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The main purpose of the study is to explore the dynamic relationship among the TAIEX spot, futures, and options markets by
proposing an innovative multivariable GARCH-M MSKST (Multivariate Skewed-Student distribution) model. In addition to the considerable
feedback effects of these three markets in terms of return transmissions, a significant bidirectional relationship is also
found in volatility transmissions between futures and spot markets, and unidirectional spillover occurs from futures to options
markets. Specifically, futures are found to exert the most influence on spot and options, and play an important role in disclosing
information and pricing discovery to the other two markets. Comparing the magnitude of the effect the positive and negative
basis has on spot prices, it is evident that positive basis has a greater impact on the spot market than negative basis does.
Of interest, our study shows that positive basis has even more effect than negative basis does on the conditional variance
of return on spot and futures.
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Kai-Li WangEmail: |