Price discovery between regular and mini index futures in the Taiwan Futures Exchange

Yun-Yi Wang, Chiung-Chiao Chang and Wan-Chen Lee

International Review of Economics & Finance, 2013, vol. 27, issue C, 224-237

Abstract: This study explores the dynamics of the price discovery process between the regular and mini index futures traded on the Taiwan Futures Exchange (TAIFEX). In contrast to the US futures market, the TAIFEX operates under an automated electronic trading system for both types of contracts. After controlling for the differences in the trading mechanisms, we demonstrate that mini index futures make a greater contribution than regular index futures to the price discovery process within the TAIFEX. Regression analyses show that both relative liquidity and relative changes in liquidity between regular and mini index futures contribute to the price discovery of the mini index futures.

Keywords: Price discovery; Information shares; Liquidity; Mini futures (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:27:y:2013:i:c:p:224-237

DOI: 10.1016/j.iref.2012.10.001

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