The Information Transmission between Two Substitutes of Index Futures: The Case of TAIEX and Mini-TAIEX Stock Index Futures

Ching-Chung Lin ； Hsinan Hsu ； Chwan-Yi Chiang

《Asia Pacific Management Review》 9卷4期 (2004/08) Pp. 689-707

https://doi.org/10.6126/APMR.2004.9.4.07

並列摘要

Past studies propose many possible explanations to the lead-lag relationship. However, it is not easy to clarify the contributions of contract differences, which simultaneously exist among those highly related financial securities, to the lead-lag phenomenon. The TAIEX and the Mini-TAIEX stock index futures are identical except for their contract sizes and the trading volume of the TAIEX index futures is much higher than that of the Mini-TAIEX. By employing the vector error correction model (VECM), Gonzalo-Granger information share, and generalized impulse response functions and variance decompositions, this paper finds that there exists a strong information transmission from the TAIEX index futures to the Mini-TAIEX index futures. This result suggests that, due to higher liquidity, the TAIEX index futures play a significantly important role in price discovery.

並列關鍵字

Generalized impulse response functions ； Information transmission ； Information share ； Index futures

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