The impact of futures trading on spot index volatility: Evidence for Taiwan index futures

Min-Hsien Chiang, Cheng Yu Wang

研究成果: Article同行評審

22 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)381-385
頁數5
期刊Applied Economics Letters
9
發行號6
DOIs
出版狀態Published - 2002 5月 22

All Science Journal Classification (ASJC) codes

  • 經濟學與計量經濟學

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