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題名:交易持續時間與交易價格衝擊之關係
書刊名:管理與系統
作者:菅瑞昌 引用關係王健聰 引用關係闕河士 引用關係
作者(外文):Chien, AndyWang, JanchungChueh, Horace
出版日期:2009
卷期:16:4
頁次:頁533-554
主題關鍵詞:市場微結構交易持續時間資訊不對稱Market microstructureTrade time durationAsymmetric information
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(1) 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:1
  • 共同引用共同引用:1
  • 點閱點閱:28
本研究以採取電腦自動撮合制度的台灣期貨交易所爲研究對象,檢驗台股指數期貨的交易持續時間與交易價格衝擊的關係。實證發現,兩者之間存在著倒U型的非線性關係,而過去文獻卻指出,在具有造市者的報價驅動市場中,二者則具有負的線性關係。此項差異可能是起因於,電腦自動撮合市場的限價委託單交易者,無法如同造市者一般快速地調整報價。此外,實證結果也顯示,位於開收盤時段和成交量較大的交易,以及交易前較小的報價深度,都會使價格產生較大的變動。
This study examines empirically the relationship between the time duration and the price impact of trades for the TAIEX index futures traded on TAIFEX which is an electronic order-driven market. The results show that a U shape nonlinear relationship between the time duration and the price impact of trades. In contrast, the previous literature documents a negative relationship in the quote-driven market with market makers. The phenomenon may attribute to the slower adjustment of quote by limit order providers in the electronic order-driven market than by market makers. In addition, trades have a greater impact on quotes in the open and the close of a trading day. Trades with larger trading volume and smaller depth have a greater impact on quotes.
期刊論文
1.Madhavan, Ananth、Smidt, Seymour(1991)。A Bayesian Model of Intraday Specialist Pricing。Journal of Financial Economics,30(1),99-134。  new window
2.Easley, D.、O'Hara, M.(1992)。Time and Process of Security Price Adjustment。Journal of Finance,47(2),577-605。  new window
3.Brennan, Michael J.、Subrahmanyam, Avanidhar(1995)。Investment analysis and price formation in securities markets。Journal of Financial Economics,38(3),361-381。  new window
4.Handa, P.、Schwartz, R.、Tiwari, A.(2003)。Quote Setting and Price Formation in an Order Driven Market。Journal of Financial Markets,6(4),461-489。  new window
5.Hasbrouck, Joel(1991)。The Summary Informativeness of Stock Trades: An Econometric Analysis。The Review of Financial Studies,4(3),571-595。  new window
6.Diamond, Douglas W.、Verrecchia, Robert E.(1987)。Constraints on short-selling and asset price adjustment to private information。Journal of Financial Economics,18(2),277-311。  new window
7.Glosten, Lawrence R.、Harris, Lawrence E.(1988)。Estimating the Components of the Bid/Ask Spread。Journal of Financial Economics,21(1),123-142。  new window
8.Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。  new window
9.Samuelson, Paul A.(1965)。Proof that Properly Anticipated Prices Fluctuate Randomly。Industrial Management Review,6(2),41-49。  new window
10.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
11.Foucault, Thierry(1999)。Order Flow Composition and Trading Costs in A Dynamic Limit Order Market。Journal of Financial Markets,2(2),99-134。  new window
12.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
13.Glosten, Lawrence R.、Milgrom, Paul R.(1985)。Bid, ask and transaction prices in a specialist market with heterogeneously informed traders。Journal of Financial Economics,14(1),71-100。  new window
14.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
15.Hasbrouck, Joel(1991)。Measuring the Information Content of Stock Trades。Journal of Finance,46(1),179-207。  new window
16.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
17.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
18.江明憲、鄭淯隆(2004)。影響台灣股市日內股價變動因素之探討。中山管理評論,第十二卷第一期,173-193 頁。new window  延伸查詢new window
19.Chen, J. H., Jiang, C. X., Kim, J. C., and McInish, T. H.(2003)。Bid-ask Spreads, Information Asymmetry, and Abnormal Investor Sentiment: Evidence from Closed-end Funds。Review of Quantitative Finance and Accounting,21(4),pp. 303-320。  new window
20.Dufour, A. and Engle, R. F.(2000)。Time and the Impact of a Trade。Journal of Finance,55(6),pp. 2467-2498。  new window
21.Engle, R. F. and Lange, J.(2001)。Predicting VNET: A Model of the Dynamics of Market Depth。Journal of Financial Markets,4(2),pp. 113-142。  new window
22.Engle, R. F. and Patton, A. J.(2004)。Impact of Trades in an Error-Correction Model of Quote Prices。Journal of Financial Markets,7(1),pp. 1-25。  new window
23.Huang, Y. C.(2002)。Trading Activity in Stock Index Futures Markets: The Evidence of Emerging Markets。Journal of Futures Markets,22(10),pp. 983-1003。  new window
24.Huang, Y. C.(2004)。The Market Microstructure and Relative Performance of Taiwan Stock Index Futures: A Comparison of the Singapore Exchange and the Taiwan Futures Exchange。Journal of Financial Market,7(3),335-350。  new window
25.Kempf, A.、Korn, O.(1999)。Market Depth and Order Size。Journal of Financial Market,2(1),29-48。  new window
圖書
1.Harris, Larry(2003)。Trading and Exchanges: Market Microstructure for Practitioners。New York, NY:Oxford University Press。  new window
 
 
 
 
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