中國臺灣地區(qū)股指期貨與現(xiàn)貨交易的互動關系分析.pdf

1、林歡歡中國臺灣地區(qū)股指期貨與現(xiàn)貨交易的互動關系分析目錄中文摘要..............................................……英文摘要..............................................……引言..........................................……，.……第一章緒論..................................

2、.........……第一節(jié)研究的背景與意義...........................……第二節(jié)研究的思路與框架...........................……第三節(jié)創(chuàng)新點.....................................……第二章文獻綜述..................................……，.…第三章研究方法...............................

3、........……第一節(jié)臺灣地區(qū)股指期貨與現(xiàn)貨概況.................……第二節(jié)數(shù)據(jù)來源與處理.............................……第三節(jié)研究模型...................................……第四章實證結果.......................................……第一節(jié)單位根檢驗.................................…

4、…第二節(jié)協(xié)整檢驗...................................……第三節(jié)向量誤差修正模型...........................……第四節(jié)格蘭杰因果檢驗.............................……第五節(jié)脈沖響應函數(shù)...............................……第六節(jié)預測誤差方差分解……，二，.................……第五章全文總結..........

5、.............................……參考文獻..............................................……后記..................................................……附錄..................................................……注釋...........................

6、.........……，.......……..……2..……3..……4……。。勻二?！?。.0..……6..……6..……7.……11.……11.……14…，…16.……22.……23.……23.……24.……28.……31.……35.……41.……43.……45.……46.……00材、又欠歡中國臺灣地區(qū)股指期貨與現(xiàn)貨交易的互動關系分析AbstractMostresearehesofl’AIEXandl人IFEXinliterature

7、s.seldomtookthedi且brenttimetrendintoeonsideration.ThisPaperaimstostudythelead一lagrelationshiPbetweenl，AIEXTAIFEXindifferenttimetrend.Inaeedaneetothejudgmentsofbullandbearmarkets(FabozziFrancisZumwalt，1977:KimandZumwalt，1

8、979)，4sectionsaredividedandseleeted:bullmarket，bearmarket，bull一bearreversalandbear一bullreversal.Cointegrationtest.VectorErrorCorrectionmodel，GrangerCausalitytest，ImPulseResPonseFunctionandForeeastingError丫么rianeeDecomPos

9、itionareusedtostudythelead一lagrelationshiPbetweenTAIEXandTAIFEXinbullandbearmarkets.TheemPiriealresultsareasfollows:1.Inthebullmarket，TAIEX15leadingintheshortterm.TAIFEX15Ieadingwhenlong一termequilibrium15achieved，rePrese

10、ntingTAIFEXdiseoverPrieewellinthelongterm.2.Inthebearmarket，nomaterinthelongtermorintheshortterm，丁AIFEX15alwa)‘5leading，whichmeansmoreinfmation15Passedtothe工入IEXmarketfromtheTAIFEXmarket.3.Inbljll一bearreversal.T日AIEXlead

11、intheshortternlwhileTAIEXandl認IFEXleadinturnwhenachie、廠inglong一termequilibriumbutTAIEXhaslargeramPlitude.4.Inbear一bullreversal.there15noelearIead一lagrelationshiPbetweenl’AIEXandTAIFEX，whileTAIEXandTAIFEXleadinturnwhenaeh