The relationship of price volatility between TSE and TAIFEX stock indices futures with different maturities

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题名:	The relationship of price volatility between TSE and TAIFEX stock indices futures with different maturities
作者:	Wang, YC (Wang, Yung-Chang) Ho, WR (Ho, Wen-Rong)
贡献者:	財金系
关键词:	MARKETS CASH SPOT
日期:	2010-12
上传时间:	2011-12-08 14:45:36 (UTC+8)
摘要:	Using the data set from January 2, 2004 to April 28, 2006, this study examined all aspects of the relation between volatility in the cash index and volatility in the nearby-month and nearby-quarter index futures. The GARCH Model was first estimated to examine the impact of the futures volume growth on the conditional variance of the cash price and vice versa. Next, the conditional variances at the 10-day interval were calculated to derive the variance series for performing Granger-Causality Tests. Evidence from the GARCH (1,1) estimation indicated that the cash volume growth lost the power in explaining its own price volatility when the futures volume growth was included in the conditional variance equation of the cash index return, the cash volume growth had no influences on volatility in the futures markets, and the trading volume growth of nearby-month index futures was most influential in explaining volatility in the three markets. The Granger Causality Test was performed for the co-integrated variance series in the context of the error correction model. Evidence indicated that there were one-way volatility spillovers from the index futures to the cash index and there were two-way volatility spillovers between the nearby-month and nearby-quarter index futures markets.
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