碩士 / 國立臺北大學 / 企業管理學系 / 105 / This study discussed the different about the lead-lag relationship between Financial Institution spot, futures, and option before and after the financial tsunami. One of the most important functions of derivatives are price discovery. A market which had price discovery function, must have three elements. First, the market had many participants. Second, the participants in the market are familiar with the market quotes or related knowledge. Third, the transaction must be open and transparent. However, real word isn’t as perfect as we think. Market still exists some restrictions, such as transaction costs, quotation systems, and therefore each market for the message response time would have a gap. Generally speaking, because of lower trading cost and less limited, derivatives will have a better price discovery function.
Financial tsunami was a serious stock market crash in recent years, starting from the US’s Subprime mortgage crisis. Its impact swept the world, causing many countries’ stock market collapse, and Taiwan is no exception. So this study discussed not only the lead-lag relationship between Financial Institution spot, futures, and option, but also discussed how Financial tsunami influenced there lead-lag relationship.
In this paper, the financial and insurance stocks index and financial index futures and financial index options were the object of study, discussing the diversification about the lead-lag relationship before and after financial tsunami. The source was the Taiwan Stock Exchange and the Taiwan Futures Exchange. The study period was from January 2, 2006 to December 31, 2015, and using vector auto-regression model, causality test, impulse response analysis, and variance decomposition to research. The results show that , before the financial tsunami, the option led spot and futures. But after the financial tsunami, the futures was more leading. But no matter which interval, futures are more ahead of the spot.
| Identifer | oai:union.ndltd.org:TW/105NTPU0121011 |
| Date | January 2017 |
| Creators | LI,YUN-LIAN, 李昀連 |
| Contributors | CHEN,DA-XIN, 陳達新 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 49 |
Page generated in 0.0385 seconds