| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === This paper adopts the Nelson (1991) bivariate EGARCH model to study the difference of price limits between Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Singapore MSCI Taiwan Index that has significant effects on market returns and volatility. Return spillover, volatility spillover, and asymmetry effects of good and bad news are also being exanimate. Certain crucial elements of US stock and bond markets are also included in the model to study the behaviors of both markets. All of variables are collected from the Systex information and Bloomberg system, and the daily data are from July 21, 1998 to Nov. 21, 2008.
The empirical results reveal that the futures returns of previous period have a significant positive effect on spot market returns in both countries. Furthermore, a negatively two-way relationship of returns spillover in two countries has also been found. The effect of an event on the market of two countries in terms of unexpected volatility is positive. It is also found that the impacts of an event on the market are asymmetric, bad news have greater impacts on stock market than good news in both countries. And the volatility of MSCI Taiwan Index return is affected by the unexpected volatility TAIEX return of previous period, not vice versa. After a thorough examination, checking and collaboration of the model, it is found that the model is well suited in the study. Finally, I wish the results of this paper may offer the market .participants with further knowledge.
|
|---|
