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題名 | 以GARCH模型探討SIMEX摩根臺股指數期貨、TAIFEX臺股指數期貨與TSE臺指現貨之領先/落後關係=On Using GARCH Model to Investigate the Lead/Lag Relationships among SIMEX MSCI Taiwan Stock Index Futures, TAIFEX Taiwan Stock Index Futures, and TSE Stock Index |
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作者 | 何怡滿; 康信鴻; Ho, Emily; Kang, Hsin-hong; |
期刊 | 中華管理評論 |
出版日期 | 20010300 |
卷期 | 4:2 民90.03 |
頁次 | 頁1-12 |
分類號 | 561.76 |
語文 | chi |
關鍵詞 | GARCH模型; 領先/落後效果; 臺股指數期貨; GARCH model; Lead/lag relationship; Taiwan stock index futures; |
中文摘要 | 本研究使用GARCH模型來檢測SIMEX摩根臺指期貨、TAIFEX臺指期貨與TSE 臺指現貨三市場之間的領先/落後關係。以五分鐘的日內報酬資料分別探討三市場之間的報酬率、報酬率波動性與報酬率殘差的領先/落後關係。研究結果如下:(1) SIMEX摩根臺指期貨、TAIFEX臺指期貨與TSE臺指現貨兩兩之間的報酬有雙向的領先/落後關係。(2)TAIFEX臺指期貨報酬波動與TSE臺指現貨報酬波動具有同時性,沒有領先/落後的關係存在。(3)SIMEX摩根臺指期貨報酬波動與TSE臺指現貨報酬波動有雙向的領先落後關係。(4)TAIFEX臺指期貨報酬波動領先SIMEX摩根臺指期貨報酬波動10分鐘。(5)報酬率殘差的領先/落後結果同報酬率之結果。 |
英文摘要 | This paper uses GARCH model to investigate the lead/lag relationships among the TAIFEX Taiwan stock index futures, the SIMEX MSCI Taiwan stock index futures, and the TSE stock index. Five-minute intraday data for the two futures and the index are used in this study. This paper is aimed at testing the lead/lag relationships in returns, volatilities, and innovations for each pair of the three markets. The results are as follows: (1)There is a two way lead/lag relationship in returns for each pair of the TAIFEX Taiwan stock index futures, the SIMEX MSCI Taiwan stock index futures, and the TSE stock index. (2)There is a contemporaneous relationship in volatilities between the TAIFEX Taiwan stock index futures and the TSE stock index. (3)There is a two way lead/lag relationship in volatilities between the SIMEX MSCI Taiwan stock index futures and the TSE stock index. (4)The volatility of the TAIFEX Taiwan stock index futures leads that of the SIMEX MSCI Taiwan stock index futures about ten minutes. (5)The lead/lag relationship in innovations for each pair of the three markets is the same as the results of returns. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。