A Study on Relevance between Price Deviation and Liquidity of TAIEX Futures
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 95 === Ever since Taiwan Stock Exchange Index Futures (TAIEX) were placed to trade on the market in 1998, the futures markets provided local and global investors with functions of price discovery, hedging and speculation. However, empirical evidence indicates that t...
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ndltd-TW-095KUAS02130162019-05-15T20:22:07Z http://ndltd.ncl.edu.tw/handle/8wvfjj A Study on Relevance between Price Deviation and Liquidity of TAIEX Futures 臺指期貨價格偏誤與流動性之關連性研究 Shen Cheng, Wang 王慎晟 碩士 國立高雄應用科技大學 金融資訊研究所 95 Ever since Taiwan Stock Exchange Index Futures (TAIEX) were placed to trade on the market in 1998, the futures markets provided local and global investors with functions of price discovery, hedging and speculation. However, empirical evidence indicates that the futures markets are highly volatile and inefficient. The study is directed at examining the relationship between futures price deviation and liquidity. Based on Cornell and French’s (1983) cost of carry model, we calculated price deviation between fair prices and actual settlement prices of TAIEX futures, and then conducted a generalized autoregressive conditional heteroscedasticity (GARCH) model fits on two important signals of market liquidity, trade volumes and open interest volumes. The empirical findings indicate that price deviations are significantly related to market liquidity, in terms of trading volumes and open interest volumes, as well as the spreads of past periods. It is found that price deviations are relatively large at the early phase of futures contracts. As arbitrage traders start to come into the market over time, the increases in market liquidity tend to eliminate price deviations. The implication is that TAIEX futures are relatively inefficient for the futures with longer expiration date, compared to their counterparts with shorter expiration date. George Y. Wang 王雍智 2007 學位論文 ; thesis 45 zh-TW |
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碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 95 === Ever since Taiwan Stock Exchange Index Futures (TAIEX) were placed to trade on the market in 1998, the futures markets provided local and global investors with functions of price discovery, hedging and speculation. However, empirical evidence indicates that the futures markets are highly volatile and inefficient. The study is directed at examining the relationship between futures price deviation and liquidity. Based on Cornell and French’s (1983) cost of carry model, we calculated price deviation between fair prices and actual settlement prices of TAIEX futures, and then conducted a generalized autoregressive conditional heteroscedasticity (GARCH) model fits on two important signals of market liquidity, trade volumes and open interest volumes. The empirical findings indicate that price deviations are significantly related to market liquidity, in terms of trading volumes and open interest volumes, as well as the spreads of past periods. It is found that price deviations are relatively large at the early phase of futures contracts. As arbitrage traders start to come into the market over time, the increases in market liquidity tend to eliminate price deviations. The implication is that TAIEX futures are relatively inefficient for the futures with longer expiration date, compared to their counterparts with shorter expiration date.
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George Y. Wang |
author_facet |
George Y. Wang Shen Cheng, Wang 王慎晟 |
author |
Shen Cheng, Wang 王慎晟 |
spellingShingle |
Shen Cheng, Wang 王慎晟 A Study on Relevance between Price Deviation and Liquidity of TAIEX Futures |
author_sort |
Shen Cheng, Wang |
title |
A Study on Relevance between Price Deviation and Liquidity of TAIEX Futures |
title_short |
A Study on Relevance between Price Deviation and Liquidity of TAIEX Futures |
title_full |
A Study on Relevance between Price Deviation and Liquidity of TAIEX Futures |
title_fullStr |
A Study on Relevance between Price Deviation and Liquidity of TAIEX Futures |
title_full_unstemmed |
A Study on Relevance between Price Deviation and Liquidity of TAIEX Futures |
title_sort |
study on relevance between price deviation and liquidity of taiex futures |
publishDate |
2007 |
url |
http://ndltd.ncl.edu.tw/handle/8wvfjj |
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