正规交易和开盘后交易的价格连续性,收益率和波动性溢出效应
Chien-Liang Chiu1, Ting-Huan Chang2, I-Fan Hsiao3
1Department of Banking and Finance, Tamkang University, New Taipei City, Taiwan.
PloS one
|March 11, 2024
概括
台湾期货交易所的常规和下午交易显示价格连续性,下午交易影响常规会期. 常规交易波动性会影响下班时间,但不是反之,突出显示台湾.
科学领域:
- 金融经济学 金融经济学
- 市场微观结构 市场微观结构
- 计量经济学 计量经济学
背景情况:
- 全球金融市场越来越相互关联,需要进行全面的风险评估.
- 了解期货市场的溢出和到期影响对于投资策略至关重要.
- 时间外交易的动态及其对市场稳定的影响需要审查.
研究的目的:
- 分析台湾期货交易所的常规和超时交易,使用双变的EGARCH模型.
- 评估欧洲和美国市场对台湾交易会的影响.
- 调查售后交易中的价格发现,风险披露和对冲行为.
主要方法:
- 应用一个双变异的指数式通用自行回归条件异质二元化 (EGARCH) 模型.
- 检查溢出效应,到期效应,波动性聚类和不对称性.
- 分析常规交易会和下午交易会之间的价格连续性和波动性传播.
主要成果:
- 在常规交易和下午交易之间观察到显著的价格连续性.
- 常规交易波动性会影响开盘后的波动性,但事实并非相反.
- 交易时间后的波动性吸收国际市场信息,并提前揭示风险.
结论:
- 售后交易对于塑造市场预期和为定期交易决策提供信息至关重要.
- 台湾市场信息的风险影响比欧洲和美国市场数据更大.
- 时间外交易在全球风险管理和战略制定中起着至关重要的作用.
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