淡江大學機構典藏:Item 987654321/100507
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/100507


    Title: Mini Index Futures: Information Impacts, Relative Pricing, and Arbitrage Opportunities in the Least Frictional Markets
    Other Titles: 小型指數期貨：低摩擦市場中的資訊衝擊、相對定價與套利機會
    Authors: 林允永;謝文良
    Contributors: 淡江大學財務金融學系
    Keywords: 指數期貨;小型期貨;定價效率;套利;臺灣市場;Index futures;Mini contract;Pricing efficiency;Arbitrage;Taiwan
    Date: 2007-04
    Issue Date: 2015-03-02 17:50:39 (UTC+8)
    Publisher: 臺北市：臺灣財務金融學會
    Abstract: This paper examines the pricing relationship between the mini index futures and the regular-sized counterpart traded on TAIFEX. The mini-regular arbitraging is free from many trading impediments, providing an opportunity to investigate the arbitrage activities in an almost frictionless environment. The mini-regular pricing is highly efficient as evident by the small ex-post mispricing and unpromising ex-ante arbitrage profits. The W-shaped intraday pattern of price deviation suggests that arbitrage opportunities tend to concentrate in periods (futures opening and spot opening) of intensive information impacts. Regression results show that information relevant variables including futures volatility, volume, and open interest are significantly linked to the mini-regular price deviations. Furthermore, we find that the TX-MTX pricing efficiency is improved as the originally lagged mini contract enhances its price discovery so that the two markets respond to information impacts in a synchronous manner.
    Relation: 財務金融學刊 15(1)，頁103-134
    DOI: 10.6545/JFS.2007.15(1).4
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article
    [Graduate Institute & Department of Banking and Finance] Journal Article

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