A Study of the Relationship among Exchange Traded Fund (ETF), the Futures, the Options and Taiwan of the MSCI
碩士 === 大葉大學 === 管理學院碩士在職專班 === 100 === The purpose of this paper is to Study of the Relationship among Exchange Traded Fund (ETF), the Futures, the Options and Taiwan of the MSCI . This thesis uses error-correction models and Granger Causality Test cointegration test and error correction model to te...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/43655063031902649944 |
| Summary: | 碩士 === 大葉大學 === 管理學院碩士在職專班 === 100 === The purpose of this paper is to Study of the Relationship among Exchange Traded Fund (ETF), the Futures, the Options and Taiwan of the MSCI . This thesis uses error-correction models and Granger Causality Test cointegration test and error correction model to test lead-lag relationship among among Exchange Traded Fund (ETF), the Futures, the Options and Taiwan of the MSCI.。The conclusions are as follows:
1. Taiwan 50 ETF lead Taiwan stock index futures
2. Fubon Taiwan Finance ETF lead Taiwan stock index futures.
3. Fubon Taiwan Eight Industries ETF and Taiwan stock index futures have a feedback relation.
4. Taiwan 50 ETF and the Options have a feedback relation.
5. Fubon Taiwan Finance ETF and the Options have a feedback relation.
6. Fubon Taiwan Eight Industries ETF and the Options have a feedback relation.
7. Taiwan 50 ETF and Taiwan of the MSCI. have a feedback relation.
8. Fubon Taiwan Eight Industries ETF and Taiwan of the MSCI. have a feedback relation.
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