The Relative Rate of Price Discovery and Liquidity between the Regular – sized Taiwan Index Futures and Mini Contract
學年 99
學期 2
出版(發表)日期 2011-06-01
作品名稱 The Relative Rate of Price Discovery and Liquidity between the Regular – sized Taiwan Index Futures and Mini Contract
作品名稱(其他語言) 台指期貨與迷你台指期貨契約的相對價格發現與流動性
著者 林允永; Lin, Yun-yung
單位 淡江大學財務金融學系
出版者 新北市:真理大學
著錄名稱、卷期、頁數 真理財經學報 24,頁67-94
摘要 This article examines the liquidity hypothesis of price leadership, which suggests a positive influence of trading intensity to price discovery. We compare intraday price discovery between two futures contracts: the regular-sized Taiwan index futures (TX) and its mini contracts (MTX). Using data matching techniques to distinguish the impact of liquidity on price discovery, we find that a nontrivial portion (average 13%) of the TX information share can be attributable to its higher trading frequency. In addition, the information leading tendency of TX strengthens when the TX trading volume rises relative to the MTX volume.
關鍵字 流動性; 價格發現; 資訊份額; 迷你台指期貨; Liquidity; Price Discovery; Information Share; Mini Index Futures
語言 en
ISSN 1609-8919
期刊性質 國內
收錄於
產學合作
通訊作者 林允永
審稿制度
國別 TWN
公開徵稿
出版型式 紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/78833 )

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