The Influence of Price Limits to Volatility and Return:Evidence from Weighted Stock, Finance, Electronic Index Futures

• Main Authors: Chang-Chun Liu, 劉展鈞
• Other Authors: An-Chi Wang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/38852507309285929669

碩士 === 亞洲大學 === 財務金融學系碩士班 === 98 === This paper examines the price limits to the influence of the Taiwan Futures. In view of volatility spillover hypothesis, delayed price discovery hypothesis, trading interference hypothesis, magnet effect hypothesis, to conduct an empirical study from these four hypotheses. We used high-frequency data on Taiwan futures exchange to conduct an empirical study on the price limits to the influence of the market volatility from weighted stock index futures, finance sector index futures and electronic sector index futures. We used a T-test to analyze the volatility spillover hypothesis, delayed price discovery hypothesis, magnet effect hypothesis for the daily returns, intraday returns and daily volume of trade. Moreover, we used an ANOVA-test to analyze the trading interference hypothesis for the daily volume of trade. We establish that all of the four hypotheses exist in the same time when closeing ceiling or floor. The effect is more significant, especially closeing floor.