英文摘要 |
The purpose of this paper is to investigate how to improve the efficiency of investment on Taiwan futures market after financial crisis in 2008. In order to explain the strategy, augmented Dickey–Fuller test for unit root is examined in the univariate framework and Johansen's maximum likelihood procedure is used to test the cointegration method and to estimate the number of cointegrating vectors of VAR model. It indicates that Taiwan’s futures market does not fulfill the strong-form efficient market condition. Furthermore, adopting the information of security landing and the information of EXF, we prove that the positive feedback effect of investment strategy does exist in Taiwan’s futures market. Meanwhile, using our VECM, we estimate the futures index of Taiwan. The value of MAPE is less than 1%(0.0092). |