碩士 / 國立臺北商業大學 / 財務金融研究所 / 106 / To provide investors with more diverse hedging instruments and more trading opportunities, TAIFEX launches after-hours trading session after regular trading session from 15 May 2017. The after-hours trading session will trade until 5 o’clock the next morning. Base on the new trading session, the market volatility of the Taiwan future market and stock index market, which should be affected by the after-hours session.
This paper analyzes the dynamic relationship between the intra-day volatility and liquidity for periods before and after the introduction of the continuous auction in Taiwan futures market. We find the volatility of the first 15 and 30 mins of Taiwan futures and Stock index market would be higher, after the market of the after-hours session had been lower; on the other way, the volatility would not be changed if the after-hours session had been higher in the morning.
Further, we employ Granger causality test to examine the causal relationship between the price return of TAIFEX after-hours trading session and the Taiwan Index Future in SGX (Singapore Exchange Limited). The results show that for the hourly interval, there is no causal relationship between the two market price return.
| Identifer | oai:union.ndltd.org:TW/106NTB05304010 |
| Date | January 2018 |
| Creators | LIU, CHANG YU, 劉昶佑 |
| Contributors | Chen, Shen-Yuan, 陳勝源 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 47 |
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