Applied to A Varying Correlation Bivariate GARCH-M Taiwan’s Stock and futures Markets Contagion effect

• Main Authors: Chan ,Ya-Wen, 詹雅雯
• Other Authors: Yang,Yung-Lieh
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/68qnaf

碩士 === 嶺東科技大學 === 財務金融研究所 === 100 === Since the derivatives listed, many explore the cash and futures market relations to emerge, especially in derivatives transactions for the spot market, the spread effect is an important topic. According to Fama (1970) definition of the efficient market, price efficiency, pricing efficiency of the market, the transaction price will fully reflect all market information. Deduce that the same assets as the underlying Securities trading in different markets, the price of the newly revealed information should sync adjustment, otherwise it will the existence of arbitrage opportunities. However, due to the market between the different structural (market structure).Differences, making the message transmission speed in different markets is not consistent, the formation of the price discovery process. Lead - lag relationship. In general, investors tend to trade in the market with a superior structure making the market more rapid response to the message to become the leading market in the price discovery process.That these markets have the efficiency of price discovery. The Taiwan stock and futures market research, to investigate the January 1, 2000 to 31 December 2011, a total of 2715 document date information, to analyze the Taiwan Futures effect of the spread of the cash equities market.