The Comparison of Optimal Price Formation Processes for Different Trading Performance Futures Contracts

博士 === 國立成功大學 === 企業管理學系碩博士班 === 94 ===  The Taiwan futures market altered its price formation process of middle trading session from call auction to continuous auction on July 29, 2002. This dissertation investigates the effects of price formation process on the futures market quality by analyzing...

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Main Authors: Mei-Hsing Cheng, 鄭美幸
Other Authors: Hsin-Hong Kang
Format: Others
Language:zh-TW
Published: 2005
Online Access:http://ndltd.ncl.edu.tw/handle/33922699591076749229
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spelling ndltd-TW-094NCKU51210012016-06-03T04:14:22Z http://ndltd.ncl.edu.tw/handle/33922699591076749229 The Comparison of Optimal Price Formation Processes for Different Trading Performance Futures Contracts 不同交易表現的期貨契約之最適價格撮合制度之比較研究 Mei-Hsing Cheng 鄭美幸 博士 國立成功大學 企業管理學系碩博士班 94  The Taiwan futures market altered its price formation process of middle trading session from call auction to continuous auction on July 29, 2002. This dissertation investigates the effects of price formation process on the futures market quality by analyzing the liquidity ratio and P-GARCH (1, 1) model. Also, the optimal price formation processes for futures contracts with which trading performance are different are compared. Meanwhile, we use the method of Bessmbinder and Seguin (1993) to examine the volatility-volume relations for the Taiwan futures market, and investigate the effects of price formation process on the volatility-volume relations.  The paper shows that for Taiwan Stock Index Futures (TX) liquidity and information efficiency are improved significantly, and the intraday volatility reduced, not significantly though, after transferring into the continuous auction. For the other two futures contracts, The Electronic Sector Index (TE) and the Banking and Insurance Sector Index (TF), continuous auction is helpful to increase liquidity and decrease volatility, but it is harmful to information efficiency. The results indicate that the continuous auction is optimal for the highly traded futures contracts, yet it may not for the thinly traded ones.  Consistent with previous studies, we find that the trading volume is positively related to daily returns volatility, and the open interest is negatively related to volatility. The effects of unexpected components of trading volume and open interest on volatility are larger than those of expected components. The effect of price formation process on volatility-volume relations is not notable, which may because that the new price formation process is only applied to the middle trading session and remains the closing session unchanged.  Besides, I found that the relations between volatility and trading activities are much stronger for TE and TF than for TX. Furthermore, under continuous auction the effects of expected trading volume and unexpected open interest on volatility and the magnitude of an increase in unexpected open interest lessens the impact of an unexpected trading volume on volatility is larger, and the ratio of unexpected volume effect on volatility to expected volume effect on volatility is smaller for TX, and all are reversed for TE and TF. The evidences show that an unknown linkage between the market performance and the volatility-volume relations exists. Hsin-Hong Kang 康信鴻 2005 學位論文 ; thesis 110 zh-TW
collection NDLTD
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description 博士 === 國立成功大學 === 企業管理學系碩博士班 === 94 ===  The Taiwan futures market altered its price formation process of middle trading session from call auction to continuous auction on July 29, 2002. This dissertation investigates the effects of price formation process on the futures market quality by analyzing the liquidity ratio and P-GARCH (1, 1) model. Also, the optimal price formation processes for futures contracts with which trading performance are different are compared. Meanwhile, we use the method of Bessmbinder and Seguin (1993) to examine the volatility-volume relations for the Taiwan futures market, and investigate the effects of price formation process on the volatility-volume relations.  The paper shows that for Taiwan Stock Index Futures (TX) liquidity and information efficiency are improved significantly, and the intraday volatility reduced, not significantly though, after transferring into the continuous auction. For the other two futures contracts, The Electronic Sector Index (TE) and the Banking and Insurance Sector Index (TF), continuous auction is helpful to increase liquidity and decrease volatility, but it is harmful to information efficiency. The results indicate that the continuous auction is optimal for the highly traded futures contracts, yet it may not for the thinly traded ones.  Consistent with previous studies, we find that the trading volume is positively related to daily returns volatility, and the open interest is negatively related to volatility. The effects of unexpected components of trading volume and open interest on volatility are larger than those of expected components. The effect of price formation process on volatility-volume relations is not notable, which may because that the new price formation process is only applied to the middle trading session and remains the closing session unchanged.  Besides, I found that the relations between volatility and trading activities are much stronger for TE and TF than for TX. Furthermore, under continuous auction the effects of expected trading volume and unexpected open interest on volatility and the magnitude of an increase in unexpected open interest lessens the impact of an unexpected trading volume on volatility is larger, and the ratio of unexpected volume effect on volatility to expected volume effect on volatility is smaller for TX, and all are reversed for TE and TF. The evidences show that an unknown linkage between the market performance and the volatility-volume relations exists.
author2 Hsin-Hong Kang
author_facet Hsin-Hong Kang
Mei-Hsing Cheng
鄭美幸
author Mei-Hsing Cheng
鄭美幸
spellingShingle Mei-Hsing Cheng
鄭美幸
The Comparison of Optimal Price Formation Processes for Different Trading Performance Futures Contracts
author_sort Mei-Hsing Cheng
title The Comparison of Optimal Price Formation Processes for Different Trading Performance Futures Contracts
title_short The Comparison of Optimal Price Formation Processes for Different Trading Performance Futures Contracts
title_full The Comparison of Optimal Price Formation Processes for Different Trading Performance Futures Contracts
title_fullStr The Comparison of Optimal Price Formation Processes for Different Trading Performance Futures Contracts
title_full_unstemmed The Comparison of Optimal Price Formation Processes for Different Trading Performance Futures Contracts
title_sort comparison of optimal price formation processes for different trading performance futures contracts
publishDate 2005
url http://ndltd.ncl.edu.tw/handle/33922699591076749229
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