The relationship between Taiwan stock index and index futures with trading strategy

• Main Authors: Han-hsiang Wang, 王瀚翔
• Other Authors: Min-Ching Huang
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/35958898777565893701

碩士 === 國立成功大學 === 統計學系碩博士班 === 97 === The thesis studies the relationship between Taiwan stock index and index futures for major conservative investors who are unwilling to use the margin in stock trading. We apply models such as VECM, GARCH-M , TARCH, EGARCH and state space model to demonstrate the impact on expected volatility and asymmetrical volatility for the stock market. The empirical results show that the futures market has the function of price discovery but the stock market does not. By the result of the state space model, we find that the information for the futures will diminish to explain the stock market by the time. For the purpose of trading, the use of the information of futures is suggested.