Price Volatility, Trading Activity and Market Depth: Evidence from Taiwan and Singapore Taiwan Stock Index Futures Markets

Wen-Hsiu Kuo ； Hsinan Hsu ； Chwan-Yi Chiang

《Asia Pacific Management Review》 10卷2期 (2005/04) Pp. 131-143

https://doi.org/10.6126/APMR.2005.10.2.05

並列摘要

This study empirically investigates the relations among price volatility, trading activity and market depth for some selected futures contracts traded on the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Division (SGX-DT). Two different methodologies, the OLS-based and GARCH-based models, are used to test the robustness of the result and to obtain a sensitivity check. The major findings of this investigation are as follows. First, the estimates of the conditional mean function of the two futures markets are consistent with weak-form efficiency. Second, the evidence suggests that volatility is higher during periods of high futures trading volume for the TAIFEX and SGX-DT futures markets, supporting the mixture of distribution hypothesis by Clark (1973). Lastly, inconsistent with market depth theories, this study demonstrates that existing market depth does not mitigate volatility in the SGX-DT and TAIFEX futures markets. This result is noteworthy because it provides evidence that the relation between price volatility and market depth may vary with the market maturity.

並列關鍵字

Price volatility ； Trading activity ； Market depth ； Stock index futures ； GARCH

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