Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 381-385 |
| Number of pages | 5 |
| Journal | Applied Economics Letters |
| Volume | 9 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - 2002 May 22 |
All Science Journal Classification (ASJC) codes
- Economics and Econometrics
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Cite this
Chiang, M-H., & Wang, C. Y. (2002). The impact of futures trading on spot index volatility: Evidence for Taiwan index futures. Applied Economics Letters, 9(6), 381-385. https://doi.org/10.1080/13504850110068837