Price discovery in stock index: an ARDL-ECM approach in Taiwan case

Price discovery in stock index: an ARDL-ECM approach in Taiwan case In this study, we examine the lead-lag effect between stock index futures and its spot markets in Taiwan by employing a newly developed econometrics method, ARDL-ECM approach. The advantage of applying such technique is to avoid earlier ambiguous causality testing procedure, and it can provide more clearly representation of a stable unidirectional price discovery process. By verifying intraday data, we find that the futures prices lead spot markets for about 30 min during the year 2004. Moreover, during the presidential election period which caused political turbulent in Taiwan, the function of future market supposed as the dominated role of price discovery becomes futility. Such findings are consistent with the ‘surprising election outcomes’ phenomenon. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Quality & Quantity Springer Journals

Price discovery in stock index: an ARDL-ECM approach in Taiwan case

Loading next page...
 
/lp/springer_journal/price-discovery-in-stock-index-an-ardl-ecm-approach-in-taiwan-case-qDP1u9lykb
Publisher
Springer Netherlands
Copyright
Copyright © 2011 by Springer Science+Business Media B.V.
Subject
Social Sciences; Methodology of the Social Sciences; Social Sciences, general
ISSN
0033-5177
eISSN
1573-7845
D.O.I.
10.1007/s11135-011-9433-1
Publisher site
See Article on Publisher Site

Abstract

In this study, we examine the lead-lag effect between stock index futures and its spot markets in Taiwan by employing a newly developed econometrics method, ARDL-ECM approach. The advantage of applying such technique is to avoid earlier ambiguous causality testing procedure, and it can provide more clearly representation of a stable unidirectional price discovery process. By verifying intraday data, we find that the futures prices lead spot markets for about 30 min during the year 2004. Moreover, during the presidential election period which caused political turbulent in Taiwan, the function of future market supposed as the dominated role of price discovery becomes futility. Such findings are consistent with the ‘surprising election outcomes’ phenomenon.

Journal

Quality & QuantitySpringer Journals

Published: Mar 23, 2011

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve Freelancer

DeepDyve Pro

Price
FREE
$49/month

$360/year
Save searches from
Google Scholar,
PubMed
Create lists to
organize your research
Export lists, citations
Read DeepDyve articles
Abstract access only
Unlimited access to over
18 million full-text articles
Print
20 pages/month
PDF Discount
20% off