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Price discovery between regular and mini index futures in the Taiwan Futures Exchange

Author

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  • Wang, Yun-Yi
  • Chang, Chiung-Chiao
  • Lee, Wan-Chen

Abstract

This study explores the dynamics of the price discovery process between the regular and mini index futures traded on the Taiwan Futures Exchange (TAIFEX). In contrast to the US futures market, the TAIFEX operates under an automated electronic trading system for both types of contracts. After controlling for the differences in the trading mechanisms, we demonstrate that mini index futures make a greater contribution than regular index futures to the price discovery process within the TAIFEX. Regression analyses show that both relative liquidity and relative changes in liquidity between regular and mini index futures contribute to the price discovery of the mini index futures.

Suggested Citation

  • Wang, Yun-Yi & Chang, Chiung-Chiao & Lee, Wan-Chen, 2013. "Price discovery between regular and mini index futures in the Taiwan Futures Exchange," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 224-237.
  • Handle: RePEc:eee:reveco:v:27:y:2013:i:c:p:224-237
    DOI: 10.1016/j.iref.2012.10.001
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    1. repec:eee:empfin:v:43:y:2017:i:c:p:59-73 is not listed on IDEAS
    2. repec:eee:reveco:v:55:y:2018:i:c:p:308-323 is not listed on IDEAS
    3. Liu, Dehong & Lung, Pei Peter & Lallemand, Justin, 2015. "Anticipation of takeovers in stock and options markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 19-35.
    4. Chung, Kee H. & Park, Seongkyu “Gilbert” & Ryu, Doojin, 2016. "Trade duration, informed trading, and option moneyness," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 395-411.

    More about this item

    Keywords

    Price discovery; Information shares; Liquidity; Mini futures;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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