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 en
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 TWN
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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