A Comparison of Asymmetric Volatility in Taiwan Futures Markets before and after the Global Financial Crisis

[[abstract]]本文旨在探討全球金融危機前後，臺灣期貨市場之波動不對稱現象之變動情形，並利用波動模型之估計值進一步檢測其對交易活動之領先落後關係。首先，本研究利用EGARCH及GJR-GARCH模型檢測波動不對稱程度。隨後，利用Granger因果測驗探討價格波動與交易活動之領先落後關係。經實證結果發現：(1)臺灣期貨市場確實存在波動不對稱性，且大致與波動回饋效應假說一致；(2)於金融危機後波動不對稱之幅度有減緩趨勢；(3)交易活動中以未預期成交量對報酬波動影響最為顯著。而於金融危機之後期間，各期貨契約之未平倉量對報酬波動均呈現顯著影響。(4)報酬波動與交易活動大致符合連續訊息到達模型。[[abstract]]The purpose of this work is to examine the variations in magnitude of the asymmetry volatility and in volatility-volume relationship in Taiwan futures markets for the period before and after the global financial crisis First we fundamentally conduct the empirical analyses by employing EGARCH and GJR-GARCH models to study the phenomenon of asymmetry volatility Further using these estimates we employ Granger causality test to investigate the volatility-volume relationship Consequently the results indicate that there is asymmetry volatility phenomenon in Taiwan futures markets indeed The magnitude of asymmetric volatility is slightly mitigated after global financial crisis and consistent with volatility feedback effect In addition the unexpected trading activities significantly lead the return volatility and this finding is consistent with the sequential information arrival hypothesis where trading activities and return volatility follow a lead-lag patter