[[alternative]]The Impact of Extending Trading Hours on Returns and Volatility--An Example of Taiwan Security Market and Futures Market

[[abstract]] 台灣證券市場從2001年1月2日起，每日交易時間由3小時延長到4.5小時，而期貨市場之交易時間，也從原本的3.5小時延長到5小時，此新制度的實行，改變了台灣金融市場行之多年的交易習慣。本研究主要探討延長交易時間制度實施前後，是否會對股票及期貨報酬與波動性產生影響，以台股指數、電子指數、金融指數、台股期貨、電子期貨及金融期貨為主要研究對象。六種研究樣本資料選取期間皆為2000年1月到2001年12月的每日收盤價，主要結論如下： 1.在報酬的研究方面，交易時間延長前一年的台股指數、電子指數及金融指數之報酬在交易時間延長之後，受落後期之報酬及報酬殘差的影響減少，表示其市場訊息的傳遞速度已獲得改善。交易時間延長前後的台股期貨報酬並沒有明顯改變，而電子期貨及金融期貨之報酬則在交易時間延長之後，不受到落後期之報酬及報酬殘差之影響，表示其市場訊息的傳遞速度已獲得改善。2.在波動性的研究方面，交易時間延長前後的台股指數與台股期貨波動性並沒有明顯改變，表示大盤指數的波動性不會因為交易時間的延長而有所改變，因此，若不考慮對總體經濟指標，如生產率、失業率的影響，單純就市場績效的觀點而言，政府全面推行全天交易是可行的。電子指數與金融指數的波動性在交易時間延長之後，其受落後期的影響有所增加，表示波動的持續性增加，市場反應資訊的能力減少；而電子期貨與金融期貨的波動性在交易時間延長之後，其受落後期的影響趨於緩和，表示波動的持續性減少，市場反應資訊的能力增加。 [[abstract]] This study mainly focuses on the impact of extending trading hours on the return and volatility of stocks and futures. The daily price data dated from 2000/1-2001/12 of stock indexes and index futures were obtained from TSEC and TAIFEX. The main research results include: 1. Research in return shows that indicates the transmission speed of market information has been improved in the year-before period of extending trading hours among Taiwan Stock Index, Electronic Sector Index and Banking and Insurance Sector Index. Taiwan Stock Index futures return does not have great changes in the year-before period and year-after period of extending trading hours, and Electronic Sector Index futures and Banking and Insurance Sector Index futures did not be affected by lagged return and residual that indicates the transmission speed of market information has been improved in the year-after period of extending trading hours.2. Research in volatility presents that volatilities in Taiwan Stock Index and Taiwan Stock Index futures did not exist significant change in the year-before period and year-after period of extending trading hours, indicating volatility of stock index doesn’t have any change due to extending trading hours. Therefore, without considerating effects on macro economy such as productivity rate, unemployment rate, all-day trading would be feasible from the perspective of market performance. Volatilities of Electronic Sector Index and Banking and Insurance Sector Index are slightly influenced by lagged term in the year-after period of extending trading hours, indicating volatility persistence increasing, ability for market reacting to information declining; volatilities of Electronic Sector Index futures and Banking and Insurance Sector Index futures tend to smooth influence by lagged term in the year-after period of extending trading hours that indicates when volatility persistently decrease, the ability for market reacting to information will rally.