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研究生:尤瓊瑩
研究生(外文):Chiung-Yin Yu
論文名稱(外文):Interaction between Stock Markets: An Analysis of the Relation between the U.S. NASDAQ Composite Index and Taiwanese TSE Electronic Sector Index Futures
指導教授:陳思寬陳思寬引用關係
指導教授(外文):Shi-Kuan chen
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
畢業學年度:92
語文別:英文
論文頁數:32
中文關鍵詞:納斯達克電子類股票指數期貨
外文關鍵詞:TSEESINASDAQ Composite Index
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This paper mainly examines whether there is a high correlation between the returns for NASDAQ Composite Index and TSE Electronic Sector Index Futures. The result indicates that the Taiwan TSE Electronic Sector Index Futures has only a small or even no impact on the performance of NASDAQ Composite Index. However, the impact of the former on the latter is clearly stronger.
I. Introduction ……………………………………………1
II. Relevant Literatures ...…………………………………3
2.1 Interaction between international stock markets ….….3
2.2 Time-Series Literatures ………………..…………….…...5
III. Data ……………………………………………………7
3.1 NASDAQ Composite Index …………………………....8
3.2 TSE Electronic Sector Index Futures …………………....9
IV. Methodology ………………………………………..….......12
4.1 Unit Root Test …………………………………………......16
4.2 Serial Autocorrelation ………………………………......19
4.3 Spillover effects in open-to-close returns……….....23
4.4 Spillover effects on the conditional means of return 24
4.5 Spillover effects in close-to-open returns ……......25
V. Empirical Results ………………………………….....…...26
5.1 Results of model 1 ……………………………….…….....26
5.2 Results of model 2 ……………………………….…….....27
5.3 Results of model 3 ……………………………….…….....28
5.4 Results of model 4 ………………………………..........29
VI. Conclusions ……………………………………….…..30

References …………………………………………………...31
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