期刊刊名：修平學報 　 卷期：27期

篇名出版日期：2013年9月1日

作者：王若愚,魏嘉延,Jo-Yu Wang, Chia-Yen Wei

語言：English

關鍵字：Cointegration, Index Futures, Regime Switching,共整合,指數期貨,區域轉換

被點閱次數：4次

閱讀時間：22sec

摘要：
In this paper, two non-linear cointegration models, including a modified cointegration method considering regime shifts and a threshold cointegration model, are compared with each other. Also, the results of the two non-linear modelsare compared with the original simple cointegration model to check if they are better. Thus, three models are applied to estimate the long-term relationship between two equity index returns and their corresponding futures index returns. Two data sets including MSCI Taiwan equity index and Hang-Seng equity index, from the first of 2003 to the end of 2010, are employed in this study. In the empirical test, we obtain two major results. The first, the evidence shows that the cointegration exists between the index returns and corresponding index futures returns. Generally, the estimation performance of non-linear cointegration model is between than the one of linear cointegration. The second, the cointegration model with regime shifts generally performs better than threshold cointegration model, although the later one really has some advantage in examining the asymmetric effect of residual sequence. Furthermore, the regime switching model captures the impact of subordinated-debtcrisis in 2007 to 2008.

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