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題名:臺灣證券市場買賣價差日內成份之研究
書刊名:華人經濟研究
作者:柯美珠
出版日期:2006
卷期:4:2
頁次:頁1-20
主題關鍵詞:買賣價差資訊不對稱成本存貨持有成本訂單處理成本
原始連結:連回原系統網址new window
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  • 點閱點閱:24
本研究以1999年之日內資料為研究對象,衡量台灣股票市場買賣價差之成份與價差成份之日內型態。本研究發現股價之共變異數為負,符合Roll(1984)與Stoll(1989)的理論推導。再者,由於開盤與收盤交易期間之價格波動較大,並且擁有私有資訊之投資人在閱盡量與收盤交易期間,易將大事責交品分成數個小額交易處理,二者交互作用下,將導致交易價格之相關條數呈現U形之日內型態。另一方面,本研究將台灣股票市場之買賣價差分解成訂單處理、存貨持有與資訊不對稱三種成份後,發現資訊不對稱與訂單處理成份對買賣價差大小之影響較大,存貨持有成份之影響較小。本研究更進一步發現,資訊不對稱成本與存貨持有成本呈現U形之日內型態,訂單處理成本則呈現U字形之日內型態。而開盤與收盤交暑期間之買賣價差,主要是由資訊不對稱成份所構成。
期刊論文
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