The Study of Lead and Lag Relationship Among Stock Spot, Futures and Options--Financial Institution

碩士 === 大葉大學 === 會計資訊學系碩士班 === 103 === This research investigates the lead-lag relationships among three markets such as financial index options, financial index futures and financial stock index spot. We examine the relationships by utilizing the unit root test, granger causality test, vector autore...

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Main Authors:	Liao Chia Wei, 廖家瑋
Other Authors:	林筱鳳
Format:	Others
Language:	zh-TW
Published:	2015
Online Access:	http://ndltd.ncl.edu.tw/handle/26862170116185429265

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spelling	ndltd-TW-103DYU007360022017-10-15T04:36:44Z http://ndltd.ncl.edu.tw/handle/26862170116185429265 The Study of Lead and Lag Relationship Among Stock Spot, Futures and Options--Financial Institution 金融類股指數期貨、現貨與選擇權市場領先落後關係之探討 Liao Chia Wei 廖家瑋碩士大葉大學會計資訊學系碩士班 103 This research investigates the lead-lag relationships among three markets such as financial index options, financial index futures and financial stock index spot. We examine the relationships by utilizing the unit root test, granger causality test, vector autoregression model and impulse response function. We find: (1) the three markets impact each other. (2) financial stock index spot still plays the leading role of the price discovery in the three markets. (3) the leading rank of the price discovery abilities among these three markets is financial stock index spot, financial index futures and financial index options respectively. 林筱鳳 2015 學位論文 ; thesis 53 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 大葉大學 === 會計資訊學系碩士班 === 103 === This research investigates the lead-lag relationships among three markets such as financial index options, financial index futures and financial stock index spot. We examine the relationships by utilizing the unit root test, granger causality test, vector autoregression model and impulse response function. We find: (1) the three markets impact each other. (2) financial stock index spot still plays the leading role of the price discovery in the three markets. (3) the leading rank of the price discovery abilities among these three markets is financial stock index spot, financial index futures and financial index options respectively.
author2	林筱鳳
author_facet	林筱鳳 Liao Chia Wei 廖家瑋
author	Liao Chia Wei 廖家瑋
spellingShingle	Liao Chia Wei 廖家瑋 The Study of Lead and Lag Relationship Among Stock Spot, Futures and Options--Financial Institution
author_sort	Liao Chia Wei
title	The Study of Lead and Lag Relationship Among Stock Spot, Futures and Options--Financial Institution
title_short	The Study of Lead and Lag Relationship Among Stock Spot, Futures and Options--Financial Institution
title_full	The Study of Lead and Lag Relationship Among Stock Spot, Futures and Options--Financial Institution
title_fullStr	The Study of Lead and Lag Relationship Among Stock Spot, Futures and Options--Financial Institution
title_full_unstemmed	The Study of Lead and Lag Relationship Among Stock Spot, Futures and Options--Financial Institution
title_sort	study of lead and lag relationship among stock spot, futures and options--financial institution
publishDate	2015
url	http://ndltd.ncl.edu.tw/handle/26862170116185429265
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The Study of Lead and Lag Relationship Among Stock Spot, Futures and Options--Financial Institution

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