Regulatory changes and information competition: The case of Taiwan index futures

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Title:	Regulatory changes and information competition: The case of Taiwan index futures
Authors:	謝文良;Hsieh, Wen-liang
Contributors:	淡江大學財務金融學系
Date:	2004-04-01
Issue Date:	2009-11-30 17:51:46 (UTC+8)
Publisher:	John Wiley & Sons
Abstract:	This article examines the cross-border competition in price discovery between the Taiwan Futures Exchange (TAIFEX) and the Singapore Exchange Derivatives Trading (SGX). We focused on the impact of market reforms on the information leadership of similar contracts traded on the two exchanges. Utilizing synchronized transaction data, it was found that reducing the futures transferring tax was the only policy change that enhanced TAIFEX's information role. Evidence supported the trading-cost hypothesis that a lower transaction cost is associated with better price discovery. A brief linkage between trading volume and price discovery was found when data were broken down into subperiods according to the relative volume of TAIFEX and SGX. Evidence suggested that the SGX's information advantage reported in previous research had diminished as the rival market progressed. It also indicated that exchanges seeking to improve information efficiency should adopt policies that will reduce transaction costs or increase trading volume.
Relation:	Journal of Futures Markets 24(4), pp.399-412
DOI:	10.1002/fut.10122
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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