| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 93 === This study employs the GJR-M model to examine the impact of the introduction of the TSEC Taiwan 50 index futures on the conditional volatility of its component stocks. We investigate the impact of the conditional volatility of component stocks in short-term (within the first three months of trading in the TSEC Taiwan 50 index futures) and long-term (after trading in the TSEC Taiwan 50 index futures for more than three months). The sample period ran from June 30, 2002 to June 29, 2004, comprising 500 trading days. The overall sample period is distinguished before and after stages based on June 30, 2003, the date of the introduction of the TSEC Taiwan 50 index futures.
The results showed (1) after the introduction of the TSEC Taiwan 50 index futures, TSEC Taiwan 50 index and a half the component stocks volatility is lower than before. However, the short-term and long-term volatility of component stock affected are little. (2) The “high risk to high return” relationship is not found in TSEC Taiwan 50 index, but found only 1 stock exhibit “high risk to high return”. (3)The GJR-M model proves there are asymmetric effects in the TSEC Taiwan 50 index, and proves that only 12 stocks (28% ) exhibit asymmetric effects of index component stocks.
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