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題名:市場透明度與價格群聚:臺灣指數期貨市場之實證分析
書刊名:臺灣期貨與衍生性商品學刊
作者:鍾惠民 引用關係陳煒朋邱敬貿
作者(外文):Chung, HuiminChen, Wei-pengChiu, Junmao
出版日期:2011
卷期:13
頁次:頁95-118
主題關鍵詞:市場透明度價格群聚市場品質市場微結構Market transparencyPrice clusteringMarket qualityMarket microstructure
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:3
  • 點閱點閱:74
台灣期貨交易所於2008年4月7日開始實施盤後公佈當日三大法人期貨與選擇權交易部位資訊,本研究則足針對此一事件分析其對於期貨市場影響,亦即探討市場透明度的提升對於價格群眾程度的影響變化。實證結果發現,台灣期貨交易所盤後公佈三大法人交易部位之制度,有助於降低市場價格群眾的程度,亦即市場透明度的提升,有助於市場投資人對價格資訊的了解與掌握,因此會使市場參與者以較精確的價格進行交易,進而降低市場價格群眾的程度。而這樣的實證結果,也符合Ball,Torous&hchoegl(1985)的最適價格決定假說與Harris(1991)的協商假說的概念。而就實務政策意涵而言,台灣期貨交易所的盤後公佈三大法人交易資訊的措施,有助間接降低投資人的隱性交易成本,進而提升台指期貨的市場品質,有著正面的經濟功能。
期刊論文
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2.Ohta, Wataru(2006)。An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange。Journal of Banking and Finance,30,1023-1037。  new window
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5.O'Hara, M.(2003)。Presidential Address: Liquidity and Price Discovery。Journal of Finance,58(4),1335-1354。  new window
6.Zakay, D.、Hornik, Z.、Cherian, J.(1994)。The influence of prototypic values on the validity of studies using time estimates。Journal of the Market Research Society,36,145-147。  new window
7.Madhavan, Ananth(2000)。Market Microstructure: A Survey。Journal of Financial Markets,3(3),205-258。  new window
8.Brown, Philip、Chua, Angeline、Mitchell, Jason(2002)。The influence of cultural factors on price clustering: Evidence from Asia-Pacific stock markets。Pacific-Basin Finance Journal,10,307-332。  new window
9.Gwilym, Owain Ap、Clare, Andrew、Thomas, Stephen(1998)。Extreme price clustering in the London equity index futures and options markets。Journal of Banking and Finance,22,1193-1206。  new window
10.Harris, L.(1991)。Stock price clustering and discreteness。Review of Financial Studies,4,389-415。  new window
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13.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2001)。The Distribution of Realized Exchange Rate Volatility。Journal of the American Statistical Association,96(453),42-55。  new window
14.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
15.闕河士(2003)。摩根台股指數期貨契約價格群聚現象之實證。管理學報,20(4),689-720。new window  延伸查詢new window
16.Ball, C.A.、Torous, W.、Tschoegl, A.E.(1985)。The Degree 01 Price Resolution: The Case of the Gold Market。Journal of Futures Markets,5,29-43。  new window
17.Bloomfield, R.、O'Hara, M.(2000)。Can Transparent Markets Survive?。Journal of Financial Economics,55,425-459。  new window
18.Board, J.、Sutcliffe, C.(2000)。The Proof of the Pudding: the Effects of Increased Trade Transparency in the London Stock Exchange。Journal of Business Finance and Accounting,27,887-909。  new window
19.Board, J.、Sutcliffe, C.(1996)。Trade Transparency and the London Stock Exchange。European Financial Management,2,355-365。  new window
20.Chowdhry, B.、Nanda, V.(1991)。Multi-market Trading and Market Liquidity。Review of Financial Studies,4,483-511。  new window
21.Chung, H.、Chiang, S.(2006)。Price Clustering in b-mini and Floor-traded Index Futures。Journal of Futures Markets,26,269-96。  new window
22.Easley, D.、O'Hara, M.(2010)。Microstructure and ambiguity。Journal of Finance,65(5),1817-1846。  new window
23.Gemmill, G.(1996)。Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules。Journal of finance,51(5),1765-1790。  new window
24.Brown, P.、Mitchell, J.(2008)。Culture and Stock Price Clustering: Evidence from the Peoples' Republic of China。Pacific-Basin Finance Journal,16,95-102。  new window
25.Dumitrescu, A.(2010)。Liquidity and Optimal Market Transparency。European Financial Management,16,599-623。  new window
26.Ikenberry, D.、Weston, J.P.(2007)。Clustering in US Stock Prices after Decimalization。European Financial Management,14,30-54。  new window
27.Loomes, G.(1988)。Different Experimental Procedures for Obtaining Valuations of Risky Actions: Implications for Utility Theory。Theory and Decision,25,1-23。  new window
28.Madhavan, A.(2002)。Market Microstructure: A Practitioner's Guide。Financial Analysts Journal,58,28-42。  new window
29.Martinez, V.、Tse, Y.(2006)。Multi-market Trading in the Gold Futures Market。Review of Futures Markets,15,239-263。  new window
30.Bloomfield, R.、O'Hara, M.(1999)。Market Transparency: Who Wins and Who Loses?。Review of Financial Studies,12,5-33。  new window
31.Newey, W.K.、West, K.D.(1987)。A Simple Positive Semi-detimte, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix。Econometnca,55,703-708。  new window
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33.Porter, D.C.、Weaver, D.G(1998)。Post-Trade Transparency on Nasdaq's National Market System。Journal of Financial Economies,50,231-252。  new window
34.O'Hara, M.(2007)。Optimal Microstructures。European financial Management,13,825-832。  new window
35.Schwartz, A.L.、Van Ness, B.F.、Van Ness, R.A.(2004)。Clustering in the Futures Market: Evidence from S&P 500 Futures Contracts。Journal of futures Markets,5,413-428。  new window
圖書
1.O'Hara, Maureen(1995)。Market Microstructure Theory。Cambridge, Massachusetts:Basil Blackwell Publisher Inc.。  new window
2.Goodhart, C.、Curcio, R.(1991)。The Clustering of Bid-Ask Prices and Spread in the Foreign Exchange Markets。Discussion Paper。London。  new window
 
 
 
 
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