The Efficiency Analysis of TAIFEX Single Stock Futures
| Autor: | CHEN,YU-CHEN, 陳玉珍 |
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| Rok vydání: | 2019 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 107 This paper examines the efficiency of Taiwan’s single stock futures (SSFs) by pricing. We use the spread of the best bid-ask quotes of SSFs in compared with the counterparts of its underlying stock. It is found that only 48% of SSFs spreads are lower than one stock tick. In contrast, more than 94% of the underlying stock spreads are lower than one stock tick. After adjusting for the cost-of-carry of the best bid-ask quotes of SSFs, the quotes price of SSFs are reasonable. But there is a significant difference between the best bid-ask quotes of SSFs and underlying stocks. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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