The Influence of Price Limits to Volatility and Return:Evidence from Weighted Stock  Finance  Electronic Index Futures

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题名:	The Influence of Price Limits to Volatility and Return:Evidence from Weighted Stock Finance Electronic Index Futures
作者:	Chang-Chun Liu
贡献者:	Department of Finance
关键词:	price limits;volatility;magnet effect
日期:	2010
上传时间:	2010-04-21 08:56:39 (UTC+0)
出版者:	Asia University
摘要:	This paper examines the price limits to the influence of the Taiwan Futures. In view of volatility spillover hypothesis, delayed price discovery hypothesis, trading interference hypothesis, magnet effect hypothesis, to conduct an empirical study from these four hypotheses. We used high-frequency data on Taiwan futures exchange to conduct an empirical study on the price limits to the influence of the market volatility from weighted stock index futures, finance sector index futures and electronic sector index futures. We used a T-test to analyze the volatility spillover hypothesis, delayed price discovery hypothesis, magnet effect hypothesis for the daily returns, intraday returns and daily volume of trade. Moreover, we used an ANOVA-test to analyze the trading interference hypothesis for the daily volume of trade. We establish that all of the four hypotheses exist in the same time when closeing ceiling or floor. The effect is more significant, especially closeing floor.
显示于类别:	[財務金融學系] 博碩士論文

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