| 摘要(英) |
Since May 15, 2017, the Taiwan Futures Exchange (TAIFEX) has promoted the after-hours trading to go online, extending the trading hours of futures and options products in the TAIFEX, so that traders can respond to changes in the international stock and futures markets immediately. Previous literatures have discussed the impact of the US stock market on the Taiwan stock market. Since the introduction of after-hours trading in the TAIFEX, the trading period overlaps with the entire opening hours of the US stock market. This thesis uses the regression analysis to study whether returns of TAIEX Futures in the day session is related to returns in the after-hours trading session and returns in the four major US stock indexes (including Dow Jones Industrial Average, Nasdaq Composite Index, Philadelphia Semiconductor Index and S&P500 Index). With the GARCH (1,1) model, we explore the impact of the after-hours trading and the US stock markets’ information on the TAIEX Futures returns fluctuations on the TAIFEX.
The empirical results show that returns of the TAIEX Futures in the day session is affected by returns in the after-hours trading sessions, the lagged returns of the four US stock indexes and the day-session returns in previous day. We find that the returns of TAIEX futures in after-hours session is significantly negatively related to returns of TAIEX futures in day session. The results imply that, after the trading activities of the after-hours trading is introduced, information in the after-hours trading during 3pm and 5am next morning will be reflected into the open prices of the day-session next morning. |
| 參考文獻 |
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二、英文文獻：
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三、網路資料：
1.台灣期貨交易所：〈盤後交易〉，取自https://www.taifex.com.tw/cht/4/aHIntroduction |
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