教師資料查詢 | 類別: 會議論文 | 教師: 倪衍森 NI, YEN-SEN (瀏覽個人網頁)

標題:The Effects of Futures Price Jump Behaviors on Spot Price and Volatility: Evidences from Taiwan Stock Market
學年96
學期1
發表日期2007/12/06
作品名稱The Effects of Futures Price Jump Behaviors on Spot Price and Volatility: Evidences from Taiwan Stock Market
作品名稱(其他語言)
著者Ni, Yen-Sen; Chuang, Chung-Chu; Lee, Jeff T.C.; Lee, Ying-I
作品所屬單位淡江大學管理科學研究所
出版者
會議名稱2007知識經濟與全球化管理國際研討會=2007 International Conference on Knowledge-Based Economy and Global Management
會議地點臺南, 臺灣
摘要This research is to investigate the effects of futures price jump behaviors on spot price and volatility. The sample covers the daily prices of TAIEX futures and TAIEX from July 21, 1998 to March 22, 2007. EGARCH-ARJI model, proposed by Chan and Maheu(2002), is modified to be EGARCH(1,1)-ARJI model for capturing futures price jump behaviors. Then the effects of futures price jump behaviors on spot price and volatility is tested by involving futures price jump behaviors. The resultants are not only the futures jump price behaviors exists significantly lead-lag relationships on spot price but also on spot volatility, i.e., the futures price jump behaviors has played an important role of price discovery on spot's price and volatility, which can provide a reference to investors for making decision.
關鍵字Price jump behavior;Price discovery
語言英文
收錄於
會議性質國際
校內研討會地點
研討會時間20071206~20071207
通訊作者
國別中華民國
公開徵稿Y
出版型式紙本
出處2007知識經濟與全球化管理國際研討會論文集=Proceedings of 2007 International Conference on Knowledge-Based Economy and Global Management,12頁
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