Impacts on the Relative Futures to Stock Volume and Earnings Announcement on Market Responses
碩士 === 國立彰化師範大學 === 財務金融技術學系 === 106 === This study examines the effect of futures volume relative to stock volume (F/S) and earnings announcement on market responses. The sample is single stock futures issued by Taiwan Futures Exchange in 2016 and 2017. The market reaction per unit of unexpected ea...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/u3qwcb |
| Summary: | 碩士 === 國立彰化師範大學 === 財務金融技術學系 === 106 === This study examines the effect of futures volume relative to stock volume (F/S) and earnings announcement on market responses. The sample is single stock futures issued by Taiwan Futures Exchange in 2016 and 2017. The market reaction per unit of unexpected earnings is lower for firms that have higher F/S prior to earnings announcement. We also examine the effect of pre-announcement returns on the relationship between relative option trading and earning response coefficients (ERCs). The pre-announcement returns lead to ERC on firms that have higher F/S prior to earnings announcement with is much lower.
The higher information trading of futures made the market reaction per unit of unexpected earnings is lower. Our results suggest that the flow of information from options markets dilutes the information content of accounting information by documenting a negative impact of F/S on ERCs. It also means informed trading by futures traders stimulates pre-emption of the information content of earnings releases and makes unexpected earnings less of market expected earnings. Overall, results are consistent with the view that futures improve informational efficiency.
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