Chang, "The linkages between Taiwan stock index futures and stock indices of different capital sizes," 2000

Hong-Ying Chang, M.A.

Abstract (Summary)

The general purpose of this study is to use ARCH family models to investigate the intraday relationship between Taiwan stock index futures and stock indices of different capital sizes, both in terms of return and volatility. The specific objectives of this thesis are: (1) To study the linkages between three Taiwan capitalization-weighted stock indices and the Taiwan index futures of TAIFX (Taiwan Stock Exchange Capitalization-Weighted Stock Index). (2) To study the direction of the spillover effect between the three Taiwan capitalization-weighted stock indices and whether or not a bi-directional relationship exists. (3) To test whether or not an asymmetric reaction to good news and bad news exists in the three capitalization-weighted stock indices as well as TAIMEX Taiwan stock index futures.