The Volatility and Profitability of Taiwanese Stock Index Futures
Date Issued
2011
Date
2011
Author(s)
Ko, Chin-Chung
Abstract
In this paper, GARCH, TGARCH and EGARCH models are applied to analyze how volume and open interest of Taiwan stock index futures, Electronic futures, Financial futures and Morgan TAIEX affect futures price volatility.
Moreover, we attempt to observe the operating performances of major future markets which proposed by Taylor (1990) and Kleinman (2002) and choose four kinds of technical indicators: KD、RSI、MA and DMI.
The empirical results show that asymmetric effect of Taiwan stock index futures, Electronic futures, Financial futures and Morgan TAIEX. DMI is the best technical indicator of the operating profit performance. With the four technical indicators, operating performance is the worst for Electronic futures which is the most difficult to operate profitably among commodity futures.
Subjects
Volatility
GARCH
TGARCH
EGARCH
technical indicators
volume
open interest
Type
thesis
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