陳思寬臺灣大學：國際企業學研究所Yu, Chiung-YinChiung-YinYu2007-11-282018-06-292007-11-282018-06-292004http://ntur.lib.ntu.edu.tw//handle/246246/60466This paper mainly examines whether there is a high correlation between the returns for NASDAQ Composite Index and TSE Electronic Sector Index Futures. The result indicates that the Taiwan TSE Electronic Sector Index Futures has only a small or even no impact on the performance of NASDAQ Composite Index. However, the impact of the former on the latter is clearly stronger.I. Introduction ……………………………………………1 II. Relevant Literatures ...…………………………………3 2.1 Interaction between international stock markets ….….3 2.2 Time-Series Literatures ………………..…………….…...5 III. Data ……………………………………………………7 3.1 NASDAQ Composite Index …………………………....8 3.2 TSE Electronic Sector Index Futures …………………....9 IV. Methodology ………………………………………..….......12 4.1 Unit Root Test …………………………………………......16 4.2 Serial Autocorrelation ………………………………......19 4.3 Spillover effects in open-to-close returns……….....23 4.4 Spillover effects on the conditional means of return 24 4.5 Spillover effects in close-to-open returns ……......25 V. Empirical Results ………………………………….....…...26 5.1 Results of model 1 ……………………………….…….....26 5.2 Results of model 2 ……………………………….…….....27 5.3 Results of model 3 ……………………………….…….....28 5.4 Results of model 4 ………………………………..........29 VI. Conclusions ……………………………………….…..30 References …………………………………………………...31248803 bytesapplication/pdfen-US納斯達克電子類股票指數期貨TSEESINASDAQ Composite Indexthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60466/1/ntu-93-R91724080-1.pdf