Market changes and index futures trading activities: Evidence from Taiwan

• Main Authors: Yi-Ling Hsu, 徐宜伶
• Other Authors: Chin-Shen Lee
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/24262814724016074665

碩士 === 銘傳大學 === 金融研究所 === 90 === This thesis examines the impact of market changes on trading activity of Taiwan index futures. Important market changes such as transaction tax reduction, increased participation of mutual fund in futures market, National Financial Stabilization Fund‘s market intervening activities, and strict margin regulation in cash market are examined. The results show that reduction in transaction tax decreases the pricing errors of the cost of carry model, but the National Financial Stabilization Fund that increased the pricing errors. There is substitution effect exists between TAIFEX trading volume and SGX-DT trading volume, while the complementary effect in trading volume exists between TAIFEX trading volume and cash market. When TAIFEX future started trading, the growth rate of SGX-DT trading volume decreased.