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題名:實施SPAN保證金計收制度對臺灣期貨市場品質的影響
書刊名:管理與系統
作者:吳佳蓁謝舒帆 引用關係
作者(外文):Wu, Chia-chenHsieh, Shu-fan
出版日期:2013
卷期:20:1
頁次:頁139-164
主題關鍵詞:SPAN保證金計收制度流動性市場深度波動性價格效率性SPAN margins systemLiquidityMarket depthPrice volatilityPrice efficiency
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(2) 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:2
  • 共同引用共同引用:14
  • 點閱點閱:40
台灣期交所於2007年10月開始採用美國芝加哥商業交易所所推出的SPAN系統作為其保證金計算之系統,以期能準確地估算交易者的部位風險。本研究探討實施SPAN制度對期貨市場交易之流動性、波動性及價格效率性的影響。我們以台指期貨與小台指期貨契約為樣本,為考慮變數間的內生性問題,採用Chou and Wang(2006)所提出的結構方程式模型,實證結果發現實施SPAN保證金計收制度會使台指和小台指期貨的交易量較實施前增加、有效價差較實施前縮小,但價格波動亦較實施前增加;在市場效率性方面,發現實施SPAN制度後會促進期貨市場的價格效率。總體而言,更為精確的保證金計收制度會增加期貨市場的流動性、提高市場深度,並改善市場之價格效率性,但同時也會增加價格波動性。
This paper examines the impact of SPAN margins system, which was adopted by the Taiwan Futures Exchange in October 2007, on market performances. In this study, we use the three-equation structural proposed by Chou and Wang (2006) to test the impact of SPAN margins system on the liquidity, market depth, volatility and price efficiency of the Taiwan futures market. Our findings suggest that a more precise margins system improves the market liquidity and price efficiency while it increases price volatility.
期刊論文
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13.Hardouvelis, G. A.、Kim, D.(1995)。Margin Requirements, Price Fluctuations and Market Participation in Metal Futures。Journal of Money, Credit and Banking,27(3),659-671。  new window
14.Chou, R. K.、Wang, G. H. K.(2006)。Transaction tax and market quality of the Taiwan stock index futures。The Journal of Futures Markets,26(12),1195-1216。  new window
15.Hardouvelis, Gikas A.(1990)。Margin requirements, volatility, and the transitory component of stock prices。American Economic Review,80(4),736-762。  new window
16.Hansen, Lars Peter(1982)。Large Sample Properties of Generalized Method of Moments Estimators。Econometrica: Journal of the Econometric Society,50(4),1029-1054。  new window
17.Hausman, Jerry A.(1978)。Specification tests in econometrics。Econometrica: Journal of the Econometric Society,46(6),1251-1271。  new window
18.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Ebens, Heiko(2001)。The Distribution of Realised Stock Return Volatility。Journal of Financial Economics,61(1),43-76。  new window
19.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
20.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
21.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
22.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross- section and Time-series Effects。Journal of Financial Markets,5(1),31-56。  new window
23.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
24.Kupiec, P.(1994)。The Performance of S&P 500 Futures Product Margins under the SPAN Margining System。The Journal of Futures Markets,14(7),789-811。  new window
25.Fishe, R.、Goldberg, L.(1986)。The Effects of Margins on Trading in the Futures Markets。The Journal of Futures Markets,6(2),261-271。  new window
研究報告
1.Eldor, R.、Hauser, S.、Yaari, U.(2009)。Safer Margins for Option Trading: How Accuracy Promotes Efficiency。  new window
 
 
 
 
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