教師資料查詢 | 類別: 期刊論文 | 教師: 謝文良HSIEH WEN-LIANG (瀏覽個人網頁)

標題:Mini Index Futures: Information Impacts, Relative Pricing, and Arbitrage Opportunities in the Least Frictional Markets
學年95
學期2
出版(發表)日期2007/04/01
作品名稱Mini Index Futures: Information Impacts, Relative Pricing, and Arbitrage Opportunities in the Least Frictional Markets
作品名稱(其他語言)小型指數期貨:低摩擦市場中的資訊衝擊、相對定價與套利機會
著者林允永; 謝文良
單位淡江大學財務金融學系
出版者臺北市:臺灣財務金融學會
著錄名稱、卷期、頁數財務金融學刊 15(1),頁103-134
摘要This paper examines the pricing relationship between the mini index futures and the regular-sized counterpart traded on TAIFEX. The mini-regular arbitraging is free from many trading impediments, providing an opportunity to investigate the arbitrage activities in an almost frictionless environment. The mini-regular pricing is highly efficient as evident by the small ex-post mispricing and unpromising ex-ante arbitrage profits. The W-shaped intraday pattern of price deviation suggests that arbitrage opportunities tend to concentrate in periods (futures opening and spot opening) of intensive information impacts. Regression results show that information relevant variables including futures volatility, volume, and open interest are significantly linked to the mini-regular price deviations. Furthermore, we find that the TX-MTX pricing efficiency is improved as the originally lagged mini contract enhances its price discovery so that the two markets respond to information impacts in a synchronous manner.
關鍵字指數期貨;小型期貨;定價效率;套利;臺灣市場;Index futures;Mini contract;Pricing efficiency;Arbitrage;Taiwan
語言中文
ISSN
期刊性質國內
收錄於TSSCI;
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,紙本
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