A STUDY OF LEAD-LAG RELATIONSHIP BETWEEN TAIWAN STOCK INDEX AND TAIWAN STOCK INDEX FUTURES MARKETS IN BULL AND BEAR MARKETS
| Autor: | Po-hsun Lee, 李柏勳 |
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| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 In the past literature, many scholars investigated the lead-lag relationship between stock index, index futures while they ignore one of the important factor; that is, the phenomenon of "cimate mrkets". The purpose of this thesis is to investigateate the lead-lag relationships between Taiwan stock index and Taiwan stock index futures in different climate markets. By following the definition of Fabozzi and Francis(1977), Kim and Zumwalt(1979) with respect to different climate markets, we divide the market into four periods, which are the bull market, the bear market, the bull market turning bearish and the bear market turning to bullish. In this thesis, we use daily closing index prices and future prices closing at 1:30 P.M. during 2003/01/02~2004/12/31 and Vector Error Correction model and Granger causality model are used to analyze the data. Our conclusions are summarized as follows: (1)In the bull market, TAIEX leads TAIFEX in the short-run while TAIFEX leads TAIEX in the long-run equilibrium relationship. TAIFEX have a role of price discovery in the long-run. (2)In the bear market, TAIFEX leads TAIEX in the bull and bear markets, leading to a suggestion that TAIFEX transmits information to TAIEX. (3)In the bull market turning bearish, TAIEX leads TAIFEX in the short-run. In the long-run equilibrium relationship, TAIEX leads TAIFEX and TAIEX leads TAIFEX. TAIEX is more sensitive to information than TAIFEX in the long-run. (4)In the bear market turning bullish, there is no lead-lag relationship between TAIEX and TAIFEX markets. In the long-run equilibrium relationship, TAIEX leads TAIFEX and TAIEX leads TAIFEX. TAIEX is more sensitive to information than TAIFEX in the long-run. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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