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Title page for etd-0504104-131619


URN etd-0504104-131619 Statistics This thesis had been viewed 1646 times. Download 8 times.
Author Chih-Ming Chen
Author's Email Address No Public.
Department Management Business Administration
Year 2003 Semester 1
Degree Master Type of Document Master's Thesis
Language English Page Count 118
Title The Study of Factors Impacting Price & Volume
Volatility on Spot Stock &Future Index
Market In Taiwan
Keyword
  • volatility
  • stock transfer balance
  • option
  • money supply (m1b)
  • money supply (m1b)
  • option
  • stock transfer balance
  • volatility
  • Abstract This study explores the factors that influence the price and volume volatility
    of Taiwan spot and futures’ index. There are two major sections in this study. The first one is the study of the volatility of the Taiwan index option, including spot and futures, pre- and post-listed. Major underlying commodities in section one are the following 12 pair samples: Taiwan spot index, financial sector index, electronic stock index, volume of Taiwan stock market, volume of financial sector, volume of electronic sector, Taiwan equity index futures, financial sector index futures, electronic sector index futures, volume of Taiwan equity index futures, volume of financial sector futures and volume of electronic stock futures. The second section is the regression analysis of Taiwan spot index, money supply (m1b), and stock transfer balance on
    Taiwan stock transaction amounts, and the results are as below:
    1. This study discovered that the volatility of the spot and futures index are reduced significantly when public listing of Taiwan stock index option, pre- and post-listed.Exceptions are the volatility of volume of Taiwan equity index futures, volume of electronic futures, and volume of financial futures transaction. And the volatility for the spot is higher than the futures regardless of the influence intensity of price to volume.
    2. By assuming Taiwan spot transaction amounts as dependent variable (DV) and money supply m1b, stock transfer balance, and Taiwan spot index as independent variables,there could exist three independent variables that have high explanatory to the influence of volume of Taiwan stock transaction. And the R square results revealed that except money supply (m1b) is less significant, the stock transfer balance and Taiwan spot index are all reached to significant level.
    3. We use Taiwan stock transaction volume and Taiwan’s equity index as DV respectively,and use stock transfer balance and option multiply stock transfer balance and option as independent variable; and use Taiwan stock transaction amounts and Taiwan’s equity index as DV respectively, and use money supply (m1b), option, and money supply(m1b) multiply option as independent variable to carry out regression analysis respectively ,and it is discovered that regardless of intervening variables (option) in Taiwan’s equity index, the stock transfer balance to Taiwan stock transaction amounts have significance between DV and independent variables. While the coefficient with intervening variables reached to significance, it means there is the moderating effect, i.e., money supply (m1b) to Taiwan’s equity index and transaction volumes’ significance is more reduced after putting the intervening variables, into consideration.
    Advisor Committee
  • Hao-Erl Yang - advisor
  • Chin-Tan Huang - co-chair
  • Hsien-Che Lee - co-chair
  • Files indicate in-campus access only
    Date of Defense 2004-01-20 Date of Submission 2004-05-04


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