期刊論文
| 學年 | 99 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2011-06-01 |
| 作品名稱 | The Relative Rate of Price Discovery and Liquidity between the Regular – sized Taiwan Index Futures and Mini Contract |
| 作品名稱（其他語言） | 台指期貨與迷你台指期貨契約的相對價格發現與流動性 |
| 著者 | 林允永; Lin, Yun-yung |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | 新北市：真理大學 |
| 著錄名稱、卷期、頁數 | 真理財經學報 24，頁67-94 |
| 摘要 | This article examines the liquidity hypothesis of price leadership, which suggests a positive influence of trading intensity to price discovery. We compare intraday price discovery between two futures contracts: the regular-sized Taiwan index futures (TX) and its mini contracts (MTX). Using data matching techniques to distinguish the impact of liquidity on price discovery, we find that a nontrivial portion (average 13%) of the TX information share can be attributable to its higher trading frequency. In addition, the information leading tendency of TX strengthens when the TX trading volume rises relative to the MTX volume. |
| 關鍵字 | 流動性; 價格發現; 資訊份額; 迷你台指期貨; Liquidity; Price Discovery; Information Share; Mini Index Futures |
| 語言 | en |
| ISSN | 1609-8919 |
| 期刊性質 | 國內 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | 林允永 |
| 審稿制度 | 是 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/78833 ) |