𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Commonality in trading activity and futures-cash basis: Evidence from the Taiwan futures and stock markets

✍ Scribed by Hsiu-Chuan Lee; Cheng-Yi Chien; Tzu-Hsiang Liao

Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
277 KB
Volume
32
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This study examines commonality in trading activity by various types of institutional investors across futures and stock markets, and the dynamic relationship between the common factors in trading activity and the futures‐cash basis. The empirical results provide evidence of commonality in trading activity by various types of institutional investors across futures and stock markets. Additionally, this study finds that the first principal component of trading activity is most closely related to the futures trading of mutual funds. Moreover, the empirical results indicate that the first principal component of trading activity and mutual funds' futures trading Granger‐cause the futures‐cash basis and vice versa. Finally, the results of the impulse response functions show that the first principal component of trading activity as well as mutual funds' futures trading have a greater impact on the futures‐cash basis than other common factors and other investor types. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:964–994, 2012

📜 SIMILAR VOLUMES

Trading activity in stock index futures
Trading activity in stock index futures markets: The evidence of emerging markets
✍ Yu Chuan Huang 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 160 KB

## Abstract This study investigates the trading activity of the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGX‐DT) Taiwan Stock Index Futures markets by analyzing the intraday patterns of volume and volatility. In addition, the market closure theory, which

The stock closing calland futures price
The stock closing calland futures price behavior: Evidence from the Taiwan futures market
✍ Hsiu-Chuan Lee; Cheng-Yi Chien; Yen-Sheng Huang 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 292 KB

## Abstract This study examines the behavior of futures prices around stock market close before and after changes to the batching period of the stock closing call. On July 1, 2002, the Taiwan Stock Exchange expanded the length of the batching period roughly 10‐fold, from an average of 30 seconds to

The Disappearing January/Turn of the Yea
The Disappearing January/Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets
✍ Andrew C. Szakmary; Dean B. Kiefer 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 172 KB 👁 1 views

## Abstract This study examines the returns, relative to the S&P 500, on cash indices and futures tracking smaller stocks around the turn of the year. While we control for volatility clustering, return autocorrelation in small stock indices, and other calendar effects, our main focus is the evoluti

Tick sizes and relative rates of price d
Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange
✍ Yu-Lun Chen; Yin-Feng Gau 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 163 KB 👁 2 views

## Abstract This study examines the competition in price discovery among stock index, index futures, and index options in Taiwan. The price‐discovery ability of the Taiwan Top 50 Tracker Fund, an exchange‐traded fund based on the Taiwan 50 index is examined. The authors find that, after the minimum

Slippage in futures markets: Evidence fr
Slippage in futures markets: Evidence from the Sydney Futures Exchange
✍ Alex Frino; Teddy Oetomo 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 128 KB

## Abstract This article examines the market‐impact cost of trades executed in futures markets, which is commonly referred to as __slippage__. With the use of a unique data set provided by the Sydney Futures Exchange, this article documents that slippage costs incurred in executing packages of trad

Information revelation in the futures ma
Information revelation in the futures market: Evidence from single stock futures
✍ Kuldeep Shastri; Ramabhadran S. Thirumalai; Chad J. Zutter 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 293 KB

## Abstract This paper analyzes 31 months of data on 137 single‐stock futures (SSFs) traded on OneChicago. The results indicate that on the days they trade, SSFs contribute approximately 24% of the price discovery for underlying stocks. Information revelation in the SSFs market decreases with the r