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    題名: The Relative Rate of Price Discovery and Liquidity between the Regular – sized Taiwan Index Futures and Mini Contract
    其他題名: 台指期貨與迷你台指期貨契約的相對價格發現與流動性
    作者: 林允永;Lin, Yun-yung
    貢獻者: 淡江大學財務金融學系
    關鍵詞: 流動性;價格發現;資訊份額;迷你台指期貨;Liquidity;Price Discovery;Information Share;Mini Index Futures
    日期: 2011-06
    上傳時間: 2012-10-30 18:02:05 (UTC+8)
    出版者: 新北市:真理大學
    摘要: This article examines the liquidity hypothesis of price leadership, which suggests a positive influence of trading intensity to price discovery. We compare intraday price discovery between two futures contracts: the regular-sized Taiwan index futures (TX) and its mini contracts (MTX). Using data matching techniques to distinguish the impact of liquidity on price discovery, we find that a nontrivial portion (average 13%) of the TX information share can be attributable to its higher trading frequency. In addition, the information leading tendency of TX strengthens when the TX trading volume rises relative to the MTX volume.
    關聯: 真理財經學報 24,頁67-94
    顯示於類別:[財務金融學系暨研究所] 期刊論文


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