The Impact of Extending Trading Hours on Returns and Volatility─An Example of Taiwan Security Market and Futures Market

• Main Authors: Hsuan-hung Chen, 陳宣宏
• Other Authors: CHING-FU CHEN
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/82675328243864734320

碩士 === 南華大學 === 財務管理研究所 === 91 === 　　This study mainly focuses on the impact of extending trading hours on the return and volatility of stocks and futures. The daily price data dated from 2000/1-2001/12 of stock indexes and index futures were obtained from TSEC and TAIFEX. The main research results include: 　 1. Research in return shows that indicates the transmission speed of market information has been improved in the year-before period of extending trading hours among Taiwan Stock Index, Electronic Sector Index and Banking and Insurance Sector Index. Taiwan Stock Index futures return does not have great changes in the year-before period and year-after period of extending trading hours, and Electronic Sector Index futures and Banking and Insurance Sector Index futures did not be affected by lagged return and residual that indicates the transmission speed of market information has been improved in the year-after period of extending trading hours. 2. Research in volatility presents that volatilities in Taiwan Stock Index and Taiwan Stock Index futures did not exist significant change in the year-before period and year-after period of extending trading hours, indicating volatility of stock index doesn’t have any change due to extending trading hours. Therefore, without considerating effects on macro economy such as productivity rate, unemployment rate, all-day trading would be feasible from the perspective of market performance. Volatilities of Electronic Sector Index and Banking and Insurance Sector Index are slightly influenced by lagged term in the year-after period of extending trading hours, indicating volatility persistence increasing, ability for market reacting to information declining; volatilities of Electronic Sector Index futures and Banking and Insurance Sector Index futures tend to smooth influence by lagged term in the year-after period of extending trading hours that indicates when volatility persistently decrease, the ability for market reacting to information will rally.