| 摘要(英) |
This paper is to investigate whether different pre-market information for the returns of the TAIEX, and to derive insights for investment or policy regulation. We utilize the OLS regression model and incorporate Newey-West corrected residuals for heteroscedasticity and correlation in the model estimation and inference. The pre-market information considered includes the change rate of OI in Taiwan Stock Index Futures (TXF), the OI(open interest) ratio of TXF, the early session returns of TXF, the overnight returns of TXF, and the intraday returns of TXF. Due to the institutional reason that the trading of TXF in the overnight session was introduced only on May 16, 2017, we divide the sample into two parts for analysis. The first part covers the entire sample period from 2002 to 2022, with a total of 5,189 daily observations. The second part consists of 1,385 observations from 2017 to 2022, incorporating the overnight returns information. In the joint regression tests. In the first part, the returns of the MTXF from 8:45 to 9:00 AM significantly affect the returns of the TAIEX. In the second part, we empirically find that the overnight returns and the change rate of OI in TXF significantly affect the returns of the TAIEX and the change rate of OI is inversely related to the returns of the TAIEX. |
| 參考文獻 |
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