| Summary: | 博士 === 國立臺灣大學 === 財務金融學系研究所 === 86 === This dissertation intenses to answer the following questions with asymmetricin
formation.1.How does the government''s foreign exchange control affect the perf
ormances of the domestic stock market?2.How does the order of market opening
affect the international financial markets?3.How do the differences in opinio
n among traders in an index futures market affect the performances of the sto
ck market? For the first problem, we show that both the incorporation of dome
sticstocks into the Morgan Stanley Capital International Indices (MSCI) and th
eestablishment of the foreign exchange control lead to a lower informationalef
ficiency and a higher abnormal return for domestic informed traders.Moreover,
because of the trading behavior of international investors,financial markets a
re essentially integrated, and business cycles in othercountries directly impa
ct on the domestic stock market performances. For the second problem, we show
that, other things being equal, thediscretionary liquidity traders prefer to
trade in the market which opensearlier because the adverse selection problem i
s less severe. This implieshigher liquidity for the market which opens earlier
. For the last problem, we show that differences in opinion about theprecisio
n of private information lead to the differences in opinion about thestock pri
ce, and thus affects the futures price, trading volumes, and openinterest. The
futures price this period is positively affected by the stockprice last perio
d, and the stock price this period is by the futures pricelast period. The mor
e volatile the stock price, the more volatile the futuresprice and the larger
the futures trading volume and open interest. Via thestock price volatility, t
he precision of private information affects the stocktrading volume, the volat
ility of the stock trading volume, the futures price,the futures trading volum
e, and the futures open interest.
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