淡江大學機構典藏:Item 987654321/31640
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/31640


    Title: 台灣期貨市場延長交易時段的價格發現功能
    Other Titles: The price discovery of the extended trading session in Taiwan stock index futures market
    臺灣期貨市場延長交易時段的價格發現功能
    Authors: 俞冠伶;Yu, Kuan-ling
    Contributors: 淡江大學財務金融學系碩士班
    謝文良;Hsieh, Wen-liang
    Keywords: 一般化自我迴歸條件異質變異數模型;價格發現;延長交易時段;GARCH Model;Price Discovery;Extended Trading Session
    Date: 2006
    Issue Date: 2010-01-11 01:04:54 (UTC+8)
    Abstract: 本文應用加權價格貢獻法和GARCH模型探討當期貨與現貨市場交易時間不一致下，期貨延長交易期間的價格變動能否反應隱含的訊息，並對現貨市場的價格有所影響。

    實證發現，資訊交易者偏好於現貨市場開盤前進行交易，流動性交易者則多在現貨市場收盤後進行交易；期貨市場延長交易期間中未預期到的報酬與期貨隔夜報酬會出現價格反轉，但對現貨隔夜報酬並無價格反轉現象產生。

    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.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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