94
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

The impact of speculative trading activities on the speculative market: a case of Taiwan stock index futures market

, &
Pages 1761-1768 | Published online: 04 Nov 2010

References

  • Board , JLG and Sutcliffe , CMS . 1990 . Information volatility, volume and maturity: an investigation of stock index futures . Review of Futures Markets , 9 : 533 – 49 .
  • Bollerslev , T . 1986 . Generalized autoregressive conditional heteroscedasticity . Journal of Econometrics , 31 : 307 – 27 .
  • Bollerslev , T , Chou , RY and Kroner , KF . 1992 . ARCH modeling in finances: a review of the theory and empirical evidence . Journal of Econometrics , 52 : 5 – 59 .
  • Butterworth , D . 2000 . The impact of futures trading on underlying stock index volatility: the case of the FTSE Mid 250 contract . Applied Economics Letters , 7 : 439 – 42 .
  • Chen , Y , Duan , J and Hung , M . 1999 . Volatility and maturity effect in the Nikkei 225 index futures . Journal of Futures Markets , 19 : 895 – 909 .
  • Chou , HC , Chen , WN and Chen , DH . 2006 . The expiration effects of stock-index derivatives: empirical evidence from the Taiwan futures exchange . Emerging Markets Finance and Trade , 42 : 81 – 102 .
  • Chou , RK and Wang , GHK . 2006 . Transaction tax and market quality of the Taiwan stock index futures . Journal of Futures Markets , 26 : 1195 – 216 .
  • Clark , P . 1973 . A subordinated stochastic process model with finite variance for speculative prices . Econometrica , 41 : 135 – 56 .
  • Fung , H and Patterson , GA . 2001 . Volatility, global information and market conditions: a study in futures markets . Journal of Futures Markets , 21 : 173 – 96 .
  • Glosten , LR , Jagannathan , R and Runkle , DE . 1993 . On the relation between the expected value and the volatility of the nominal excess return on stocks . Journal of Finance , 48 : 1779 – 801 .
  • Hadsell , L . 2006 . A TARCH examination of the return volatility–volume relationship in electricity futures . Applied Financial Economics , 16 : 893 – 901 .
  • Kalotychou , E and Staikouras , SK . 2006 . Volatility and trading activity in short sterling futures . Applied Economics , 38 : 997 – 1005 .
  • Kim , J . 2005 . An investigation of the relationship between bond market volatility and trading activities: Korea treasury bond futures market . Applied Economics Letters , 12 : 657 – 61 .
  • Ljung , GM and Box , GEP . 1978 . On a measure of lack of fit in time series models . Biometrika , 65 : 297 – 303 .
  • Luu , J and Martens , M . 2003 . Testing the mixture-of-distributions hypothesis using ‘realized’ volatility . Journal of Futures Markets , 23 : 661 – 79 .
  • Mcmillan , DG and Speight , EH . 2003 . Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures . Applied Financial Economics , 13 : 599 – 607 .
  • Moosa , IA and Bollen , B . 2001 . Is there a maturity effect in the price of the S&P 500 futures contract? . Applied Economics Letters , 8 : 693 – 5 .
  • Omran , M and Mckenzie , E . 2000 . Heteroscedasticity in stock returns data revisited: volume versus GARCH effects . Applied Financial Economics , 10 : 553 – 60 .
  • Shields , K . 1997 . Threshold modelling of stock return volatility on eastern European markets . Economics of Planning , 30 : 107 – 25 .
  • Stoll , HR and Whaley , RE . 1991 . Expiration-day effects: what has changed? . Financial Analysts Journal , 47 : 58 – 72 .
  • Tauchen , GE and Pitts , M . 1983 . The price variability–volume relationship on speculative markets . Econometrica , 51 : 485 – 505 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.