An Empirical Study on Factors Influencing Taiwans Future Basis of Securities Market

Abstract:

The results of this research indicate that among Taiex futures (ticker symbol: TX), Electronic Sector index futures (ticker symbol: TE), and Finance Sector Index futures (ticker symbol: TF); market interest rate, volatility, and liquidity all have significant influences on the basis of the same period. Furthermore, when VAR is used to examine if these three factors are leading indicators of basis; the results indicate that only the basis of Taiex futures is significantly affected by these three factors. In addition, this research also discovers that basis is affected by previous one or two periods basis, which reveals that basis is highly auto correlated.

• Periodical: Advanced Materials Research (Volumes 798-799)
• Pages: 869-872
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.798-799.869
• Online since: September 2013
• Authors: Yung Chieh Chien
• Keywords: Basis Points, Interest Rate, Liquidity, Volatility

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