The effects of stock indes futures on the spot market

• Main Authors: Pei-Yu Wu, 吳珮渝
• Other Authors: Yung-Sun Wu
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/06964861147894306068

碩士 === 國立交通大學 === 經營管理研究所 === 88 === In recent years, our stock market has been growing faster and faster, and foreigner are also allowed to invest in our stock market. The government decided to open the stock index futures trading to supply business and personal investors some hedging tools. In 1998, TAIFEX started to offer Taiwan index futures. After one year, TAIFEX continued to offer industries index futures. This study wants to know when the stock index futures is offered, does it have any effect on spot market? This research''s data used the daily data and applied the intervention model and GARCH(1,1) model. From empirical results, we can get the following summary: First, the stock index turnover in the spot market did not significantly effect since stock index futures start trading. Second, the electric industry index volatility in spot market is significantly decrease, but other index volatility in the spot market have no significantly effect since stock index futures start trading. Third, after the stock index futures start to trade, the stock index futures volatility can not affect the stock index volatility.