义守大学财务金融学系硕士班.pdfVIP

金 Graduate School of Finance I-Shou University 論 數 數 A Further Analysis of Return and Volatility Dynamics between the Stock Index and Index Futures Markets: Recent Evidence from Taiwan 李 年六 論 力量不路 力量利論 力都 李 老 念 更 老 不 念 老 老 利 玲 更 精 了易 利量 兩 力量 年 年 料行 論 落 兩 數 度 兩 GARCH Abtsract The purpose of this research is to test the Taiwan futures trading impacting on spot market. Hence, we examined the price discovery and volatility spillovers among Taiwan futures trading and spot market by using vector error correction model to determine the intensity of price discovery among the two markets. In addition, we use the EC-EGARCH-DCC model to investigate the phenomenon of volatility spillovers. We use the daily price during 2003/6/30~2005/10/27 to test both hypotheses. We found that price discovered in short period the existence of bi-direction correlation a