期刊論文
| 學年 | 113 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2025-07-31 |
| 作品名稱 | Does trading method alignment improve market efficiency? Evidence from Taiwan single-stock futures market |
| 作品名稱（其他語言） | |
| 著者 | Chien-Liang Chiu；Jui-Cheng Hung；Chia-Feng Chen；Chia-Wei Hsieh |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Journal of Futures Markets 45(7) , p.802-816 |
| 摘要 | This study examines the impact of implementing an intraday continuous auction method in Taiwan's spot market on price discovery in the single-stock futures (SSFs) market. The findings highlight the advantages of aligning the trading method of the underlying spot market with that of the SSF market, leading to improved price discovery in SSFs. A difference-in-differences analysis validates our findings. In addition, key factors such as spread, liquidity, and information intensity significantly influence cross-sectional variation in price discovery. Notably, leverage—a fundamental feature of futures contracts—has a strong and positive effect on SSF price discovery following this alignment of trading methods. |
| 關鍵字 | |
| 語言 | en |
| ISSN | |
| 期刊性質 | 國外 |
| 收錄於 | SSCI EconLit |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/127438 ) |