Year-end Sale % OFF 
Abstract
By using the equality test and panel regression, we study the effects of around the last five minutes call auction of underlying stock market on price behaviors of continuous trading TAIFEX index futures. First, continuous trading enables a better reaction to new information and improved risk sharing, resulting in a larger trading volume. Moreover, high systematic volatility loadings, during the hided call auction period in stock market, will increase their price and lowers their average return. With high uncertainty during last 5 minutes call auction period with hided information, futures markets are characterized by price volatility in excess of the theoretical volatility of equilibrium prices.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
