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引文資料
題名:
Lead-lag Relationship between the Implied Expected Growth Rate of Index Futures and the Return of the Index Spot
書刊名:
Asia Pacific Management Review
作者:
Hsu, Hsinan
/
Lin, Ching-chung
/
Huang, Chin-sheng
/
Wu, Yi-chen
出版日期:
2007
卷期:
12:1
頁次:
頁33-42
主題關鍵詞:
Lead-lag
;
Market imperfection
;
Pricing of index futures
;
Taiwan
;
Vector auto regression
;
VAR
原始連結:
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相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:33
The impact of market imperfections is tremendous. They influence not only the pricing of financial assets, but also the dynamic relationship among financial instruments. Hsu and Wang (2004) develop a pricing model of stock index futures in imperfect markets, providing a method for estimating the implied expected growth rate. By using the vector auto regression (VAR) model, Granger causality test, and generalized impulse response function (GIRF), this study investigates the lead-lag relationship between the expected growth rate implied by the prices of index futures and the rate of return of the underlying index spot. The empirical result shows that the lead-lag relationship is weaker in the mature US markets than in the emerging Taiwanese markets. Moreover, it also shows a less significant lead-lag relationship in the US markets as Taiwanese markets do. The empirical evidence supports the hypothesis that the lead-lag relationship between the implied expected growth rate and the index spot return should become weaker as the degree of market imperfection decreases.
以文找文
期刊論文
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2.
許溪南、王健聰(2004)。Price Expectation and the Pricing of Stock Index Futures。Review of Quantitative Finance and Accounting,23(2),167-184。
3.
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4.
Koop, Gary、Pesaran, M. H.、Potter, Simon M.(1996)。Impulse Response Analysis in Nonlinear Multivariate Models。Journal of Econometrics,74(1),119-147。
5.
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6.
Hemler, M. L.、Longstaff, F. A.(1991)。General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence。Journal of Financial and Quantitative Analysis,26,287-308。
7.
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8.
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9.
Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The Temporal Price Relationship between S&P 500 Futures and S&P Index。Journal of Finance,42(5),1309-1329。
10.
Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies,5(1),123-152。
11.
Cornell, B.、French, K. R.(1983)。The Pricing of Stock Index Futures。The Journal of Futures Markets,3(1),1-14。
12.
Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。
13.
Schmalensee, Richard、Trippi, Robert R.(1978)。Common Stock Volatility Expectations Implied by Option Premia。Journal of Finance,33(1),129-147。
14.
Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。
15.
Wang, J.、Hsu, H.(2006)。Degree of Market Imperfection and the Pricing of Stock Index Futures。Applied Financial Economics,16,245-258。
16.
Wachtel, P.、Figlewski, S.(1981)。The Formation of Inflationary Expectations。The Review of Economics and Statistics,63,1-10。
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