Replication package for "Measuring Migration Across Futures Contract Sizes: Three Measures and an Invariance Result"
Year: 2026
Type: dataset
Abstract: Replication package for the article "Measuring Migration Across Futures Contract Sizes: Three Measures and an Invariance Result". The package reproduces every number, table and figure in the article from public data. It contains the retrieval scripts, the source extracts published by the Taiwan Futures Exchange, the constructed contract-day and pair-day panels, the stored results files, the four figures as published, and the manuscript source that the build and verification scripts read. All exchange data were retrieved through a locked cutoff of 24 July 2026, and every result in the article is computed from that vintage. The index-futures panel covers the 483 trading days from 29 July 2024, the Micro-TAIEX listing date, through the cutoff. The single-stock futures panel covers 34 matched contract pairs from 27 June 2016. Two verification scripts are included. verify.py runs 81 automated checks of every reported coefficient, test statistic, bootstrap interval, rank correlation, invariance deviation, selection count and share against the stored results files. verify_intro.py runs a further 29 checks of the introductory case-study figures, the margin schedules and the illiquidity results. Both report zero problems on the deposited version. All scripts locate their inputs relative to the package root, so the package runs from wherever it is unpacked with no path editing. See README.md for the file inventory and the reproduction sequence. No proprietary or restricted data were used.
Author: Chang, Liang-Cheng
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7204781748