政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/86334

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 110182/141115 (78%)
Visitors : 46779158 Online Users : 601

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/86334

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86334

Title:	股價指數期貨與現貨之關聯性研究--新加坡摩根台股指數期貨實證分析
Authors:	吳易欣
Contributors:	朱浩民吳易欣
Keywords:	指數期貨摩根台股指數期貨
Date:	1997
Issue Date:	2016-04-27 11:17:36 (UTC+8)
Abstract:	本研究探討新加坡摩根台股指數現貨與期貨價格之領先-落後關係。研究期間從 1998年 3 月 1 日至 3 月 18 日，選取現貨指數與最近月份（３月）之期貨契約每 5 分鐘成交價格，總共有 506 比觀察值。在分別以 Engle-Granger ( 1987 )的兩階段估計法與 Johansen ( 1988 )的最大概似法做共整合檢定之後，發現期貨與現貨價存在「共整合現象」，因此以 Granger ( 1986 ) 所建議的誤差修正模型檢定期貨與現貨價格的領先-落後關係。 This study investigates the lead-lag relationship of SIMEX MSCI Taiwan Index futures and spot prices. The sample period is from 1998/3/1 to 1998/3/8. From the two cointegration tests of Engle-Granger`s (1987)“Two Step Estimation” and Johansen`s(1988) “Maximum Likelihood Method”, I find a “cointegration ”relationship between spot and futures prices. And then, I use the “error correction model”to test the lead-lag relationship.
Description:	碩士國立政治大學金融研究所 85352003
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002002069
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

Files in This Item:

File	Size	Format
index.html	0Kb	HTML2	266	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...