The Impacts of Different Types of Information Announcement on Price Discovery in Taiwan Stock and Futures Markets
碩士 === 淡江大學 === 財務金融學系碩士班 === 102 === This paper studies competition in price discovery between the Taiwan 50 ETF (TTT) and TX for the different types of information announcement on Hasbrouck’s (1995) information shares model. The sample period extends from January 2, 2005 to December 31, 2012. Usin...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/70295648949391075984 |
| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 102 === This paper studies competition in price discovery between the Taiwan 50 ETF (TTT) and TX for the different types of information announcement on Hasbrouck’s (1995) information shares model. The sample period extends from January 2, 2005 to December 31, 2012. Using matched synchronous intraday trading data, Johansen’s maximum likelihood estimator is employed to disclose the cointegration relationship among the TX and TTT.
Results indicate that two price series are a cointegrated system with one long-run stochastic trend. Estimated coefficients of the vector error correction model suggest that price adjustment takes place in the TTT, but not in the TX. The results show that the TX provide more price discovery than do the TTT overall. However the contribution of the TTT to discovery increases in the time surrounding information announcement. Because informed traders with private firm-specific information are more likely to trade in individual stocks, and possibly increase informational contribution of the spot market.
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