Intraday Patterns in the Taiwan Stock Index Futures:The Comparison of SIMEX and TAIFEX

[[abstract]]本研究主要探討臺灣加權股價指?期貨 (臺指期貨 )及摩根臺股指?期貨(摩臺指期)之日內交?型態以及價?因果關係。?用日內每五分鐘之交?資?進?分析，主要實證結果如下：(1)臺指期貨、摩臺指期及其下午盤的交??與報酬波動性型態皆為Ｕ型曲線，然而日內報酬則沒有一致的型態出現；而臺指期貨與摩臺指期在交??及報酬波動性上驗證『市場關門??』存在。(2) 開盤報酬對收盤報酬顯示臺指期貨與摩臺指期開盤的波動性高於收盤的波動性，然而並?顯著。(3) 日內報酬對隔夜報酬的實證結果驗證?交?時間的波動性顯著大於非交?時間的波動性，顯示『交?訊息效果』是存在的。[[abstract]]This paper investigates the intraday patterns and price-volume relationship of Taiwan Stock Index Futures that traded on SIMEX and TAIFEX. Using the 5 minutes transactions data, we find significant U-shape intraday pattern for trading volatility and volume. However, this pattern doesn’t hold for intraday return in both SIMEX and TAIFEX. The empirical results support the information theory and the market closure theory but not the trading mechanism