Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures
研究了台湾普通型和迷你型股指期货在价格发现中的贡献，发现普通期货主导价格发现，但引入风险保证金系统后因机构投资者套利交易增多而减弱。
Abstract We investigate the contributions of the Taiwan regular and mini index futures to price discovery. We find that the regular futures provide more price discovery, which is inconsistent with the findings for the US futures markets. This dominance of regular futures became relatively weaker after the introduction of the standard portfolio analysis of the risk margin system because of more arbitrage trades mainly executed by institutional investors. We show the effect of the introduction of an integrated margin system on the price‐discovery processes and efficiencies for futures with the same underlying asset but different contract sizes.