This paper empirically explores the impact of the spot index on the exchange trade fund (ETF) indices in Taiwan, with the vector autoregressive (VAR) model revealing positive relationships between the six time-series variables. Our results indicate that the ETF 52 index has the greatest...

This paper employs an asymmetric component generalized autoregressive conditional heteroskedasticity (AC-GARCH) model to test the relation between securities transaction tax (STT) and market volatility. Proponents of an STT argue that such a tax will reduce market volatility by discouraging the...