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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16913
Title: | 美國量化寬鬆政策對台指期貨之市場效率性影響 U.S. Quantitative Easing Policy Effect on TAIEX Futures Market Efficiency |
Authors: | Bor-Han Lin 林伯翰 |
Advisor: | 蘇永成 |
Keyword: | 量化寬鬆,GARCH,市場效率性,買賣單不對稱,波動率, QE,GARCH,Market Efficiency,Order Imbalance,Volatility, |
Publication Year : | 2014 |
Degree: | 碩士 |
Abstract: | This paper focuses on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) Futures market efficiency after announcement of Quantitative Easing (QE) policy. We introduced order imbalance to our study and applied it to OLS and GARCH (1, 1) model to examine the relation between return and order imbalance.
The empirical results show that (1) with unconditional OLS model, lagged order imbalances have no significantly positive predictive power for current return. However, on the trading day after the announcement of QE 1, lagged order imbalance shows predictive power for current return for 1-minute interval, (2) with conditional OLS model, the reversed relation between current return and lagged order imbalance is not universal in QE 1; on the other hand, the reversed relation between current return and lagged order imbalance in QE 2 is more common, (3) with Return-GARCH (1, 1), positive relation between order imbalance and return can be easily observed, and we see no clear change on coefficient after announcement, (4) with Volatility-GARCH (1, 1), significantly positive relation between order imbalance and volatility shows up for 1-minute interval; on the other hand, there is no significant relation between those for 5- and 10-minute interval. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16913 |
Fulltext Rights: | 未授權 |
Appears in Collections: | 財務金融學系 |
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ntu-103-1.pdf Restricted Access | 2.76 MB | Adobe PDF |
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