台股指數期貨市埸非線性與混沌現象之測試
Other Title
A Test for Nonlinearity and Chaos in Taiwan Stock Index Futures Market
Date Issued
2003
Date
2003
Author(s)
DOI
912416H002042
Abstract
This paper investigates the presence of linear and nonlinear trends, and chaos
in the Taiwanese futures market. The motivation of the paper is to analyze the time
series properties of a new, small, and relatively thin market. It is expected that this
young market might behave differently from mature stock markets, such as the
American equity market. The results of the variance ratio test indicate linear
dependence in the raw returns. The tests based on the correlation dimension, CD, and
the more powerful BDS statistic confirm the presence of nonlinearity in the filtered time series. The CD and the BDS statistic applied to the standardized residuals of
the EGARCH model reject heteroskedasticity as the cause of nonlinearity in the Taiwanese futures returns. On the other hand, the test of the locally weighted
regression, LWR, applied to the filtered time series, indicates the presence of chaos in
the Taiwanese futures. These results differ from those reported by previous
researchers, who have reported only weak evidence of nonlinear trends and failed to
find chaos in the return time series of more mature stock markets. Our findings may
have relevant implications for risk management and market efficiency.
Subjects
chaos
non-linearity
futures markets
Publisher
臺北市：國立臺灣大學國際企業學系暨研究所
Type
report
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