Mispricing, Volatility, Volume and Open Interest：Evidence from Taiwan Single Stock Futures

• Main Authors: Fan, Hsing-Min, 樊興敏
• Other Authors: Hsieh, Wen-Liang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/73633621998095289682

碩士 === 國立交通大學 === 管理學院財務金融學程 === 100 === This study examines the relation between the mispricing, volatility, volume and open interest of Taiwan Single-stock futures (SSFs) using vector autoregressive model (VAR). The Granger causality test shows that only one significant causality relationship is found between the rate of change in the open interest and mispricing. In the forecast error variance decomposition, for mispricing, volatility, volume and open interest, each series has the higher degree of interpretation (all greater than 90%) for its own than for other series. In the impulse response function analysis, the rise of changes in the rate of volatility has both positive and negative impacts on the change in mispricing. The impulse response gradually decays after the third period. Volume is greatly affected by the mispricing. Both volume and volatility are impacted by their lag information. All impact by rapidly decline after the first period.