The price continuity, return and volatility spillover effects of regular and after-hours trading
學年 112
學期 2
出版（發表）日期 2024-03-11
作品名稱 The price continuity, return and volatility spillover effects of regular and after-hours trading
作品名稱（其他語言）
著者 Chiu, Chien-liang
單位
出版者
著錄名稱、卷期、頁數 PLOS ONE 19(3),　e0299207
摘要 This study employs a bivariate EGARCH model to examine the Taiwan Futures Exchange’s regular and after-hours trading, focusing on the critical aspects of spillover and expiration effects, as well as volatility clustering and asymmetry. The objective of this study is to observe the impact on the trading sessions in Taiwan by the influences of the European and American markets, focusing on the essential roles of the price discovery function and risk disclosure effectiveness of the regular hours trading. This research is imperative considering the increasing interconnectedness of global financial markets and the need for comprehensive risk assessment for investment strategies. It also examines the hedging behavior of after-hours traders, thereby aiming to contribute to pre-investment analysis by future investors. This examination is vital for understanding the dynamics of after-hours trading and its influence on market stability. Results indicate price continuity between both trading sessions, with regular trading often determining after-hours price ranges. Consequently, afterhours price changes can inform regular trading decisions. This finding highlights the importance of after-hours trading for shaping market expectations. Significant profit potential exists in after-hours trading open interest, which serves speculative and hedging purposes. While regular trading volatility influences after-hours trading, the reverse is not true. This suggests Taiwan market information poses a higher risk impact than European and American market data, emphasizing the unique position of the Taiwan market in the global financial ecosystem. After-hours trading volatility reflects the absorption of international market information and plays a crucial role in advance revelation of risks. This underscores the importance of after-hours trading in global risk management and strategy formulation. Introduction The futures market plays a crucial role in financial ecosystems, performing key functions such as speculation, hedging, and price discovery. A well-established futures market is vital for the overall health of the securities market. In this context, the Taiwan Futures Exchange (TAIFEX) PLOS ONE PLOS ONE
關鍵字 spillover effects bivariate EGARCH model Taiwan Futures after-hours trading
語言 en
ISSN 1932-6203
期刊性質 國外
收錄於 SCI
產學合作
通訊作者
審稿制度 是
國別 TWN
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/125456 )

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