Department of Finance,National Kaohsiung First University of Science and Technology, Taiwan;Department of Banking and Finance,National Chi Nan University, Taiwan
Abstract:
This paper investigates the effect on unexpected impulse of day-trading, open interest and trading volume to volatility in Taiwan Stock Index Futures. We decompose the 3 volumes to expected and unexpected components. Unexpected day-trading is significantly negative with return. Consistent with the expectation aspect, impulses of bad news are greater than those of good news. Most important, revealing the information of day-trading from futures exchanges is necessary, since the disclosure of day-trading volume improves transactions transparency. We strongly suggest that all futures exchanges are blamed for reveal the day-trading information, as that of trading volume and open interest.
