An Analysis of Price-duration of Market Depth for Taiwan Stock Index Futures

• Main Authors: Hsiu-hui Wang, 王綉惠
• Other Authors: Horace Chueh
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/56225768391610577481

碩士 === 國立高雄第一科技大學 === 金融營運所 === 91 === Market depth is defined as the volume able to be traded at a particular price level. Few works has been done to measure the market depth and investigate its determinants in the futures market. This paper adopts VENT to measure the market depth for particular price duration addressed by Engle and Lange (2001). This paper examines the usefulness of VENT and the price-duration framework for measuring and forecasting intraday market depth in the futures market. The four predict variables are spreads, number of trades, trading volume, and variable of price. The analysis uses ultra-high frequency data of Taiwan stock index futures contracts. The sample period is from Jan. 1, 2001 to Dec. 31, 2001. The main result shows that the spreads, number of trades, and variable of price are significantly negatively related to the market depth, and the volume is significantly positively related to the market depth. Further, the intraday effect, day-of-the week effect and maturity effect are also found in market depth for Taiwan stock index futures.