A Study on the Announcement Effect of Changes in the TSEC Taiwan 50 Index, Interrelationships for the Effect and QFII, and Hedge Ratio as well as Hedge Performance of TSEC Taiwan 50 Index Cash and Futures：An Application of TGARCH Model

• Main Authors: Liang, Jin-Wei, 梁晉瑋
• Other Authors: Liu, Hsinag-Hsi
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/27993923991685659267

碩士 === 國立臺北大學 === 國際企業研究所 === 97 === This study tries to investigate the stock price and trading volume effect of changes in the TSEC Taiwan 50 index by OLS+TGARCH(1,1) model, interrelationships for the effect and QFII by PANEL model, and hedge ratio as well as hedge performance of TSEC Taiwan 50 index cash and futures by VEC-TGARCH(1,1) model. The major empirical results are as follows： 1.Additions have a positive stock price effect and deletions have a significantly negative stock price effect after the announcement day. Additions and deletions validate the price pressure hypothesis. 2.Additions and deletions have a positive trading volume effect after the announcement day. 3.The stock price effect of changes in the TSEC Taiwan 50 index and QFII have the reciprocal causation. 4.The hedge performance of TAIEX futures is better than Taiwan 50 futures.