Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges
β Scribed by Huimin Chung; Mei-Maun Hseu
- Book ID
- 116575254
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 156 KB
- Volume
- 18
- Category
- Article
- ISSN
- 1042-4431
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π SIMILAR VOLUMES
## Abstract This paper focuses on the increasing competition between exchanges for listing similar index futures contracts and the impact this has on information dissemination between various markets. Specifically, using both the Hasbrouck and GonzaloβGranger methodologies for extracting the inform
## Abstract This article examines the crossβborder competition in price discovery between the Taiwan Futures Exchange (TAIFEX) and the Singapore Exchange Derivatives Trading (SGX). We focused on the impact of market reforms on the information leadership of similar contracts traded on the two exchan
## Abstract Both the Singapore Exchange (SGX) and the Taiwan Futures Exchange (TAIFEX) offer future contracts based on Taiwan's stockβmarket indices. TAIFEX reduced the transaction tax from 5 basis points to 2.5 basis points on May 1, 2000. Hence, empirical tests are performed on the differences in
## Abstract On May 1, 2000, the Taiwan government reduced the tax levied on futures transactions on the Taiwan Futures Exchange from 5 to 2.5 basis points. This event provides a unique opportunity to test empirically the impact of a tax rate reduction on trading volume, bidβask spreads, and price