- 期刊
THE IMPACT OF AFTER-HOURS TRADING ON FUTURES MARKETS: EVIDENCE FROM TAIWAN INDEX FUTURES
摘要
The article investigates the impact of after-hours trading on Taiwan index futures, including Taiwan stock index (TAIEX) futures and Taiwan electronics sector index futures. Taiwan Futures Exchange launches afterhours trading session starting from May 15, 2017. The empirical results show that trading volume is positively correlated with price volatility, and open interest is either negatively correlated or insignificantly correlated with price volatility. In addition, there is some evidence which indicates that after-hours trading improves the price efficiency of Taiwan index futures.
參考文獻
Barclay, M. J., & Hendershott, T. (2003). Price discovery and trading after hours. The Review of Financial Studies, 16, 1041-1073. doi:10.1093/rfs/hhg030
Bessembinder, H., & Seguin, P. J. (1992). Futures‐trading activity and stock price volatility. The Journal of Finance, 47, 2015-2034. doi:10.2307/2329008
Bessembinder, H., & Seguin, P. J. (1993). Price volatility, trading volume, and market depth: Evidence from futures markets. Journal of Financial and Quantitative Analysis, 28, 21-39. doi:10.2307/2331149
Boonvorachote, T., & Lakmas, K. (2016). Price volatility, trading volume, and market depth in Asian commodity futures exchanges. Kasetsart Journal of Social Sciences, 37, 53-58. doi:10.1016/j.kjss.2016.01.004
Chang, C.-C., Hsieh, P.-F., & Lai, H.-N. (2013). The price impact of options and futures volume in after-hours stock market trading. Pacific-Basin Finance Journal, 21, 984-1007. doi:10.1016/j.pacfin.2012.07.002