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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


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    题名: Arbitrage Trading and Price Discovery of the Regular and Mini Taiwan Stock Index Futures
    作者: 周冠男
    Chou, Robin K.
    Chen, Yu-Lun
    Lee, Yen-Hsien
    Chang, Ya-Kai
    贡献者: 財管系
    关键词: arbitrage;price discovery;SPAN margins system;TAIFEX
    日期: 2021-02
    上传时间: 2022-04-11 15:43:56 (UTC+8)
    摘要: 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.
    關聯: Journal of Futures Markets, Vol.41, pp.926-948
    数据类型: article
    DOI 連結: https://doi.org/10.1002/fut.22192
    DOI: 10.1002/fut.22192
    显示于类别:[財務管理學系] 期刊論文

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