The Intraday Relationship among Taiwan Stock Index and Its Derivatives and Morgan Stanley Index Futures
碩士 === 國立暨南國際大學 === 國際企業學系 === 95 === This paper investigates the intraday lead-lag relationships between the MSCI Taiwan index futures, TAIFEX futures, TAIFEX options and TAIEX spot, and also the interrelation between ATM options and OTM options. After utilizing the intraday price of every minute f...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | en_US |
Published: |
2007
|
Online Access: | http://ndltd.ncl.edu.tw/handle/44373783512273177497 |
id |
ndltd-TW-095NCNU0320018 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-095NCNU03200182015-10-13T14:08:38Z http://ndltd.ncl.edu.tw/handle/44373783512273177497 The Intraday Relationship among Taiwan Stock Index and Its Derivatives and Morgan Stanley Index Futures 台灣加權指數與其衍生性金融商品與新加坡摩根指數期貨之日內關係 Chai-Wei Lu 陸家偉 碩士 國立暨南國際大學 國際企業學系 95 This paper investigates the intraday lead-lag relationships between the MSCI Taiwan index futures, TAIFEX futures, TAIFEX options and TAIEX spot, and also the interrelation between ATM options and OTM options. After utilizing the intraday price of every minute from 9 March 2007 to 30 April 2007, and the Black-Scholes model to convert the option price into the implied spot price, the VECM is then used to explore the lead-lag relationships among these markets. The results indicate that both the index futures and index options contracts lead the stock index, and the index futures are found to lead the index options. Furthermore, the ability of price discovery between the futures listed in both SGX and TAIFEX are symmetric. However, with slightly stronger evidence that price discovery primarily originates from the Singapore futures. Moreover, both the at-the-money call and put options tend to lead the out-of-the-money call and put options, indicating that the moneyness of an option plays an important role in price discovery. Our result for Taiwan market is consistent with the recently studies conducted in other markets. This result support the trading cost hypothesis which points out that the derivative markets provide the investors with much lower trading costs than the spot index markets, and also the leverage effect which suggests that derivative markets offer an informed trader the greatest leverage. As the trading costs of at-the-money options and out-of-the-money options are similar, other factors must be driving the stronger lead of at-the-money options, such as trading volume, spreads, tick size, leverage and sensitivity to changes in market. 王銘杰 2007 學位論文 ; thesis 74 en_US |
collection |
NDLTD |
language |
en_US |
format |
Others
|
sources |
NDLTD |
description |
碩士 === 國立暨南國際大學 === 國際企業學系 === 95 === This paper investigates the intraday lead-lag relationships between the MSCI Taiwan index futures, TAIFEX futures, TAIFEX options and TAIEX spot, and also the interrelation between ATM options and OTM options. After utilizing the intraday price of every minute from 9 March 2007 to 30 April 2007, and the Black-Scholes model to convert the option price into the implied spot price, the VECM is then used to explore the lead-lag relationships among these markets. The results indicate that both the index futures and index options contracts lead the stock index, and the index futures are found to lead the index options. Furthermore, the ability of price discovery between the futures listed in both SGX and TAIFEX are symmetric. However, with slightly stronger evidence that price discovery primarily originates from the Singapore futures. Moreover, both the at-the-money call and put options tend to lead the out-of-the-money call and put options, indicating that the moneyness of an option plays an important role in price discovery. Our result for Taiwan market is consistent with the recently studies conducted in other markets. This result support the trading cost hypothesis which points out that the derivative markets provide the investors with much lower trading costs than the spot index markets, and also the leverage effect which suggests that derivative markets offer an informed trader the greatest leverage. As the trading costs of at-the-money options and out-of-the-money options are similar, other factors must be driving the stronger lead of at-the-money options, such as trading volume, spreads, tick size, leverage and sensitivity to changes in market.
|
author2 |
王銘杰 |
author_facet |
王銘杰 Chai-Wei Lu 陸家偉 |
author |
Chai-Wei Lu 陸家偉 |
spellingShingle |
Chai-Wei Lu 陸家偉 The Intraday Relationship among Taiwan Stock Index and Its Derivatives and Morgan Stanley Index Futures |
author_sort |
Chai-Wei Lu |
title |
The Intraday Relationship among Taiwan Stock Index and Its Derivatives and Morgan Stanley Index Futures |
title_short |
The Intraday Relationship among Taiwan Stock Index and Its Derivatives and Morgan Stanley Index Futures |
title_full |
The Intraday Relationship among Taiwan Stock Index and Its Derivatives and Morgan Stanley Index Futures |
title_fullStr |
The Intraday Relationship among Taiwan Stock Index and Its Derivatives and Morgan Stanley Index Futures |
title_full_unstemmed |
The Intraday Relationship among Taiwan Stock Index and Its Derivatives and Morgan Stanley Index Futures |
title_sort |
intraday relationship among taiwan stock index and its derivatives and morgan stanley index futures |
publishDate |
2007 |
url |
http://ndltd.ncl.edu.tw/handle/44373783512273177497 |
work_keys_str_mv |
AT chaiweilu theintradayrelationshipamongtaiwanstockindexanditsderivativesandmorganstanleyindexfutures AT lùjiāwěi theintradayrelationshipamongtaiwanstockindexanditsderivativesandmorganstanleyindexfutures AT chaiweilu táiwānjiāquánzhǐshùyǔqíyǎnshēngxìngjīnróngshāngpǐnyǔxīnjiāpōmógēnzhǐshùqīhuòzhīrìnèiguānxì AT lùjiāwěi táiwānjiāquánzhǐshùyǔqíyǎnshēngxìngjīnróngshāngpǐnyǔxīnjiāpōmógēnzhǐshùqīhuòzhīrìnèiguānxì AT chaiweilu intradayrelationshipamongtaiwanstockindexanditsderivativesandmorganstanleyindexfutures AT lùjiāwěi intradayrelationshipamongtaiwanstockindexanditsderivativesandmorganstanleyindexfutures |
_version_ |
1717749843789611008 |