Using Futures Prices of Extended Trading Hours to Predict Spot Opening Prices: Evidence from the Finance Sector Index Futures and Single Stock Futures
| Autor: | CHENG， CHI-BAO, 鄭祺寶 |
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| Rok vydání: | 2019 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 107 The TAIFEX (Taiwan Futures Exchange) finance sector index futures and single stock futures markets close later and open earlier than the underlying spot markets. Using the TAIFEX finance sector index futures and single stock futures contracts as a sample and the empirical method proposed by Wang et al. (2019), this study investigates the forecasting performance of using the futures prices of extended trading hours to predict the opening spot price on the same day. The empirical results indicate that (1) using the opening futures price to predict the opening spot price on the same day outperforms using the closing futures price to predict the opening spot price on the next trading day (2) the forecasting performance of using the finance sector index futures contract to predict the opening underlying index is significantly superior to that of using the finance sector single stock futures contract to predict the opening stock price. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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