期刊論文
| 學年 | 95 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2007-04-01 |
| 作品名稱 | Mini Index Futures: Information Impacts, Relative Pricing, and Arbitrage Opportunities in the Least Frictional Markets |
| 作品名稱（其他語言） | 小型指數期貨：低摩擦市場中的資訊衝擊、相對定價與套利機會 |
| 著者 | 林允永; 謝文良 |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | 臺北市：臺灣財務金融學會 |
| 著錄名稱、卷期、頁數 | 財務金融學刊 15(1)，頁103-134 |
| 摘要 | This paper examines the pricing relationship between the mini index futures and the regular-sized counterpart traded on TAIFEX. The mini-regular arbitraging is free from many trading impediments, providing an opportunity to investigate the arbitrage activities in an almost frictionless environment. The mini-regular pricing is highly efficient as evident by the small ex-post mispricing and unpromising ex-ante arbitrage profits. The W-shaped intraday pattern of price deviation suggests that arbitrage opportunities tend to concentrate in periods (futures opening and spot opening) of intensive information impacts. Regression results show that information relevant variables including futures volatility, volume, and open interest are significantly linked to the mini-regular price deviations. Furthermore, we find that the TX-MTX pricing efficiency is improved as the originally lagged mini contract enhances its price discovery so that the two markets respond to information impacts in a synchronous manner. |
| 關鍵字 | 指數期貨;小型期貨;定價效率;套利;臺灣市場;Index futures;Mini contract;Pricing efficiency;Arbitrage;Taiwan |
| 語言 | zh_TW |
| ISSN | 1022-2898 |
| 期刊性質 | 國內 |
| 收錄於 | TSSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 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/987654321/100507 ) |