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題名：買賣價差之分解-TAIFEX與SGX-DT之比較
書刊名：管理評論
作者：黃玉娟 引用關係／陳嘉琳
作者(外文)：Huang, Yu Chuan／Chen, Chia-lin
出版日期：2004
卷期：23:1
頁次：頁49-72
主題關鍵詞：價差成份；日內型態；交易機制；股價指數期貨；Spread components；Intraday patterns；Trading mechanism；Stock index futures
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(4) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:4
  • 共同引用共同引用:20
  • 點閱點閱:32
本研究探討台指期貨契約於TAIFEX與SGX-DT兩個不同交易機制的市場中，其價差成份之大小。透過LSB(1995)與Glosten and Harris(1988)兩個模型的價差分解，本研究發現台指期的逆選擇相對較小，而摩台指的逆選擇則相對較大；在訂單處理成本方面，透過訂單持續性的影響，推論在集合競價的交易制度下較容易產生將大交易切割成數筆小交易的情形，故在訂單處理成本固定的條件下，台指期每單位的訂單處理成本比較大，而摩台指的訂單處理成本則較小。在日內型態方面，摩台指與台指期的日內價差型態皆呈現U型，尤其以開盤後的第一個時段有較大的價差；在逆選擇的日內型態方面，摩台指大致上於開盤時有較大的逆選擇，而台指期則於開盤與收盤時有較小的逆選擇；在訂單處理成本的日內型態方面，摩台指於收盤時有較大的訂單處理成本，台指期則於開盤與收盤有較大的訂單處理成本，故呈現明顯的U型。
Abstract: This study explores empirically the components of bid-ask spreads and their intraday patterns for the Taiwan stock index futures contracts traded on the SGX-DT and TAIFEX. Using both LSB and Glosten and Harris's models, this study finds that the adverse information component is larger, and the order processing cost component is smaller on the SGX-DT than on the TAIFEX. For both contracts, the intraday spreads follow a U-shaped pattern. The adverse information cost is larger at the opening of a trading day for the SGX-DT whereas the adverse information cost of TAIFEX shows a reverse U-shaped pattern during a day. The order processing cost is larger at the closing of a trading day for the SGX-DT whereas the order processing cost of TAIFEX shows a U-shaped pattern during a day.
期刊論文
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會議論文
1.Chen, M.、Chou, R. K.、Shyy, G.(2002)。An Empirical Investigation of ECNs and Market Markers: Order Imbalances and Spread Patterns。London, UK。  new window
研究報告
1.Chueh, H.、Yen, S.(2002)。Decomposition of Bid-Ask Spreads in the Stock index Futures Market。沒有紀錄。  new window
2.Lin, J. C.(1992)。Order Persistence, Adverse Selection, and Gross Profits Earned by NYSE Specialists。沒有紀錄。  new window
3.Ranaldo, A.(2002)。Transaction Costs on the Swiss Stock Exchange。沒有紀錄。  new window
4.Vandelanoite, S.(2002)。Takeover Announcements and the Components of the Bid-Ask Spread。France。  new window
其他
1.黃玉娟(2003)。The Market Microstructure and Relative Performance of Taiwan Stock Index Futures: A Comparison of Singapore Exchange and Taiwan Futures Exchange，沒有紀錄。  new window
 
 
 
 
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