A study of the influence of market efficiency after the shift of trading system of Taiwan stock index futures

• Main Authors: Mu-Hung Chaing, 江慕鴻
• Other Authors: Yu-Chuan Huang
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/14605823924327084412

碩士 === 國立高雄第一科技大學 === 財務管理所 === 92 === The purpose of this study is to examine the performance of Taiwan stock index futures on SGX-DT and TAIFEX. The study uses three criteria---volatility, efficiency and liquidity to evaluate market performance. Liquidity measures include effective bid-ask spread, depth, and trading volume. Volatility measures include square of return and Garman-Klass. This study finds that TAIFEX has smaller liquidity after changing trading systems whereas SGX-DT have not change. In volatility, TAIFEX have change whereas SGX-DT has change. In effective, TAIFEX and SGX-DT are not significant change.