碩士 / 銘傳大學 / 財務金融學系碩士班 / 100 / In this study, we investigate the interaction, especially, the lead-lag relationship, between Taiwan stock index futures and spot during the period of financial crisis in 2008 and the period of post-crisis in 2010. Using the daily and intraday data, the empirical results show that intraday data reveal the phenomenon of futures returns leading spot returns for each period, but daily data is reverse. The lead-lag relationships are strengthened when the futures trading volume is added in the model, but the relationships are weaker when spot trading volume is added. On the other hand, model added data of open interest and intraday data tell different stories. Finally, there exist leverage effects for 2008 and 2010 daily data for some volume variables are inputs for EGARCH model. But the leverage effects only exist on the cases that volume variables are not added for intraday data.
| Identifer | oai:union.ndltd.org:TW/100MCU05214036 |
| Date | January 2012 |
| Creators | Tzu-hui Yang, 楊子輝 |
| Contributors | Chang-chung Cheng, 鄭昌錞 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 83 |
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