The price continuity, return and volatility spillover effects of regular and after-hours trading

doi:10.1371/journal.pone.0299207

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/126490

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/126490

题名:	The price continuity, return and volatility spillover effects of regular and after-hours trading
作者:	Chiu, Chien-Liang;Chang, Ting-Huan;Hsiao, I-Fan;Chiou, De-Shin
日期:	2024-03-11
上传时间:	2024-11-19 12:05:30 (UTC+8)
出版者:	he Public Library of Science
摘要:	This study employs a bivariate EGARCH model to examine the Taiwan Futures Exchange's regular and after-hours trading, focusing on the critical aspects of spillover and expiration effects, as well as volatility clustering and asymmetry. The objective of this study is to observe the impact on the trading sessions in Taiwan by the influences of the European and American markets, focusing on the essential roles of the price discovery function and risk disclosure effectiveness of the regular hours trading. This research is imperative considering the increasing interconnectedness of global financial markets and the need for comprehensive risk assessment for investment strategies. It also examines the hedging behavior of after-hours traders, thereby aiming to contribute to pre-investment analysis by future investors. This examination is vital for understanding the dynamics of after-hours trading and its influence on market stability. Results indicate price continuity between both trading sessions, with regular trading often determining after-hours price ranges. Consequently, after-hours price changes can inform regular trading decisions. This finding highlights the importance of after-hours trading for shaping market expectations. Significant profit potential exists in after-hours trading open interest, which serves speculative and hedging purposes. While regular trading volatility influences after-hours trading, the reverse is not true. This suggests Taiwan market information poses a higher risk impact than European and American market data, emphasizing the unique position of the Taiwan market in the global financial ecosystem. After-hours trading volatility reflects the absorption of international market information and plays a crucial role in advance revelation of risks. This underscores the importance of after-hours trading in global risk management and strategy formulation.
關聯:	PLOS ONE
DOI:	10.1371/journal.pone.0299207
显示于类别:	[財務金融學系暨研究所] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	17	检视/开启

在機構典藏中所有的数据项都受到原著作权保护.

TAIR相关文章

数据加载中.....