The Effect of Taiwan Stock Index Futures Trading on the Cash Stock Price Volatility-Study on TAIFEX and SIMEX

• Main Authors: Tien, Chia-Hung, 田佳弘
• Other Authors: Hu, wei-shan
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/13838600187224469977

碩士 === 中原大學 === 企業管理學系 === 88 === In the recent years, government reacts to the need for various goals of establishing the sound investment channels and enlarging the scopes.The reforms have been developed rapidly in the national financial market in Taiwan. The Taiwan Future Exchange launched the Taiwan stock index future on July, 21th, 1998 which led Taiwan’s capital market into the new era of futures. Nevertheless, the SIMEX listed Taiwan Stock Index Futures(MSCI) as early as January, 9th, 1997. Although stock index futures , one kind of derivative contracts, was developed late in the derivatives market, it is also the most popular one. According to previous researchers, stock index future has the functions of hedging effect , price discovery and speculations. However, it has the negative effect of bring program and aggravating the fluctuation of price of cash market.The most important thing is whether stock index futures has the impact on the stability of the fluctuation of spot price. The empirical results are as follows, 1. After running the regression analysis of the total 1361 return-daily data from January, 1995 to March, 2000, based on t-test and p-value, it has a significantly positive relationship between the rate of return of SIMEX and that of TAIFEX. It also shows that there is not self-correlated between two variables. 2. Based on the analysis of the model GARCH(1,1), and the unsymmetrical information is considered in this research, Taiwan stock index futures insignificantly affected the fluctuation of return of spot market. On the other hand, Taiwan stock index futures reduces the unsymmetrical information of the spot stock index, and affects. However, Taiwan stock index futures in SIMEX insignificantly increased the unsymmetrical unsymmetrical information effect. 3. When the other macroeconomic variables are included simultaneously , the change in trading volume of Taiwan stock index futures does not have a significant effect doesn’t substantial influence the fluctuation of spot price; However, change trading volume of SIMEX Taiwan stock index futures on stock price fluctuations positively the fluctuation of stock price. It confirms the result of GARCH model. Therefore, this research concludes that SIMEX Taiwan stock index futures the fluctuation of sopt stock price .