of Forecasting, forthcoming. (With discussion.)Forbes, K., Rigobon, R. (2002), ‘No Contagion, only Interdependence: Measuring Stock Market Comovements’, Journal of Finance, 57, 2223-2261.Karolyi, G.A. (1995), ‘A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The case of the United States and Canada’, Journal of Business and Economic Statistics, 13, 11-25.King, Mervyn A and Wadhwani, Sushil, (1990). "Transmission of Volatility between Stock Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(1), pages 5-33.Koop, G., Pesaran, M.H., and Potter, S.M. (1996), “Impulse Response Analysis in Non-Linear Multivariate Models,” Journal of Econometrics, 74, 119–147.Pesaran, M.H. and Shin, Y. (1998), “Generalized Impulse Response Analysis in Linear Multivariate Models,” Economics Letters, 58, 17-29.Cho.Bauer(2002), “The analysis of Stock return change to Asian Equity Markets from US”,The Korean Journal of Financial Management, Vol.19, No.2, pp.181-200Morana, C., Beltratti, A. (2006), ‘Comovements in International Stock Markets’, Journal of International Financial Markets, Institutions and MoneyMiyakoshi 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 zh_TW
