Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures
We investigate the contributions of the Taiwan regular and mini index futures to price discovery. We find that the regular futures provide more price discovery, which is inconsistent with the findings for the US futures markets. This dominance of regular futures became relatively weaker after the in...
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| Veröffentlicht in: | The journal of futures markets 2021-06, Vol.41 (6), p.926-948 |
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| container_end_page | 948 |
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| container_issue | 6 |
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| container_title | The journal of futures markets |
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| creator | Chen, Yu‐Lun Lee, Yen‐Hsien Chou, Robin K. Chang, Ya‐Kai |
| description | We investigate the contributions of the Taiwan regular and mini index futures to price discovery. We find that the regular futures provide more price discovery, which is inconsistent with the findings for the US futures markets. This dominance of regular futures became relatively weaker after the introduction of the standard portfolio analysis of the risk margin system because of more arbitrage trades mainly executed by institutional investors. We show the effect of the introduction of an integrated margin system on the price‐discovery processes and efficiencies for futures with the same underlying asset but different contract sizes. |
| doi_str_mv | 10.1002/fut.22192 |
| format | Article |
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We show the effect of the introduction of an integrated margin system on the price‐discovery processes and efficiencies for futures with the same underlying asset but different contract sizes.</description><subject>Analysis</subject><subject>Arbitrage</subject><subject>Discovery</subject><subject>Dominance</subject><subject>Financial markets</subject><subject>Futures</subject><subject>Futures market</subject><subject>Institutional investments</subject><subject>price discovery</subject><subject>SPAN margins system</subject><subject>TAIFEX</subject><subject>Trading</subject><issn>0270-7314</issn><issn>1096-9934</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2021</creationdate><recordtype>article</recordtype><recordid>eNp10E1PwyAYB3BiNHFOD34DEhMTD914KaUcl8WpyRIvW-KNUEors6MTWrd9e9nq1QsQ8nueB_4A3GM0wQiRadV3E0KwIBdghJHIEiFoeglGiHCUcIrTa3ATwgYhJESKRuBj5gvbeVUbGNfSuhoqV8Kdt9rA0gbd_hh_hG0Fu08Dvan7Rvkz2Vpn4UrZvXIwdK3-gtaV5gDjC3pvwi24qlQTzN3fPgbrxfNq_pos31_e5rNlommGSUIZZ0UmFBK0MFleiZLjgnPFGEVIV_p0HQ8oF1FkHJWEMaZEjqlIRYY5HYOHoe_Ot9-9CZ3ctL13caQkjMQKjBmJ6nFQtWqMtE63rjOHrlZ9CFLOstgp52nKInwaoPZtCN5UMkaxVf4oMZKnhGX8nzwnHO10sHvbmOP_UC7Wq6HiFzS0erg</recordid><startdate>202106</startdate><enddate>202106</enddate><creator>Chen, Yu‐Lun</creator><creator>Lee, Yen‐Hsien</creator><creator>Chou, Robin K.</creator><creator>Chang, Ya‐Kai</creator><general>John Wiley & Sons, Inc</general><general>Wiley Periodicals Inc</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope><orcidid>https://orcid.org/0000-0002-3126-563X</orcidid><orcidid>https://orcid.org/0000-0002-4957-027X</orcidid><orcidid>https://orcid.org/0000-0002-8713-3070</orcidid></search><sort><creationdate>202106</creationdate><title>Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures</title><author>Chen, Yu‐Lun ; Lee, Yen‐Hsien ; Chou, Robin K. ; Chang, Ya‐Kai</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c3612-3575b69a093be68f9d71b77a55300cfc93be00c089093670d2555a98139496173</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Analysis</topic><topic>Arbitrage</topic><topic>Discovery</topic><topic>Dominance</topic><topic>Financial markets</topic><topic>Futures</topic><topic>Futures market</topic><topic>Institutional investments</topic><topic>price discovery</topic><topic>SPAN margins system</topic><topic>TAIFEX</topic><topic>Trading</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Chen, Yu‐Lun</creatorcontrib><creatorcontrib>Lee, Yen‐Hsien</creatorcontrib><creatorcontrib>Chou, Robin K.</creatorcontrib><creatorcontrib>Chang, Ya‐Kai</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The journal of futures markets</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Chen, Yu‐Lun</au><au>Lee, Yen‐Hsien</au><au>Chou, Robin K.</au><au>Chang, Ya‐Kai</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures</atitle><jtitle>The journal of futures markets</jtitle><date>2021-06</date><risdate>2021</risdate><volume>41</volume><issue>6</issue><spage>926</spage><epage>948</epage><pages>926-948</pages><issn>0270-7314</issn><eissn>1096-9934</eissn><abstract>We investigate the contributions of the Taiwan regular and mini index futures to price discovery. 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| ispartof | The journal of futures markets, 2021-06, Vol.41 (6), p.926-948 |
| issn | 0270-7314 1096-9934 |
| language | eng |
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| source | EBSCOhost Business Source Complete; Access via Wiley Online Library |
| subjects | Analysis Arbitrage Discovery Dominance Financial markets Futures Futures market Institutional investments price discovery SPAN margins system TAIFEX Trading |
| title | Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures |
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