| Summary: | 碩士 === 國立臺灣科技大學 === 企業管理系 === 90 === The purpose of this study is to investigate the intraday patterns of Taiwan Stock Index Futures (TX), Electronic Index Futures (TE), Financial Index Futures (TF) and Small Stock Index Futures (MTX). In addition, it attempts to examine the price-volume relationship and the price leadership across different futures.
The sample period is from 1/2/2001 to 12/31/2001. But because Small Stock Index Futures was listed until 4/21/2001, the sample period of Small Stock Index Futures is from 4/21/2001 to 12/31/2001. The empirical results can be showed as follows：
1.The intraday patterns of four futures are similar in the same time intervals of data .
2.The intraday patterns of average returns, the autocorrelation of returns and volume have different shape but the intraday patterns of returns volatility, volume and the autocorrelation of returns volatility have similar shape in the different time intervals of data.
3.The intraday trading patterns of TX, TE, TF and MTX don’t show U-shape. Only the pattern of the autocorrelation of returns volatility shows U-shape.
4.The prices of TE and MTX lead volumes. The 1-mins prices of TX is accompanied with volume but the 5-mins and 15-mins prices lead volumes. The 1-mins prices of TF lead volume but the 5-mins and 15-mins prices are accompanied with volumes.
5.When using 5-mins data, TX exhibits price leadership over TF and MTX. When using15-mins data, TX exhibits price leadership over TF and MTX ,and MTX exhibits price leadership over TF.
|
|---|
