10,317 research outputs found
An Empirical Examination on Taiwan's Bull and Bear Floalers:Block vs. Hull-White Approach
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Re-Examining the Hedging Behaviour and Investor's Risk Aversion for the Curreney Futures Markets:Mean-Variance vs. EMG Approach
No full textA COMPARATIVE STUDY ON THE INTERACTION OF TSE TAI-INDEX FUTURES AND TIMEX TAI-INDEX FUTURES
No full textTSE and SIMEX individually introduced the futures based on TAI-Index and MSCI Taiwan Index
since July 21, 1998 and January 9 th , 1997 respectively. We first investigate the hedging effectiveness
of TSE TAI-Index and SIMEX MSCI Taiwan Index futures on TWSI cash index first in Bayesian
approach using Gibbs Sampler. Secondly, we perform the variance ratio test about the two futures
price behavior and examine the lead-lag relation and price transmission. The data period covers from
July 21, 1998 to July 31, 1999. Our results show that TSE TAI-Index futures is significantly superior to
SIMEX MSCI Taiwan index futures and both the two Taiwan index futures do not follow the random
walk process. Also, we find that positive autocorrelation in both TSE TAI-Index and SIMEX MSCI
futures. On the aspect of lead-lag relation, we find that cash market leads futures market and the
cointegration with cash exists in each of the two index futures
The Impact of Different Profitability Measures on Determination of Security Rates of Return for the Pharmaceutical and Security Industries
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Balanced Performance Index and Its Implications: Evidence from Taiwan's Commercial Banks
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