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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/18361


    Title: Is twin behavior of Nikkei 225 index futures the same?
    Authors: Lee, Ming-chih;Chiu, Chien-liang;Lee, Yen-shien
    Contributors: 淡江大學財務金融學系
    Keywords: Diffusion;Feedback control;Mathematical models;Risk assessment;Statistical methods;Granger causality tests;Jump intensity;Jump-diffusion processes;Unidirectional causality;Regression analysis
    Date: 2007-04
    Issue Date: 2013-03-12 10:56:54 (UTC+8)
    Publisher: Amsterdam: Elsevier BV * North-Holland
    Abstract: This study adopts the autoregressive conditional jump intensity (ARJI) model proposed by Chan and Maheu [J. Business Econ. Stat. 20 (2002) 377–389] to investigate the impact of news on SIMEX-Nikkei 225 and CME-Nikkei 225 (regards it as the twins). Empirical results demonstrate that the twins were captured by responses to various events; moreover, the twins have distinct jump intensity and risk. Finally, this investigation evaluates the lead–lag relationship between returns and jump behavior by the Granger causality test. Returns are based on unidirectional causality from two futures (the twins) to spot and feedback causality between the twins. Jump intensity reveal feedback causality between spot and the CME-Nikkei 225 and unidirectional causality from the CME-Nikkei 225 to in SIMEX-Nikkei 225.
    Relation: Physica A: Statistical Mechanics and Its Applications 377(1), pp.199-210
    DOI: 10.1016/j.physa.2006.11.010
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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