Do Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets

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題名:	Do Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets
其他題名:	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
作者:	戴敏育
關鍵詞:	Index futures;day trading;investment strategy;large price changes
日期:	2018-06-30
上傳時間:	2019-10-08 12:10:14 (UTC+8)
出版者:	臺灣財務金融學會
摘要:	Journal of Financial Studies: 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, which is defined as intraday large price change in this study. We argue that the intraday large price change would stimulate the sentiments of investors and even induce investors to trade the C300F. To the best of our knowledge, the aforementioned issue has not been examined in the relevant literature. 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.
關聯:	Journal of Financial Studies
顯示於類別:	[資訊管理學系暨研究所] 專書

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