On the Index Futures, Trading Volume, and Technical Analysis--A Market Microstructure Approach
Date Issued
2007
Date
2007
Author(s)
Hsu, Chih-Hsiang
DOI
zh-TW
Abstract
Chapter 3 discusses the informational role of the prices of futures and index futures. We find that the introduction of both futures and index futures improve market efficiency because their prices reveals some information which is not contained in the stock prices. Moreover, the introduction of index futures sometimes has improvement because it makes some prices of stocks with dependent fundamental values become correlated.
Chapter 4 and 5 investigate the informational role of trading volumes and technical analysis. Our theoretical models show that volume can provide additional information which prices cannot reveal. Also, the information provided by trading volumes is useful for technical analysts and improves their expected utilities.
Subjects
指數期貨
交易量
技術分析
市場微結構
Index futures
Trading volume
Technical Analysis
Market Microstructure
Type
thesis
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