Price Impacts on Unexpected Day-Trading: Evidence of TAIFEX Futures

[[abstract]]本文研究探討期貨市場中未預期的當沖量(DT)、交易量(V)及未平倉量(OI)對於期貨價格波動性的影響及波動性不對稱(Asymmetric Effects)的現象。研究對象為台灣期貨交易所發行之台指期貨(TAIEX)，樣本期間自2007年10月8日到2009年10月29日。將當沖量、交易量及未平倉量區分成預期量及未預期量，以EGARCH為研究模型。實證結果發現:未預期的當沖能使市場價格得以修正並趨向於均衡，且未預期的當沖與報酬呈現顯著的負向關係。此外，當我們在模型中加入風險溢酬因子(Risk premium)，則在金融危機期間未預期的當沖與報酬轉呈現正向關係。在波動性不對稱方面，負面消息對波動性的影響比起正面消息是來的大，顯示市場對於負面消息的衝擊反應較迅速且幅度也較大[[abstract]]This thesis investigates the effect on unexpected impulse of day-trading open interest and trading volume to volatility and related asymmetric effects in Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX) We use EGARCH models to examine the relationship among day-trading open interest and trading volume which are partitioned into expected and unexpected ones form Oct 8 2007 to Oct 29 2009 We find that futures price are back to the equilibrium quickly when unexpected day-trading are considered Moreover unexpected day-trading is significantly negative to return when considers the risk premium in the model however it is significantly positive with the return during the financial crisis The result that impulses of bad news are greater than those of good news supports the asymmetric effect which is consistent with the expectation aspect in literatur