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| Title | Arbitrage Trading and Price Discovery of the Regular and Mini Taiwan Stock Index Futures |
| Creator | 周冠男 Chou, Robin K. Chen, Yu-Lun Lee, Yen-Hsien Chang, Ya-Kai |
| Contributor | 財管系 |
| Key Words | arbitrage;price discovery;SPAN margins system;TAIFEX |
| Date | 2021-02 |
| Date Issued | 11-Apr-2022 15:43:56 (UTC+8) |
| Summary | We investigate the contributions of the Taiwan regular and mini index futures to price discovery. We find that the regular futures provide more price discovery, which is inconsistent with the findings for the US futures markets. This dominance of regular futures became relatively weaker after the introduction of the standard portfolio analysis of the risk margin system because of more arbitrage trades mainly executed by institutional investors. We show the effect of the introduction of an integrated margin system on the price-discovery processes and efficiencies for futures with the same underlying asset but different contract sizes. |
| Relation | Journal of Futures Markets, Vol.41, pp.926-948 |
| Type | article |
| DOI | https://doi.org/10.1002/fut.22192 |
| dc.contributor | 財管系 | |
| dc.creator (作者) | 周冠男 | |
| dc.creator (作者) | Chou, Robin K. | |
| dc.creator (作者) | Chen, Yu-Lun | |
| dc.creator (作者) | Lee, Yen-Hsien | |
| dc.creator (作者) | Chang, Ya-Kai | |
| dc.date (日期) | 2021-02 | |
| dc.date.accessioned | 11-Apr-2022 15:43:56 (UTC+8) | - |
| dc.date.available | 11-Apr-2022 15:43:56 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Apr-2022 15:43:56 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/139824 | - |
| dc.description.abstract (摘要) | We investigate the contributions of the Taiwan regular and mini index futures to price discovery. We find that the regular futures provide more price discovery, which is inconsistent with the findings for the US futures markets. This dominance of regular futures became relatively weaker after the introduction of the standard portfolio analysis of the risk margin system because of more arbitrage trades mainly executed by institutional investors. We show the effect of the introduction of an integrated margin system on the price-discovery processes and efficiencies for futures with the same underlying asset but different contract sizes. | |
| dc.format.extent | 2543167 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Futures Markets, Vol.41, pp.926-948 | |
| dc.subject (關鍵詞) | arbitrage;price discovery;SPAN margins system;TAIFEX | |
| dc.title (題名) | Arbitrage Trading and Price Discovery of the Regular and Mini Taiwan Stock Index Futures | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1002/fut.22192 | |
| dc.doi.uri (DOI) | https://doi.org/10.1002/fut.22192 |