Price Transmission Dynamics among the TAIEX,the TAIFEX Futures, and the TiMSCI Futures

• Main Authors: Li-Chen Chen, 陳俐臻
• Other Authors: Ming-Chieh Wang
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/50189318072961202547

碩士 === 國立暨南國際大學 === 國際企業學系 === 98 === We study price discovery ability among the Taiwan Stock Price Index Markets by employing the Hasbrouck information share method. Using data from TAIEX spot, TAIFEX futures, and the TiMSCI futures, empirical results find that the movements of any of two are interrelated. The paper shows that there exists strong information transmission from the futures markets to spot markets. In addition, we find that the contribution of TAIFEX futures in price discovery process increase after the reduction of TAIFEX markets tax rate. Therefore, the result is consistent with transaction costs hypothesis. We suggest that the investors are more concerned about TAIFEX futures in the future.