台灣期貨市場晚盤價格發現能力分析

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Title:	台灣期貨市場晚盤價格發現能力分析
Authors:	彭筱雯;Peng, Hsiao-Wen
Contributors:	會計研究所企業資源規劃會計碩士在職專班
Keywords:	期貨;晚盤
Date:	2020-04-22
Issue Date:	2020-06-05 17:25:43 (UTC+8)
Publisher:	國立中央大學
Abstract:	台灣期貨交易所自2017年5月15日開始延長台灣指數期貨之交易時段，晚盤從下午3點至隔日5點，早盤為早上8:45至下午1:45，一整天有19個小時可以交易。本篇研究樣本期間為2017年5月16日至2019年5月16日，以期貨早盤收盤價、期貨晚盤收盤價及加權指數收盤價資料為樣本，發現晚盤收盤價報酬率比早盤收盤價報酬與加權指數收盤價報酬來的高，與劉沛宜（2014）研究發現中指出提及台指期貨在價格發現中具有較強的主導地位相互呼應，並與謝文良（2002）所得結論類似，且在波動度大交易日當中出現前一天收盤價到今天開盤後半小時價格的報酬，可以有較好的解釋力情形。;The Taiwan Futures Exchange has extended the trading hours of Taiwan Index Futures since May 15, 2017, from 3pm to 5pm in late trading, 8:45 am to 1:45 pm in early trading, and 19 hours a day Can be traded. The sample period of this research is from May 16, 2017 to May 16, 2019. Taking the early futures closing price, futures late closing price and weighted index closing price data as samples, it is found that the return rate of late closing price is higher than that of early closing The high price return and the closing price return of the weighted index, and Liu (2014) research findings point out that the reference to Taiwan Index futures has a strong dominant position in price discovery, and echoes with Xie (2002). Similar, and in the volatility trading day, the remuneration of the previous day′s closing price to the price of half an hour after the opening today can have a better explanatory situation.
Appears in Collections:	[enterprise resource planning of Optics and Photonics] Electronic Thesis & Dissertation

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