The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market

2013 ◽  
Author(s):  
Robin K. Chou ◽  
George H. K. Wang ◽  
Yun-Yi Wang
Keyword(s):  
Futures Market ◽  
Market Liquidity ◽  
Trading Strategies ◽  
Index Futures ◽  
Day Trading

scholarly journals The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China

2012 ◽  
Author(s):  
Wang Chun Wei ◽  
Alex Frino
Keyword(s):  
Futures Market ◽  
Market Liquidity ◽  
Stock Index ◽  
Stock Index Futures ◽  
Contagion Effect ◽  
Index Futures ◽  
Empirical Results ◽  
Open Session ◽  
The Impact ◽  
Closure Theory

This study investigates the trading activity of Chinese stock index futures, recently introduced at the open and close of the underlying trading. We document the impact of the underlying spot on the futures market liquidity as well as volatility as discussed in earlier works on market closure theory. Our empirical results support previous literature on the impact of the underlying, particularly during the open session, as a contagion effect, which is clearly at play. We find significant U-shaped patterns in liquidity factors and intraday volatility during open and close trades in the morning.  

Are technical trading strategies still profitable? Evidence from the Taiwan Stock Index Futures Market

2012 ◽  
Vol 22 (12) ◽  
pp. 955-965 ◽  
Author(s):  
Yi-Chein Chiang ◽  
Mei-Chu Ke ◽  
Tung Liang Liao ◽  
Cin-Dian Wang
Keyword(s):  
Futures Market ◽  
Trading Strategies ◽  
Stock Index ◽  
Stock Index Futures ◽  
Technical Trading ◽  
Index Futures

Cross-Market Linkages of Taiwan Index Futures Contracts Listed on the Taiwan Futures Exchange and the Singapore Exchange

2007 ◽  
Vol 10 (04) ◽  
pp. 561-583 ◽  
Author(s):  
Hung-Gay Fung ◽  
Qingfeng "Wilson" Liu ◽  
Gyoungsin "Daniel" Park
Keyword(s):  
Stock Exchange ◽  
Trading Strategies ◽  
Stock Index ◽  
Futures Contracts ◽  
Stock Index Futures ◽  
Index Futures ◽  
Taiwan Stock Exchange ◽  
Market Linkages ◽  
Cointegration Tests ◽  
Causality Tests

Cointegration tests and ex ante trading rules are applied to study cross-market linkages between the Taiwan Index futures contracts listed on the Singapore Exchange and the Taiwan Stock Exchange Capitalization-weighted Stock Index futures contracts listed on the Taiwan Futures Exchange. The exchange rate-adjusted returns of the two futures series do not differ significantly in mean but in variances, and show significant mean-reverting tendencies between them. Our trading strategies are able to generate statistically significant, if economically insignificant, profits, while our Granger causality tests demonstrate that information flows primarily from the Singapore market to the Taiwan market, a result confirming other research.

The efficiency of the U.S. dollar index futures market

1990 ◽  
Vol 10 (5) ◽  
pp. 469-479 ◽  
Author(s):  
Giora Harpaz ◽  
Steven Krull ◽  
Joseph Yagil
Keyword(s):  
Futures Market ◽  
Index Futures ◽  
The U.S

Day-trading of Nikkei 225 Index Futures based on Chaos Theory

2007 ◽  
pp. 1161-1170
Author(s):  
Tadashi Iokibe ◽  
Takashi Kimura ◽  
Yasunari Fujimoto ◽  
Yasuyuki Kuratsu
Keyword(s):  
Chaos Theory ◽  
Index Futures ◽  
Day Trading
Sign in / Sign up

Export Citation Format

Share Document