This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends the conditional OLS model described by Miffre [Journal of Futures Markets 24 (2004) 945] by including stock market liquidity in the regression model. The empirical results...

This paper analyzes the impact of the transfer from a call auction to continuous trading on futures price behavior. Using tick by tick data from the Taiwan Futures Exchange (TAIFEX), the empirical results show that the reduction in the costs of information asymmetry and an improvement in price...