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The Dynamic Causal Relationship between Stock Market and Derivative Market in Hong Kong Undying EGARCH Model

Author: LiuXiaoYu
Tutor: FuQiang
School: Chongqing University
Course: Applied Mathematics
Keywords: Covered warrants Underlying stock Causality ARCH effect
CLC: F832.5
Type: Master's thesis
Year: 2008
Downloads: 190
Quote: 1
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Abstract


With the equipment warrants booming domestic equipment smooth issuance of warrants and the study of the causal relationship between the rate of return and trading volume of the stock and warrants markets become increasingly meaningful , this study helps understanding of the microscopic structure of the stock and warrants within the market , information dissemination , and price distribution characteristics , this study is also an important means of arbitrage opportunities and market efficiency . Study the dynamic relationship of the market warrants and stock markets in Hong Kong , to help offer constructive suggestions on the domestic market . ' Amount - price of the warrants and stock in the Hong Kong market ' as the research object , using Eviews software and Matlab programming , linear and non-linear causal relationship between the Hong Kong warrants and stock market made ??an empirical test , the two markets bidirectional causality . EGARCH model filtering based on the volatility of the ARCH effect is an important cause of the stock market gains nonlinear structure , trading volume and yield between nonlinear guide may only be related to the speed of information flow associated variance effect result two markets , the rate of change of rate of return and trading volume volatility causality test . The results show that the ARCH effect in Hong Kong warrants market , ARCH effect of the stock market is not very significant , the EGARCH model filtering warrants market \after filtration , the rate of change of the trading volume of warrants yield the nonlinear Granger guide obvious decline; the results also show that the causality of the warrants market on the stock market is stronger than the stock market for the warrants market causality . Therefore , in the Hong Kong warrants market occupy the leading position in the flow of information from the warrants market stock market . In this paper, the course of the development of the warrants in Hong Kong as well as the leading role of the stock covered warrants obtained warrants the development of Hong Kong to mainland warrants the development of inspiration and reference .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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