交易方法一致性能提高市场效率吗？来自台湾单一股票期货市场的证据

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2025-04-20 DOI:10.1002/fut.22588

Chien-Liang Chiu, Jui-Cheng Hung, Chia-Feng Chen, Chia-Wei Hsieh

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引用次数: 0

摘要

本研究探讨在台湾现货市场实施盘中连续拍卖方法对单一股期货市场价格发现的影响。研究结果突出了将基础现货市场的交易方法与SSF市场的交易方法相结合的优势，从而改善了SSF的价格发现。差异中的差异分析验证了我们的发现。此外，价差、流动性和信息强度等关键因素显著影响价格发现的横截面变化。值得注意的是，杠杆——期货合约的一个基本特征——在这种交易方法的一致性之后，对SSF价格发现具有强烈而积极的影响。

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Does Trading Method Alignment Improve Market Efficiency? Evidence From Taiwan Single-Stock Futures Market

This study examines the impact of implementing an intraday continuous auction method in Taiwan's spot market on price discovery in the single-stock futures (SSFs) market. The findings highlight the advantages of aligning the trading method of the underlying spot market with that of the SSF market, leading to improved price discovery in SSFs. A difference-in-differences analysis validates our findings. In addition, key factors such as spread, liquidity, and information intensity significantly influence cross-sectional variation in price discovery. Notably, leverage—a fundamental feature of futures contracts—has a strong and positive effect on SSF price discovery following this alignment of trading methods.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.