Does trading method alignment improve market efficiency? Evidence from Taiwan single-stock futures market
學年 113
學期 2
出版（發表）日期 2025-07-31
作品名稱 Does trading method alignment improve market efficiency? Evidence from Taiwan single-stock futures market
作品名稱（其他語言）
著者 Chien-Liang Chiu；Jui-Cheng Hung；Chia-Feng Chen；Chia-Wei Hsieh
單位
出版者
著錄名稱、卷期、頁數 Journal of Futures Markets 45(7) , p.802-816
摘要 This study examines the impact of implementing an intraday continuous auction method in Taiwan's spot market on price discovery in the single-stock futures (SSFs) market. The findings highlight the advantages of aligning the trading method of the underlying spot market with that of the SSF market, leading to improved price discovery in SSFs. A difference-in-differences analysis validates our findings. In addition, key factors such as spread, liquidity, and information intensity significantly influence cross-sectional variation in price discovery. Notably, leverage—a fundamental feature of futures contracts—has a strong and positive effect on SSF price discovery following this alignment of trading methods.
關鍵字
語言 en
ISSN
期刊性質 國外
收錄於 SSCI EconLit
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,紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/127438 )

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