The Movements of Basis and Spreads which are between the TAIEX Spot, the Spot month TAIEX Futures , the next calendar month TAIFX Futures, and the TAIEX Options.

• Main Authors: Yu Chung-Ju, 游忠儒
• Other Authors: 古永嘉
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/18814852535438974673

博士 === 國立臺北大學 === 企業管理學系 === 101 === The research focuses the movements of the basis and spreads which are between the TAIFEX spot, the Spot month TAIEX Futures, the next calendar month TAIEX Futures, and the TAIEX Options. Many past literatures mainly focused on the basis between spot and futures. There are few studies about the spreads. This study focuses on the movements of the spreads, especial about the index options market. The study uses the Put-Call Parity to calculate the price of the spot form the options. The other focus of the study is care about the next calendar month contrasts of the futures. This study uses ANST-GARCH model for empirical estimation. The research findings are summarized as follows: 1.A11 movement of basis and spreads are non-liner. 2. A11 movements of basis and spreads have different effects when the last movement had different direct. 3. All movements of basis and spreads are conditional heteroscedasticity. 4. The volatilities of the movements are asymmetric.