Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange

Yu Lun Chen, Yin Feng Gau

研究成果: 雜誌貢獻期刊論文同行評審

45 引文 斯高帕斯(Scopus)

摘要

This study examines the competition in price discovery among stock index, index futures, and index options in Taiwan. The price-discovery ability of the Taiwan Top 50 Tracker Fund, an exchange-traded fund based on the Taiwan 50 index is examined. The authors find that, after the minimum tick size in the stock market decreases, the bid-ask spreads of the component stocks of the stock index and the Taiwan Top 50 Tracker Fund get lower, and the contribution of the spot market to price discovery increases.

原文???core.languages.en_GB???
頁(從 - 到)74-93
頁數20
期刊Journal of Futures Markets
29
發行號1
DOIs
出版狀態已出版 - 1月 2009

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