淡江大學機構典藏:Item 987654321/18361
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    题名: Is twin behavior of Nikkei 225 index futures the same?
    作者: Lee, Ming-chih;Chiu, Chien-liang;Lee, Yen-shien
    贡献者: 淡江大學財務金融學系
    关键词: Diffusion;Feedback control;Mathematical models;Risk assessment;Statistical methods;Granger causality tests;Jump intensity;Jump-diffusion processes;Unidirectional causality;Regression analysis
    日期: 2007-04
    上传时间: 2013-03-12 10:56:54 (UTC+8)
    出版者: Amsterdam: Elsevier BV * North-Holland
    摘要: 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.
    關聯: Physica A: Statistical Mechanics and Its Applications 377(1), pp.199-210
    DOI: 10.1016/j.physa.2006.11.010
    显示于类别:[財務金融學系暨研究所] 期刊論文

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