Effect of Market Imperfection on the Relationship between Future Index Prices and Spot Index Returns: An Empirical Study

南華大學機構典藏系統 > 管理學院 > 財務金融學系(財務管理碩士班) > 期刊論文 > Item 987654321/25083

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://nhuir.nhu.edu.tw/handle/987654321/25083

题名:	Effect of Market Imperfection on the Relationship between Future Index Prices and Spot Index Returns: An Empirical Study
作者:	吳依正;Wu, Yi-Chen;Lin, Ching-Chung;Huang, Chin-Sheng
貢獻者:	財務金融學系
关键词:	Regression analysis;Rates of return;Stock index futures;Futures exchanges;Taiwan;United States;Japan
日期:	2008-06
上传时间:	2017-07-19 10:14:42 (UTC+8)
摘要:	The degree of market imperfections affects the pricing of financial assets and the dynamic relationship among financial instruments. To investigate the dynamic interrelationship between the expected growth rate implied by the prices of index futures and the rate of return of the underlying index spot, this study examines data from the S&P 500, Nikkei 225 index futures and the TAIFEX TAIEX index futures by using the vector autoregression (VAR) model, Granger causality test, and generalized impulse response function (GIRF). The empirical result shows that the dynamic interrelationship is weaker in the mature US and Japanese markets (which represent a more perfect market) than in the emerging Taiwanese market (which represents an imperfect market). Examining the relationship between future index prices and spot index returns is an effective way of investigating market imperfections and inefficiencies.
關聯:	International Journal of Management vol. 25, no. 2 pp.247-261
显示于类别:	[財務金融學系(財務管理碩士班)] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	692	检视/开启

在NHUIR中所有的数据项都受到原著作权保护.

TAIR相关文章