淡江大學機構典藏:Item 987654321/122910
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/122910


    Title: The Influence of Hedge, Arbitrage, and After-Hours Trading on the Holding Returns of TAIEX Futures
    Authors: Lin, Chien-Chih;Lee, Yuan Chung;Su, Chien-Jen;Lin, Pei-Ling
    Keywords: non-trading effect;hedging demand;arbitrage;after-hour trading
    Date: 2023-01-10
    Issue Date: 2023-04-28 16:26:04 (UTC+8)
    Publisher: MDPI AG
    Abstract: This study points out a new explanation of the non-trading effect of financial derivatives from the perspective of hedging demand. We examine the influence of hedging demand on the non-trading effect of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) Futures. By dividing the sample period into trading period and non-trading period and testing the difference between the risk premiums in these two intervals, we find that there is a non-trading effect in TAIEX Futures, which means that the holding returns of TAIEX Futures in the non-trading period are higher than those in the trading period. By estimating a dummy-regression model, the evidence shows that when the VIX (Taiwan Index Option Volatility Index) indicator is relatively high, the non-trading effect will be more significant, indicating that the non-trading effect may come from investors’ hedging needs. In addition, it is found that when the futures index is higher than the spot index, the non-trading effect becomes less obvious. The possible reason is that when there is a positive spread in index futures, investors will expect a bull market, thus reducing the hedging demand of index futures. In the end, we find that the liquidity in the after-hours trading session is poor, resulting in high hedging costs, and forcing investors to hedge during the regular trading period. Therefore, the after-hours trading of TAIEX Futures fails to reduce the non-trading effect.
    Relation: Axions 12(1), p.71
    DOI: 10.3390/axioms12010071
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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