盤後交易制度對於台灣期貨市場的價格發現能力之影響;The effect of after-hours trading on the price discovery ability of the Taiwan futures market

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Title:	盤後交易制度對於台灣期貨市場的價格發現能力之影響;The effect of after-hours trading on the price discovery ability of the Taiwan futures market
Authors:	范佐瑄;Fan, Tso-Hsuan
Contributors:	財務金融學系
Keywords:	價格發現;價格加權貢獻;資訊比例模型;price discovery;weighted price contribution;information share
Date:	2019-07-15
Issue Date:	2019-09-03 15:07:28 (UTC+8)
Publisher:	國立中央大學
Abstract:	台灣期貨交易所於2017年5月15日延長了台灣指數期貨的交易時段，盤後交易能使交易台指期的投資人能夠即時應對國際股市的變化。由於盤後交易時段涵蓋了整個美國股市的開收盤期間，故夜盤的日內波動容易受到美國市場影響。本研究使用了價格加權貢獻(weighted price contribution)和資訊比例(information share)兩種衡量指標，來探討台指期正常交易時段和盤後交易時段的價格發現能力之相對大小，並且檢驗美國總體經濟宣告發佈是否會提升當日盤後交易時段的資訊比例。此外本研究使用AR(1)-GARCH(1,1)探討在延長交易時間制度實施後，隔日報酬的波動是否會較小，並探討當美國總體經濟宣告值與市場預期不同時，對台指期市場的報酬與波動的反應，以及美國宣告的影響效果是否會在延長交易時間後有顯著的改變。;Taiwan Futures Exchange extended the trading hours of the Taiwan Stock Price Index Futures on May 15, 2017. After-hours trading enables investors to respond immediately to overnight market shocks. Since the trading period of night market in the TAIFEX overlaps with the entire trading period of US stock market, this thesis studies the impact of US market on the intraday volatility in the night market. Using two measures, including weighted price contribution and information share, we gauge the price discovery in normal trading period and after-hours trading period, and further explore whether the night market responds to US macroeconomic announcements, with an increase in the information share of night market. In addition, this thesis focuses on whether the return volatility decreases the next day after extending trading hours of Taiwan Stock Price Index Futures, and use the AR(1)-GARCH(1,1) model to study whether the impact of US macroeconomic announcements on the volatility of day market changes after extending trading hours.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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