The impact of transaction cost on the dynamic relationships among the Spot market、the TX index Futures and MSCI-TW Futures markets:Using multivariate EC-GJR GARCH Model
碩士 === 萬能科技大學 === 經營管理研究所 === 93 === This paper investigates the dynamic relationship among the spot market, the stock index futures in Taiwan and MSCI-TW futures markets by multivariate EC-GJR GARCH Model. The TAIFEX experience structural change by reducing the transaction tax from 0.05% to 0.025%...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2005
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Online Access: | http://ndltd.ncl.edu.tw/handle/19479287961100329347 |