Wherever you may be, we wish you and those close to you the very best Year of the Rabbit.
Chang, "The linkages between Taiwan stock index futures and stock indices of different capital sizes," 2000
USC thesis in Finance.
August 24, 2009
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.
Featured Articles
May 20, 2022
A food safety factory shutdown has Americans hunting for baby formula. Readying themselves for a covid-19 lockdown, Chinese in Beijing emptied store shelves. Emerging from lockdown, some in Shanghai are visiting well-provisioned markets. U.S.-China agricultural trade is booming, but many are still being left hungry. Food security, sustainability and safety remain issues.
Events
Tuesday, November 15, 2022 - 1:00pm
Location: USC Annenberg School for Communication and Journalism