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    Title: Do Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets
    Other Titles: 日內大幅價格變化對交易指數期貨重要嗎?中國期貨市場的證據
    Authors: Min-Yuh Day;Paoyu Huang;Yensen Ni;Yuhsin Chen
    Keywords: day trading;investment strategy;large price changes
    Date: 2018-06-30
    Issue Date: 2018-08-08 12:10:38 (UTC+8)
    Publisher: Taiwan Finance Association
    Abstract: By employing intraday tick data due to big data concerns, we examine whether investors profit by day trading China Stock Index 300 Futures (C300F) as the C300F index rises (falls) over considerable points in a minute defined as intraday large price change. We argue that the intraday large price change might induce investors to trade the C300F. Results reveal that investors are likely to make profits by taking short positions on the C300F right after the occurrence of the intraday large price change, except when the C300F falls from extremely high points like 20 points in a minute.
    Relation: Journal of Financial Studies 26(2), p.139-174
    DOI: 10.6545%2fJFS.201806_26(2).0004
    Appears in Collections:[Graduate Institute & Department of Information Management] Journal Article

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