TY - JOUR
T1 - The impact of futures trading on spot index volatility
T2 - Evidence for Taiwan index futures
AU - Chiang, Min-Hsien
AU - Wang, Cheng Yu
PY - 2002/5/22
Y1 - 2002/5/22
N2 - This paper investigates the influences of inception of Taiwan Index futures trading on the spot price volatility on the Taiwan Stock Exchange (TSE). The macroeconomic effects are controlled and the asymmetric response behaviour is studied. The empirical evidence shows that the trading of TAIEX futures has major impacts on spot price volatility mechanism while the trading of MSCI Taiwan futures does not. In addition, the trading of both index futures has altered the asymmetric response behaviour of spot price volatility.
AB - This paper investigates the influences of inception of Taiwan Index futures trading on the spot price volatility on the Taiwan Stock Exchange (TSE). The macroeconomic effects are controlled and the asymmetric response behaviour is studied. The empirical evidence shows that the trading of TAIEX futures has major impacts on spot price volatility mechanism while the trading of MSCI Taiwan futures does not. In addition, the trading of both index futures has altered the asymmetric response behaviour of spot price volatility.
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U2 - 10.1080/13504850110068837
DO - 10.1080/13504850110068837
M3 - Article
AN - SCOPUS:0036252982
VL - 9
SP - 381
EP - 385
JO - Applied Economics Letters
JF - Applied Economics Letters
SN - 1350-4851
IS - 6
ER -