Category - Ya-Chuan CHAN

This paper discusses the changes of Taiwan stock index futures’(TF) return rate before and during COVID-19, using the nonlinear regression model to compare the differences as the explanatory variables including the time variable, MSCI Morgan Taiwan index, and Taiwan stock price index (TAIEX). We find that the three kinds of return rates do not satisfy the Normal distribution assumption of regression analysis. Then we follow Wang and Lee (2019) to run nonlinear regression to find the optimal nonlinear estimators. There are three results. One is that the time variable can grab the oscillations of TF’s return rates before COVID-19 and the whole observation period. During COVID-19, the time variable did not display the oscillation effect of TF’s return rates. In contrast, MSCI Morgan Taiwan index’s return rates appeared the oscillation effect. Second, the return rates of TAIEX have invariable function form and coefficient sign. This implies that COVID-19 did not affect the positive...