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
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 in...
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ndltd-TW-097NTPU03200072016-05-06T04:10:59Z http://ndltd.ncl.edu.tw/handle/27993923991685659267 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 台灣50指數成分股調整訊息宣告效果、外資買賣超關聯性及台灣50指數期現貨避險比率與績效之探討─TGARCH模型之應用 Liang, Jin-Wei 梁晉瑋 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. Liu, Hsinag-Hsi 劉祥熹 2009 學位論文 ; thesis 195 zh-TW |
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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.
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author2 |
Liu, Hsinag-Hsi |
author_facet |
Liu, Hsinag-Hsi Liang, Jin-Wei 梁晉瑋 |
author |
Liang, Jin-Wei 梁晉瑋 |
spellingShingle |
Liang, Jin-Wei 梁晉瑋 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 |
author_sort |
Liang, Jin-Wei |
title |
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 |
title_short |
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 |
title_full |
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 |
title_fullStr |
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 |
title_full_unstemmed |
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 |
title_sort |
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 |
publishDate |
2009 |
url |
http://ndltd.ncl.edu.tw/handle/27993923991685659267 |
work_keys_str_mv |
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