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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31452

    Title: Essays on the market microstructure of e-mini and floor-traded index futures
    Other Titles: 電子化交易與公開喊價交易指數期貨市場微結構之研究
    Authors: 姜淑美;Chiang, Shu-mei
    Contributors: 淡江大學財務金融學系博士班
    鍾惠民;Chung, Huimin;邱建良;Chiu, Chien-liang
    Keywords: 電子期貨契約;價格投機及不穩定效果;價格叢聚;市場微結構;E-mini futures contracts;Price speculation and destabilization effects;Price clustering;Market microstructure
    Date: 2005
    Issue Date: 2010-01-11 00:43:41 (UTC+8)
    Abstract: 在過去數年中,一個重要的金融市場變革就是交易所從公開喊價的交易制度改為採用電子交易制度。然而在美國的衍生性商品市場,電子交易及公開喊價的制度在正常的交易時間內是同時存在的。因為他們的標的資產是相同的,他們之間可能存在替代效果。此外,電子交易的優點也可能會吸引許多的短線及投機的交易者進入此市場來交易。
    第二章研究電子期貨交易對於標的資產的影響,我們發現在電子期貨交易以後,現貨市場的平均報酬率降低。波動性與報酬率間成正相關。此外,S&P 500 and NASDAQ-100 指數對於過去誤差項的敏感性降低;過去條件變異數對於當期條件變異數的持續性在短期及長期都是增加的。同時,在電子期貨交易以後,對於訊息的不對性效果仍是存在。
    Over the past several years, an important innovation in the financial market is the trading system transition from open outcry to electronically trade in equity and futures exchanges in the world. However, for the U.S. derivative markets, E-mini and floor-traded index futures are traded simultaneously at regular trading hours. As the underlying assets of E-mini and floor-traded index futures are the same, substitution effect might exist between them. Furthermore, the advantages of E-mini index futures might help to attract many day traders and speculators to trade.
    Because E-mini futures trading can expand the opportunity set faced by investors, they can make financial markets more complete. In addition, the merits of E-mini trading can lead to great advances in price discovery including trader anonymity, improved pricing transparency, and increased execution speed and so on. We therefore expect many changes in market microstructure will occur after E-mini futures trading in the U.S.
    In this essay, we study the effects of E-mini index futures trading on floor-traded futures markets, including the impacts of E-mini futures trading on the underlying assets, the price clustering in open outcry and electronically-traded index futures, and the impacts on intraday patterns stemming from the introduction of electronically-traded index futures. The conclusion can be summarized as follows:
    Chapter 2 examines the impact of E-mini futures trading on the underlying assets, we find that the average returns of spot markets decreased after the introduction of E-mini futures. The relationship between volatility and return is positive. Besides, the sensitivity of S&P 500 and NASDAQ-100 indexes to past errors decreases. The persistence of past conditional variance to current conditional variance increases in the short run and long run. Asymmetrical responses to news still exist after E-mini index futures trading.
    Chapter 3 investigates the price clustering of floor-traded and E-mini index futures. The result shows that price clustering is universal within the index futures markets. Significant clustering differences exist between floor-traded and E-mini index futures. Furthermore, price clustering increases significantly in three floor-traded futures markets after E-mini futures trading.
    Chapter 4 explores the market microstructure of floor-traded and E-mini index futures and the effects of US macroeconomic news announcement on futures markets. We show that the intraday volatility and tick volume measures display a U-shaped pattern for index futures. That is, market closure effect still exists in three floor-traded and E-mini futures markets even though the trading hours are extended. The spot markets dominate. In addition, the information effects of government announcements on volatility and tick volume are still important.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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