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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/139824

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/139824

Title:	Arbitrage Trading and Price Discovery of the Regular and Mini Taiwan Stock Index Futures
Authors:	周冠男 Chou, Robin K. Chen, Yu-Lun Lee, Yen-Hsien Chang, Ya-Kai
Contributors:	財管系
Keywords:	arbitrage;price discovery;SPAN margins system;TAIFEX
Date:	2021-02
Issue Date:	2022-04-11 15:43:56 (UTC+8)
Abstract:	We investigate the contributions of the Taiwan regular and mini index futures to price discovery. We find that the regular futures provide more price discovery, which is inconsistent with the findings for the US futures markets. This dominance of regular futures became relatively weaker after the introduction of the standard portfolio analysis of the risk margin system because of more arbitrage trades mainly executed by institutional investors. We show the effect of the introduction of an integrated margin system on the price-discovery processes and efficiencies for futures with the same underlying asset but different contract sizes.
Relation:	Journal of Futures Markets, Vol.41, pp.926-948
Data Type:	article
DOI 連結:	https://doi.org/10.1002/fut.22192
DOI:	10.1002/fut.22192
Appears in Collections:	[財務管理學系] 期刊論文

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