{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,11]],"date-time":"2025-10-11T01:46:22Z","timestamp":1760147182131,"version":"build-2065373602"},"reference-count":23,"publisher":"MDPI AG","issue":"1","license":[{"start":{"date-parts":[[2023,1,10]],"date-time":"2023-01-10T00:00:00Z","timestamp":1673308800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Axioms"],"abstract":"<jats:p>This study points out a new explanation of the non-trading effect of financial derivatives from the perspective of hedging demand. We examine the influence of hedging demand on the non-trading effect of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) Futures. By dividing the sample period into trading period and non-trading period and testing the difference between the risk premiums in these two intervals, we find that there is a non-trading effect in TAIEX Futures, which means that the holding returns of TAIEX Futures in the non-trading period are higher than those in the trading period. By estimating a dummy-regression model, the evidence shows that when the VIX (Taiwan Index Option Volatility Index) indicator is relatively high, the non-trading effect will be more significant, indicating that the non-trading effect may come from investors\u2019 hedging needs. In addition, it is found that when the futures index is higher than the spot index, the non-trading effect becomes less obvious. The possible reason is that when there is a positive spread in index futures, investors will expect a bull market, thus reducing the hedging demand of index futures. In the end, we find that the liquidity in the after-hours trading session is poor, resulting in high hedging costs, and forcing investors to hedge during the regular trading period. Therefore, the after-hours trading of TAIEX Futures fails to reduce the non-trading effect.<\/jats:p>","DOI":"10.3390\/axioms12010071","type":"journal-article","created":{"date-parts":[[2023,1,11]],"date-time":"2023-01-11T04:45:58Z","timestamp":1673412358000},"page":"71","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["The Influence of Hedge, Arbitrage, and After-Hours Trading on the Holding Returns of TAIEX Futures"],"prefix":"10.3390","volume":"12","author":[{"given":"Chien-Chih","family":"Lin","sequence":"first","affiliation":[{"name":"Department of Banking and Finance, Tamkang University, New Taipei City 25137, Taiwan"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yuan Chung","family":"Lee","sequence":"additional","affiliation":[{"name":"Department of Banking and Finance, Tamkang University, New Taipei City 25137, Taiwan"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Chien-Jen","family":"Su","sequence":"additional","affiliation":[{"name":"Department of Banking and Finance, Tamkang University, New Taipei City 25137, Taiwan"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Pei-Ling","family":"Lin","sequence":"additional","affiliation":[{"name":"Department of Banking and Finance, Tamkang University, New Taipei City 25137, Taiwan"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2023,1,10]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"415","DOI":"10.1086\/232221","article-title":"Stock Prices: A Problem in Verification","volume":"4","author":"Fields","year":"1931","journal-title":"J. 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