The Effect of Macroeconomic Variables On The Relationship Between Futures Trading And Cash Market Volatility
| Autor: | Tung-wei Lin, 林桐煒 |
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| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 The financial markets face the impact increasing under the financial liberalization and internationalization in the world. The volatility of Taiwan market is dynamic in recent years. This article provides empirical evidence on the effect of macroeconomic variables on the relationship between futures trading and sopt market jump volatility for Taiwan Stock Exchange Market. The data cover the period from Septemper, 1997 to December, 2006. Stock prices, trading activities of Morgan Taiwan Stock Index Futures and Taiwan Stock Index Futures, industrial production index, inflation rate, term structure of interest rate, and OTC index. We employ regression analysis, Granger causality tests, GARCH and GJR GARCH. The empirical result suggest that OTC index and futures trading activities cause stock price volatility on daily data. The result from GJR GARCH(1,1) has asymmetric effect in stock return volatility. After adding the macroeconomic variables, the influence of OTC index volatility has disappeared.However, the industrial production index volatility has significant effect. We additionally observe that trading activities of Taiwan Stock Index Futures have more significant explanatory power. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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