Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

The Prediction for Index Futures Returns and the Relational Analysis of Spillover Effect

Authors
Ling-ming Kung1, Shang-Wu Yu
1National Taiwan University of Science and Technology
Corresponding Author
Ling-ming Kung
Available Online October 2006.
DOI
10.2991/jcis.2006.332How to use a DOI?
Keywords
Spillover Effect; Grey Relational Theory; Grey Prediction
Abstract

This paper adopts the grey prediction methods, to investigate the return and volatility of major index futures among American and Eurasian markets. The grey relational theory and GM(1,N) model are further used to observe the volatility spillover effect and find the main influence factor in the volatility relatedness about the rate of returns of index futures. In terms of the prediction error, it is exhibited that GM(1,1) is not good for prediction. It also reveals by GM(1,N) that the rate of daily return of Dow Jones is the main influence factor on other index futures rate of returns. In conclusion, the American market firmly dominates global stock markets and forward markets.

Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
Series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
10.2991/jcis.2006.332How to use a DOI?
Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Ling-ming Kung
AU  - Shang-Wu Yu
PY  - 2006/10
DA  - 2006/10
TI  - The Prediction for Index Futures Returns and the Relational Analysis of Spillover Effect
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.332
DO  - 10.2991/jcis.2006.332
ID  - Kung2006/10
ER  -