Tamsui, Taipei : Tamkang University, Department of Management Sciences and Decision Making
This study is to investigate the effects of derivatives introduction and weekend on stock index return, volatility, and price jump behavior in Taiwan stock market by a proposed EGARCH-ARJI model. The daily data of the Taiwan Stock Exchange Capitalization Weighted Stock Index covers from January 4, 1990 to April 26, 2007. The resultants show that the price jump intensity of stock index significantly decreases after the stock index futures and options are introduced, respectively, while as the return and volatility of stock index do not change significantly. Furthermore, larger return and less volatility of the stock index exist in the last trading date in a week, and larger volatility in the first trading date in a week does, too. However, there is no weekend effect on price jump intensity of stock index. These findings can provide references for investor in making decision.
Proceedings of the 2008 International Conference in Management Sciences and Decision Making= 2008年管理科學與經營決策國際學術研討會論文集, pp.229-244