caa a22 4500 463187458 CHVBK 20180406164858.0 cr unu---uuuuu 170326e20071101xx s 000 0 eng 10.1007/s11156-007-0050-y doi (NATIONALLICENCE)springer-10.1007/s11156-007-0050-y The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework [Elektronische Daten] [Kai-Li Wang, Mei-Ling Chen] The main purpose of the study is to explore the dynamic relationship among the TAIEX spot, futures, and options markets by proposing an innovative multivariable GARCH-M MSKST (Multivariate Skewed-Student distribution) model. In addition to the considerable feedback effects of these three markets in terms of return transmissions, a significant bidirectional relationship is also found in volatility transmissions between futures and spot markets, and unidirectional spillover occurs from futures to options markets. Specifically, futures are found to exert the most influence on spot and options, and play an important role in disclosing information and pricing discovery to the other two markets. Comparing the magnitude of the effect the positive and negative basis has on spot prices, it is evident that positive basis has a greater impact on the spot market than negative basis does. Of interest, our study shows that positive basis has even more effect than negative basis does on the conditional variance of return on spot and futures. Springer Science+Business Media, LLC, 2007 Stock nationallicence Futures nationallicence Options nationallicence GARCH nationallicence Distribution nationallicence Basis nationallicence Asymmetric volatility nationallicence Wang Kai-Li Department of Finance, Tunghai University, 407, Taichung, Taiwan aut Chen Mei-Ling Department of International Business Management, Da-Yeh University, Dacun, Changhua, Taiwan aut Review of Quantitative Finance and Accounting Springer US; http://www.springer-ny.com 29/4(2007-11-01), 371-394 0924-865X 29:4<371 2007 29 11156 https://doi.org/10.1007/s11156-007-0050-y text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11156-007-0050-y text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Wang Kai-Li Department of Finance, Tunghai University, 407, Taichung, Taiwan aut NATIONALLICENCE 700 1- Chen Mei-Ling Department of International Business Management, Da-Yeh University, Dacun, Changhua, Taiwan aut NATIONALLICENCE 773 0- Review of Quantitative Finance and Accounting Springer US; http://www.springer-ny.com 29/4(2007-11-01), 371-394 0924-865X 29:4<371 2007 29 11156 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer