From the relationship between liquidity and the chance of arbitrage to examines if investor’s behaviors in the Taiwan stock index futures market are rational

碩士 === 國立高雄第一科技大學 === 金融營運所 === 92 === This paper empirically examines the rationality of investors’ behaviors in the Taiwan stock index futures market. We examine the behavior by estimating the relationship between the arbitrage opportunity and the market liquidity. We use the open interest and bid...

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Bibliographic Details
Main Authors:	Ping-Yuan Yang, 楊秉元
Other Authors:	none
Format:	Others
Language:	zh-TW
Published:	2004
Online Access:	http://ndltd.ncl.edu.tw/handle/63639451791181084222

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spelling	ndltd-TW-092NKIT56670392015-10-13T13:24:20Z http://ndltd.ncl.edu.tw/handle/63639451791181084222 From the relationship between liquidity and the chance of arbitrage to examines if investor’s behaviors in the Taiwan stock index futures market are rational 從市場流動性與套利機會之關係探討台指期貨市場投資人是否為理性 Ping-Yuan Yang 楊秉元碩士國立高雄第一科技大學金融營運所 92 This paper empirically examines the rationality of investors’ behaviors in the Taiwan stock index futures market. We examine the behavior by estimating the relationship between the arbitrage opportunity and the market liquidity. We use the open interest and bid-ask spread as the measurements of liquidity. The data including spot prices, futures prices, open interest, and bid-ask spread are from January 1st, 2000 to December 31th, 2002 gathered from TEJ database. The empirical results are as follows: 1. The investors trading in the TAIFEX market are rational. 2. Future prices are significantly biased when it is bear market. 3. The relationship between market liquidity and biased-equilibrium prices is more significant when it is bear market. none 闕河士 2004 學位論文 ; thesis 48 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 國立高雄第一科技大學 === 金融營運所 === 92 === This paper empirically examines the rationality of investors’ behaviors in the Taiwan stock index futures market. We examine the behavior by estimating the relationship between the arbitrage opportunity and the market liquidity. We use the open interest and bid-ask spread as the measurements of liquidity. The data including spot prices, futures prices, open interest, and bid-ask spread are from January 1st, 2000 to December 31th, 2002 gathered from TEJ database. The empirical results are as follows: 1. The investors trading in the TAIFEX market are rational. 2. Future prices are significantly biased when it is bear market. 3. The relationship between market liquidity and biased-equilibrium prices is more significant when it is bear market.
author2	none
author_facet	none Ping-Yuan Yang 楊秉元
author	Ping-Yuan Yang 楊秉元
spellingShingle	Ping-Yuan Yang 楊秉元 From the relationship between liquidity and the chance of arbitrage to examines if investor’s behaviors in the Taiwan stock index futures market are rational
author_sort	Ping-Yuan Yang
title	From the relationship between liquidity and the chance of arbitrage to examines if investor’s behaviors in the Taiwan stock index futures market are rational
title_short	From the relationship between liquidity and the chance of arbitrage to examines if investor’s behaviors in the Taiwan stock index futures market are rational
title_full	From the relationship between liquidity and the chance of arbitrage to examines if investor’s behaviors in the Taiwan stock index futures market are rational
title_fullStr	From the relationship between liquidity and the chance of arbitrage to examines if investor’s behaviors in the Taiwan stock index futures market are rational
title_full_unstemmed	From the relationship between liquidity and the chance of arbitrage to examines if investor’s behaviors in the Taiwan stock index futures market are rational
title_sort	from the relationship between liquidity and the chance of arbitrage to examines if investor’s behaviors in the taiwan stock index futures market are rational
publishDate	2004
url	http://ndltd.ncl.edu.tw/handle/63639451791181084222
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From the relationship between liquidity and the chance of arbitrage to examines if investor’s behaviors in the Taiwan stock index futures market are rational

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