| Summary: | 碩士 === 逢甲大學 === 財務金融學系 === 106 === This paper examines the relationship between the realized skewness and trading activity in the futures market. We adopt the approach proposed by Amaya, Christoffersen, Jacobs, and Vasquez (2015) to measure the realized skewness and use it as a proxy for jump risk. The open interest, trading volume, and the number of transactions in the futures market are used as the proxy for trading activity of futures market, respectively. Using the intraday dataset of the Taiwan index futures market from January 2007 to December 2014, the resulting evidence shows that downside market price jump risk increases open interest, trading volume, and the number of transactions in the futures market, suggesting that hedging stimulate the trading activity of futures market. In addition, the finding of increased futures trading activity following large downside jump risk remains even during the period of the 2007-2009 financial crisis.
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