此外,期貨盤後交易期間的報酬干擾項對現貨市場報酬會持續影響15 分鐘,而期貨隔夜報酬及期貨提早交易期間報酬的干擾項則是直到現貨收盤為止都具有影響力,研究結果支持期貨延長交易時段存在資訊內涵,因此觀察延長交易時段之價格的變化對於預測下一個交易日的現貨市場價格有正面的貢獻。 This thesis is using GARCH model and Weighted Price Contribution to examine the price discovery of the extended trading sessions in the index futures market.
The empirical results show that: (1) liquidity traders are prevalent during the post-close session, but informed traders are widespread during the pre-open session and generate more price discovery. (2)The liquidity-driven trading may cause a reversal between the closing return and the next day''s overnight return in the futures market, but the price reversal do not exist between the closing return of futures market and the next day''s overnight spot return. (3) Moreover, the relation between futures return innovations and subsequent regular hour spot returns are positive and significant, the effect of the futures return innovations during the post-close sessions would quickly fade out, but the futures return innovations from the overnight and pre-open sessions have a persistent effect on spot returns over the subsequent trading day.
Thus the extended trading sessions of the index futures market indeed contain the hidden information and it helps to predict the next trading day’s spot returns.