Transactions Transparency and Stability:Price Impact of Unexpected Day-Trading in Taiwan Futures Market

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題名:	Transactions Transparency and Stability:Price Impact of Unexpected Day-Trading in Taiwan Futures Market
作者:	Ming-Hsien Chen, Vivian W.Tai
貢獻者:	Department of Finance,National Kaohsiung First University of Science and Technology, Taiwan;Department of Banking and Finance,National Chi Nan University, Taiwan
關鍵詞:	Day-Trading, Unexpected Volume, Transactions Transparency
日期:	2012
上傳時間:	2013-08-07 01:28:58 (UTC+0)
出版者:	Department of Finance,National Kaohsiung First University of Science and Technology, Taiwan;Department of Banking and Finance,National Chi Nan University, Taiwan
摘要:	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.
關聯:	2012中部學術財金研討會論文發表
顯示於類別:	[財務金融學系] 會議論文

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