of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage … hypothesis that the liquidity of the constituents is increased after the introduction of TTT. Although both changing patterns … among categories of size and sector are not significantly different, most of the liquidity measures of smaller companies …

the abnormal returns and volatility changes of those component stocks. The empirical results show that, after the removal … volatility. To reduce the possible impact on volatility, the authorities may take the activity of margin transactions into …

futures are not treated as financial derivatives, naïve hedge outperforms complex models. If the futures pricing theory is …