台灣股票市場與期貨市場間價格與波動性傳遞關係之探討－EGARCH-DCC模型之應用

The purpose of this research is to test the impact of Taiwan futures trading on the spot market. We propose a bivariate EC-EGARCH-DCC (1, 1) model to investigate the dynamic price discovery and volatility spillovers between the spot and futures markets. The sample is the daily closing prices spanned from 2003/6/30 to 2005/10/27. The empirical evidence shows that: (1) in the short run, the causal relation between the two markets is bi-directional; however, from the long run perspective, the spot market plays a more important and leading role; (2) the two markets all exhibit volatility clustering effect and there is an asymmetric volatility spillover effect from the spot market to the futures market (not vice versa); in addition, a deviation from futures and spot markets' long-run equilibrium will intensify the volatility for both markets; (3) examining the dynamic conditional correlations between the two markets, we found holiday (lunar New Year) but not weekday (Thursday) effect.