The effects of derivatives introduction and weekend on the stock index return, volatility and price jump behavior in Taiwan stock market
學年 96
學期 2
發表日期 2008-06-28
作品名稱 The effects of derivatives introduction and weekend on the stock index return, volatility and price jump behavior in Taiwan stock market
作品名稱（其他語言）
著者 Ni, Yen-Sen; Chuang, Chung-Chu; Lee, Jeff T.C.; Zheng, Yu-li
作品所屬單位 淡江大學管理科學學系
出版者 Tamsui, Taipei : Tamkang University, Department of Management Sciences and Decision Making
會議名稱 The 2008 International Conference in Management Sciences and Decision Making=2008年管理科學與經營決策國際學術研討會
會議地點 臺北縣, 臺灣
摘要 This study is to investigate the effects of derivatives introduction and weekend on stock index return, volatility, and price jump behavior in Taiwan stock market by a proposed EGARCH-ARJI model. The daily data of the Taiwan Stock Exchange Capitalization Weighted Stock Index covers from January 4, 1990 to April 26, 2007. The resultants show that the price jump intensity of stock index significantly decreases after the stock index futures and options are introduced, respectively, while as the return and volatility of stock index do not change significantly. Furthermore, larger return and less volatility of the stock index exist in the last trading date in a week, and larger volatility in the first trading date in a week does, too. However, there is no weekend effect on price jump intensity of stock index. These findings can provide references for investor in making decision.
關鍵字 EGARCH-ARJI model;Derivatives Introduction;Stock Index;Weekend Effect
語言 en
收錄於
會議性質 國際
校內研討會地點 淡水校園
研討會時間 20080628~20080628
通訊作者
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 Proceedings of the 2008 International Conference in Management Sciences and Decision Making= 2008年管理科學與經營決策國際學術研討會論文集, pp.229-244
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/98540 )

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