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
Hauptverfasser:	Chen, Yu‐Lun, Lee, Yen‐Hsien, Chou, Robin K., Chang, Ya‐Kai
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Arbitrage Discovery Dominance Financial markets Futures Futures market Institutional investments price discovery SPAN margins system TAIFEX Trading
Online-Zugang:	Volltext
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