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1、学号：200448101228关于QFII制度对股票市场的影响与对策分析的外文翻译批注[雨林木风1]:黑体小二号居中批注[雨林木风2]:黑体小一号居中姓名:XXX学号:2005XXXXXXX系别：金融与贸易系专业班级：05级国际经济与贸易X班批注【雨林木风3]:黑体小二号加粗，单倍行距，缩进6个字符TheImpactofIntroductionofQFIITradingontheLeadandVolatilityBehavior:EvidenceforTaiwanIndexFuturesMarketWen-HsiuKuoDepartmentofBusinessAdminis
2、trationNationalChengKungUniversityandDepartmentofFinanceLingTungUniversity1,LingtungRoad,Nantun408TaichungCity,Taiwanwhkuo@mail」tu.edu.twShih-JuChanDepartmentofBusinessAdministrationKaoYuanUniversity1821,Chung-ShanRd.,Lu-ChuHsiangKaohsiungCounty821,Taiwanvicki345tw@yahoo.com3.Methodology3・
3、1・CointegrationtestandvectorerrorcorrectionmodelFirst,wetestthemarketefficiencyhypothesis(MEH)inTaiwanindexfuturesmarketbyexaminingwhetherthecointegratedrelationship(i.c.,long-runequilibriumrelationship)amongfutures,spotpricesandseveralmacroeconomicfactorsexistsbeforeandaftertheopeningupof
4、futuresmarkettoQFII・Giventhatthefivevariablesareintegratedoforderone,thecointegrationtestproposedbyJohansenandJuselius(1990)isperformed.Iftherearecointegratedrelationshipsamongfutures,spotpricesandseveralmacroeconomicfactors,thenwesuggestthatsomemarketinefficiencyexistsinTaiwanindexfutures
5、market・Second,forcointegratedseries,GrangercausalitytestsneedtobeperformedinthecorrespondingVECMframeworkaccordingtotheGrangerRepresentationTheoremproposedbyEngleandGranger(1987).ThisstudyemploystheVECMtoexaminewhetherthelead・lagrelationshipbetweenthefuturesandspotmarketsdiflersforthepre-a
6、ndpost-QFIIperiods.Tocontroleffectsofmacroeconomicfactorsontherelationshipbetweenthefuturesandspotmarkets,wcincorporatethemacroeconomicfactorsintotheVECM・Therefore,thispaperadoptsthefollowingVECM7frameworkwithfivevariablestostudythelead-lagrelationshipbetweenthefuturesandspotmarketsforthep
7、rc-QFII,post-QFII,andwholeperiods,respectivelynlmlnlol△尺=“1+/力乙1+(^△珂―交+61z++〉:i+oif(1)n2m2n2o2△S]=“2+02乙_1+、:"22△耳—0+、：bb^St—a+、:i=li=li=l沁(2)+、[]€^2/+£2ti=1i=1Additionally,inordertotesttheimpactofstructuralchangeduetotheintroductionofQFIIontheshorttermdynami
