臺灣博碩士論文加值系統

This paper investigates empirically the dynamic interrelationship between volatility of futures and spot markets and the impact of trading activity on the market volatility using daily data from Taiwan. In this article, index futures trading, spots trading, and volatility of the underlying assets are determined in terms of the system of VAR and bivariate GARCH (1, 1) that allow for possible lead- lag and feedback. The upshot of the empirical analysis provides the strong evidence that financial market volatility is time-varying and well characterized by a GARCH process.
Contrary to the traditional view of index futures trading, the onset of futures has not had a deleterious influence on the underlying market. In the opposite, it is the volatile cash market which rouses the volatility of futures market. The consequences here are consistent with the results offered by Darrat, Rahman, and Zhong (2002) for the U. K.

Chapter 1 Introduction 1
Chapter 2 Futures Trading and Volatility 3
Chapter 3 Data 22
Chapter 4 Econometric Methodology 25
Chapter 5 Empirical Results 27
Chapter 6 Conclusions 37
Biblography 39
Table
Table I Stock Index Futures Leads Stock and Increases Stock Volatility 5
Table II Stock Leads Stock Index Futures (or Stock Index Futures Decrease Stock Volatility) 12
Table III No Significant Relationship between Stock and Stock Index Futures 15
Table IV Summary Statistics (Data: 4 January 2000—31 October 2003) 26
Table V VAR Estimation Results (Volatility Measure is SQRET) 28
Table VI VAR Estimation Results (Volatility Measure is ACDCP) 31
Table VII VAR Estimation Results (Volatility Measure is GARCH) 34
Table VIII GARCH (1, 1) Estimation Results 36




Figure
Figure I Closing Values of TAIEX and TAIEX Index Futures 23
Figure II Trading Volumes of TAIEX and TAIEX Index Futures 23

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