THE EFFECT OF INDEX FUTURES LISTING ON THE VOLUME OF STOCK MARKET -- TAKE SIMEX NIKKEI-225 AS AN EXAMPLE

• Main Authors: Chu,Shih-Yi, 朱世逸
• Other Authors: Lee,Tsun-Siou
• Format: Others
• Language: zh-TW
• Published: 1996
• Online Access: http://ndltd.ncl.edu.tw/handle/50442089425933770958

碩士 === 國立臺灣大學 === 商學系 === 84 === As the success of stock index futures S&P 500 listed in CME in 1982, stock index futures, a new developed financial product, has speedily become an important trading contract. Therefor, how the listing of stock index futures impacts on the stock market draws a large attention. Most previous research of the listing event focused on the impact upon the volatility of stock market. On the contrary,there was fewer systematic study about the impact on the trading volume of stock market. The main purpose of this study is to find out what effect of stock index futures listing is on the volume of stock market.This study takes SIMEX Nikkei-225 index futures as an example, using examiming methods such as t-test,intervention model, OLS and GLS. The result shows: (1) the volume of TSE increased with the listing of SIMEX;(2)the estimation of the net effect on turn- over rate had added 0.0279 monthly and 0.3348 yearly;and(3)the listing event did not decrease the volume of margin trading market.