| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.author (Authors) | 蘇筱芸 | zh_TW |
| dc.contributor.author (Authors) | SU，HSIAO-YUN | en_US |
| dc.creator (作者) | 蘇筱芸 | zh_TW |
| dc.creator (作者) | SU，HSIAO-YUN | en_US |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 18-Sep-2009 14:07:51 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 14:07:51 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 14:07:51 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0091351006 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35087 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 91351006 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | This paper investigates the liquidity and the bid-ask spread components of the Taiwan Stock Exchange Capitalization Weighted Stock Index futures contracts, Taiwan Stock Exchange Electronic Sector Index futures contracts, and Taiwan Stock Exchange Banking and Insurance Sector Index futures contracts traded on the Taiwan Futures Exchange, which switched from an electronic periodic call auction market to an electronic continuous auction market on July 29th 2002. It is a rare opportunity to deeply examine the liquidity and transaction cost components of financial derivatives under different trading mechanisms. Using intraday transaction data of transaction and quotes covering from March 2002 to May 2002 for the old trading mechanism and from October 2002 to December 2002 for the new trading mechanism, liquidity measures and bid-ask spread components are examined before and after the enforcement of the electronic continuous auction mechanism. First, for each type of futures contracts, liquidity measures including bid-ask spread, trading volume, trade number, trade size, volatility, and liquidity ratio are explored to show the multifacet of liquidity. Next, the model of Lin, Sanger, and Booth (1995) is used to decompose the spreads of each product in the two periods. The empirical results show that quote spreads, effective spreads, percentage effective spreads, and dollar-weighted percentage effective spreads of the new system are all significantly lower than those measures in the old system for all of the three types of futures contracts. However, other liquidity measures do not show the same patterns. Overall, improvement of liquidity is found for futures contracts but not very consistent though. Multifacet of liquidity is showed by different measures, although two of these measures, including trade size and trade number, may not be suitable for this study. Moreover, the adverse selection is the most important component in the call auction market, which decreases in the continuous auction market. However, the change of other components, including order processing cost and order persistence, does not demonstrate the same pattern. The results indicate that the electronic continuous auction system protects uninformed traders from being hurt by informed traders. However, we also show that each type of futures contracts has its own specific component structure. | en_US |
| dc.description.tableofcontents | Abstract………………………………………………………………………11.Instruction…………………………………………………………………22. Trading Mechanisms of Taiwan Futures Exchange…………………113. Data Description and Methodology…………………………………15 3.1 Data Description……………………………………………………15 3.2 Methodology…………………………………………………………16 3.2.1 Liquidity Measures…………………………………………16 3.2.2 Bid-Ask Spread Components…………………………………214. Empirical Results………………………………………………………24 4.1 Liquidity……………………………………………………………24 4.2 Bid-Ask Spread Components………………………………………305. Conclusion………………………………………………………………36Reference……………………………………………………………………39 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0091351006 | en_US |
| dc.subject (關鍵詞) | 期貨市場 | zh_TW |
| dc.subject (關鍵詞) | 台灣期貨交易所 | zh_TW |
| dc.subject (關鍵詞) | 流動性 | zh_TW |
| dc.subject (關鍵詞) | 交易成本 | zh_TW |
| dc.subject (關鍵詞) | 買賣價差 | zh_TW |
| dc.subject (關鍵詞) | Bid-Ask | en_US |
| dc.subject (關鍵詞) | Spread Components | en_US |
| dc.subject (關鍵詞) | Taiwan Futures Exchange | en_US |
| dc.subject (關鍵詞) | Liquidity | en_US |
| dc.subject (關鍵詞) | Transaction Cost | en_US |
| dc.title (題名) | 台灣期貨市場之買賣價差因子分析 | zh_TW |
| dc.title (題名) | Bid-Ask Spread Components in Taiwan Futures Exchange | en_US |
| dc.type (資料類型) | thesis | en |
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