| Summary: | 碩士 === 長庚大學 === 企業管理研究所 === 89 === This study uses daily data to examine the impact of conditional volatility for trading volumes on stock index futures price, where traded at the Taiwan Stock Index Futures Exchange. Three alternative measures of trading volumes (spot market, futures market, and open interest) are employed to relate, via GARCH, the price deviation derived from the cost of carry model. Meanwhile, this research is in an attempt to investigate if the arbitrage performance can be improved through the mispricing signal implied by the abnormal conditional volatility of trading volumes. The main purpose is to deeply identify the relationship between trading volumes and index futures price; that is, the information role that can be driven by trading volumes.
The findings indicate that: 1) The extent to which the futures price is mispriced is much more affected by the trading volume in the spot market compared to the other two alternative measures of volumes, 2) The performance of arbitrage strategies based on the conditional volatility of trading volumes outperforms that based on unconditional information, and 3) The arbitrage performance is reinforced due to the fact that negative shocks introduce more volatility than positive shocks.
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