The Relative Price Between Index Spot And Index Futures Using MS-AR(1) Model

• Main Authors: Hsu-Ning Hu, 胡緒寧
• Other Authors: Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/jsgk6v

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 95 === Because of the high liquidity and lower fee, the index futures become the favorable tools for the purpose of hedging, arbitraging and speculating. In this paper, we use the weekly data of spot price and futures price from the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and the MSCI Taiwan Index to investigate the behavior of the relative price between the spot and futures. We also check the relationship between the volatility of return of both spot and futures and the relative price. The empirical results indicated that : (1) Both relative price represent high and low volatility state of the Markov process. (2) At high volatility state, the relative price represent more negative effect in the Taiwan market and more positive effect in the Singapore market. (3) The probabilities of state persistence are very high in both markets. (4) The relationship between the volatility of return and the relative price are different in both markets.