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.
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