Price Discovery in Taiwan 50 Index Futures

• Main Authors: Juen-Fwu Lin, 林振福
• Other Authors: Robin Chou
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/14447267920768622484

碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 92 === Taiwan Stock Exchange Corporation wants to increase the liquidity of the market and constructs a healthy financial environment, so cooperating with FTSE to arrange a simple and typical index, called “TSEC Taiwan 50 Index”. The fifty stocks include the representative firms in several industries of Taiwan stock market. Base on this index, Taiwan Stock Exchange Corporation promotes several derivates such as exchange traded funds and futures. The purpose of this thesis is to use time-series model to analyze the price discovery between Taiwan 50 Index Exchange Traded Fund, Taiwan 50 Index and Taiwan 50 Index Future, and to provide information for the Authority in product design in the coming years. In our empirical evidence, there products have lead-lag relationship, but there is little difference in strength. However, it still can be seen as a signal when people decide to invest, so this relationship is so-called price discovery.