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 Chien-Liang Chiu; Ting-Huan Chang; I-Fan Hsiao; De-Shin Chiou
單位
出版者
著錄名稱、卷期、頁數 PLOS ONE
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, after-hours 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.
關鍵字
語言 en_US
ISSN
期刊性質 國外
收錄於 SCI Scopus
產學合作
通訊作者
審稿制度 是
國別 USA
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/987654321/126490 )

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