An analysis of the lead-lag relationship between TAIEX return and its derivatives return: the case of high frequency data

• Main Authors: Meng-Ting Chang, 張夢庭
• Other Authors: 王若愚
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/z2d83p

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.