TSE台股指數與TIMEX台指期貨之互動性研究
Other Title
A COMPARATIVE STUDY ON THE
INTERACTION OF TSE TAI-INDEX FUTURES
AND TIMEX TAI-INDEX FUTURES
INTERACTION OF TSE TAI-INDEX FUTURES
AND TIMEX TAI-INDEX FUTURES
Date Issued
1999
Date
1999
Author(s)
Hwang, Dar-Yeh
DOI
882416H002019
Abstract
TSE and SIMEX individually introduced the futures based on TAI-Index and MSCI Taiwan Index
since July 21, 1998 and January 9 th , 1997 respectively. We first investigate the hedging effectiveness
of TSE TAI-Index and SIMEX MSCI Taiwan Index futures on TWSI cash index first in Bayesian
approach using Gibbs Sampler. Secondly, we perform the variance ratio test about the two futures
price behavior and examine the lead-lag relation and price transmission. The data period covers from
July 21, 1998 to July 31, 1999. Our results show that TSE TAI-Index futures is significantly superior to
SIMEX MSCI Taiwan index futures and both the two Taiwan index futures do not follow the random
walk process. Also, we find that positive autocorrelation in both TSE TAI-Index and SIMEX MSCI
futures. On the aspect of lead-lag relation, we find that cash market leads futures market and the
cointegration with cash exists in each of the two index futures.
Subjects
Index futures
Bayesian approach
Gibbs Sampling
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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