The Relationship between Market Depth and Mispricing on TAIFEX

• Main Authors: Fu-Jia Jheng, 鄭富嘉
• Other Authors: Horace Chueh
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/65679907293652717906

碩士 === 國立高雄第一科技大學 === 金融營運所 === 93 === This research is through the non-arbitrage block to deviate from the futures price of the intraday trade datum, measuring the mispricing towards market depth, volatility, duration, maturity, uncertainty of dividend yield, bid-ask spread and bull and bear market. Intraday trade datum from the 1st of January, 2000 to December 31, 2003 while studying, stock and source of the intraday trade datum of futures all offer the Taiwan Economic Journal Database (TEJ ) . The main empirical of results finding larger market depth induces that mispricing becomes more. This makes the views of the area in behavior finance be supported. In addition, volatility , uncertainty of dividend yield, bid-ask spread, bear and bull market also make sense to measure mispricing.