An empirical study on information spillover effects between Taiwan futures market and spot market

• Main Authors: Chia-Ying Li, 李佳穎
• Other Authors: 莊忠柱
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/01512110927972546431

碩士 === 淡江大學 === 管理科學研究所碩士班 === 98 === This study use daily data of Taiwan Futures Exchange Capitalization Weighted Stock index and futures contracts to investigate information spillover effects between the futures market and the spot market by Granger causality tests in returns, mean, volatility, upside risk and downside risk respectively. We employ TGARCH and GARCH models to estimate the VaR of futures and spot markets. We also investigate instantaneous information spillover effects between the futures market and the spot market by instantaneous causality test in returns, mean, volatility, upside risk and downside risk respectively. The findings are as follows： There exists a significant tow-way spillovers effects between the futures market and the spot market based on by Granger causality tests in returns, mean, volatility, upside risk and downside risk respectively, Besides, in the one-way spillover effects test, there exist an one-way spillover effect between the futures market and the spot market based on Granger causality tests in volatility, upside risk and downside risk. There exists a significant instantaneous causality test in returns, mean, volatility, upside risk and downside risk between the futures and spot market respectively, meaning there exists an instantaneous causality relationships between the futures and spot market.