The Effects of Futures Price Jump Behaviors on Spot Price and Volatility: Evidences from Taiwan Stock Market

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题名:	The Effects of Futures Price Jump Behaviors on Spot Price and Volatility: Evidences from Taiwan Stock Market
作者:	Ni, Yen-Sen;Chuang, Chung-Chu;Lee, Jeff T.C.;Lee, Ying-I
贡献者:	淡江大學管理科學研究所
关键词:	Price jump behavior;Price discovery
日期:	2007-12
上传时间:	2014-02-12 02:22:25 (UTC+8)
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.
關聯:	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
显示于类别:	[管理科學學系暨研究所] 會議論文

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