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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/87213

    Title: 指數現貨與指數期貨之門檻互動效果比較 : 臺灣與美國之實證研究
    Other Titles: Threshold relationship between stock index and stock index futures : evidence from Taiwan and the U.S.
    Authors: 曾玉翔;Tseng, Yu-Hsiang
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 現貨;期貨;門檻自我迴歸模型;門檻誤差修正模型;Spot;Future;TAR-T;TECM;Threshold
    Date: 2012
    Issue Date: 2013-04-13 10:51:31 (UTC+8)
    Abstract: 中文論文提要:
    Previous studies have examined the relationship between futures and spots, most expected futures reflect new information faster than spots.
    Look on the domestic trading system, futures reveal the latest transaction price much faster than spots. In addition, most of the empirical results expressed futures play a better role in price discovery. Nonetheless, because of the variations indifferent countries’ institution, trading systems, and trading activeness, there are some instances spots may lead futures in price discovery, and sometimes it may leading each other under different circumstances.
    Referring to the information of world''s major trading market provided by Taiwan Stock Exchange, New York Stock Exchange(NYSE)has the highest total trading value as well as the highest total value of listed company in 2011, this study aims to compare the results between Dow Jones Industrial Average which is traded in NYSE and Taiwan Weighted Index(TAIEX) which is traded in Taiwan Stock Exchange Corporation (TWSE).
    The study will use TAR-T and TECM model to test long-term and short-term period causality between DJIA and TAIEX.
    It is expected that futures will react faster than spots in active markets, so according to the expectation, the Dow Jones futures may reveal the latest market faster than the spot. While in Taiwan, the stock index may surpass the stock index futures in price discovery.
    The outcomes are concordant with the expectation we set earlier, the stock index surpass stock index futures in Taiwan. Nonetheless, the stock index and stock index futures lead each other in America.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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