An analysis of the lead-lag relationship between TAIEX return and its derivatives return: the case of high frequency data
碩士 === 逢甲大學 === 財務金融學系碩士班 === 104 === This research is to explore the lead-lag relationships between spot, futures and options market of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX).Fifteen-minute intraday data of spot, futures and options of TAIEX from January 2, 2006 to Decemb...
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ndltd-TW-104FCU053040132019-05-15T23:09:28Z http://ndltd.ncl.edu.tw/handle/z2d83p An analysis of the lead-lag relationship between TAIEX return and its derivatives return: the case of high frequency data 台灣加權股價指數與其衍生性商品報酬率之領先落後分析:高頻資料案例 Meng-Ting Chang 張夢庭 碩士 逢甲大學 財務金融學系碩士班 104 This research is to explore the lead-lag relationships between spot, futures and options market of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX).Fifteen-minute intraday data of spot, futures and options of TAIEX from January 2, 2006 to December 31, 2014 are used, and added Value at Risk (VaR) to explore the expected worst loss from the buyers and sellers in the three markets. Empirical results show that the futures and options market price, volume and Value at Risk (VaR) leading stock market , and options market price, volume and Value at Risk (VaR) leading futures market. 王若愚 2016 學位論文 ; thesis 60 zh-TW |
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碩士 === 逢甲大學 === 財務金融學系碩士班 === 104 === This research is to explore the lead-lag relationships between spot, futures and options market of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX).Fifteen-minute intraday data of spot, futures and options of TAIEX from January 2, 2006 to December 31, 2014 are used, and added Value at Risk (VaR) to explore the expected worst loss from the buyers and sellers in the three markets. Empirical results show that the futures and options market price, volume and Value at Risk (VaR) leading stock market , and options market price, volume and Value at Risk (VaR) leading futures market.
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王若愚 |
author_facet |
王若愚 Meng-Ting Chang 張夢庭 |
author |
Meng-Ting Chang 張夢庭 |
spellingShingle |
Meng-Ting Chang 張夢庭 An analysis of the lead-lag relationship between TAIEX return and its derivatives return: the case of high frequency data |
author_sort |
Meng-Ting Chang |
title |
An analysis of the lead-lag relationship between TAIEX return and its derivatives return: the case of high frequency data |
title_short |
An analysis of the lead-lag relationship between TAIEX return and its derivatives return: the case of high frequency data |
title_full |
An analysis of the lead-lag relationship between TAIEX return and its derivatives return: the case of high frequency data |
title_fullStr |
An analysis of the lead-lag relationship between TAIEX return and its derivatives return: the case of high frequency data |
title_full_unstemmed |
An analysis of the lead-lag relationship between TAIEX return and its derivatives return: the case of high frequency data |
title_sort |
analysis of the lead-lag relationship between taiex return and its derivatives return: the case of high frequency data |
publishDate |
2016 |
url |
http://ndltd.ncl.edu.tw/handle/z2d83p |
work_keys_str_mv |
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