关于QFII制度股票市场的影响与对策分析的.docVIP

学号：20044810122学号：200448101228关于QFII制度对股票市场的影响与对策分析的黑体小二号黑体小二号居中外文翻译黑体小一号居中黑体小一号居中姓 名：X X X学 号：2005XXXXXXX系 别：金融与贸易系专业班级：05级国际经济与贸易X班黑体小二号加粗，单倍行距，缩进6个字符黑体小二号加粗，单倍行距，缩进6个字符The Impact of Introduction of QFII Trading on the Lead and Volatility Behavior: Evidence for Taiwan Index Futures MarketWen-Hsiu Kuo Department of Business AdministrationDepartment of Finance Ling Tung University 1, Lingtung Road, Nantun 408 Taichung City, Taiwan HYPERLINK mailto:whkuo@.tw whkuo@.twShih-Ju Chan Department of Business Administration Kao Yuan University 1821,Chung-Shan Rd., Lu-Chu Hsiang Kaohsiung County 821,Taiwan HYPERLINK mailto:vicki345tw@ vicki345tw@3. Methodology3.1. Cointegration test and vector error correction modelFirst, we test the market efficiency hypothesis (MEH) in Taiwan index futures market by examining whether the cointegrated relationship (i.e., long-run equilibrium relationship) among futures, spot prices and several macroeconomic factors exists before and after the opening up of futures market to QFII. Given that the five variables are integrated of order one, the cointegration test proposed by Johansen and Juselius (1990) is performed. If there are cointegrated relationships among futures, spot prices and several macroeconomic factors, then we suggest that some market inefficiency exists in Taiwan index futures market.Second, for cointegrated series, Granger causality tests need to be performed in the corresponding VECM framework according to the Granger Representation Theorem proposed by Engle and Granger (1987). This study employs the VECM to examine whether the lead-lag relationship between the futures and spot markets differs for the pre- and post-QFII periods. To control effects of macroeconomic factors on the relationship between the futures and spot markets, we incorporate the macroeconomic factors into the VECM. Therefore, this paper adopts the following VECM7 framework with five variables to study the lead-lag relationship between the futures