| Summary: | 碩士 === 逢甲大學 === 財務金融學所 === 91 === Numerous studies had have documented the evidences to support the existence of market integration among domestic stock market, foreign exchange market and international stock market and recognized the importance of the existence to the asset pricing. Finance theory claims that returns and return volatilities of the future markets are closely correlated with which of their underlying spot assets. However, only a previous work incorporated the stock index future into a framework of the integrated asset pricing system. The previous study failed to account for the effect of the asymmetric volatility to the asset pricing. More recently, GJR GARCH model has evolved as an appropriate model to accommodate the existence of asymmetric volatility in the asset price evaluation. This study utilizes an asymmetric multivariate GJR GARCH model to examine the existence of linkage between the domestic spot stock index, foreign exchange rate, U.S. stock spot index and domestic stock index future in Taiwan and each of the seven highly industrialized countries including U.S., U.K., France, Germany, Italy, Japan and Canada for the period from January 1994 to October 2002.
The empirical results of this study provide the useful evidence to support the existence of market linkage between domestic index future, exchange rate, stock index and U.S. stock index and confirm the importance of incorporating stock index future as an element of asset pricing.
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