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題名 台灣期貨市場買賣價差估計值與實際交易成本之研究
Are spread estimators consistent with transaction cost of Taiwan Futures Exchange?
作者 鄧君祈
Chun Chi,Teng
貢獻者 郭維裕
鄧君祈
Chun Chi,Teng
關鍵詞 買賣價差
交易成本
估計值
日期 2006
上傳時間 18-Sep-2009 19:57:42 (UTC+8)
摘要 This paper focuses on if common effective spread estimators are appropriate for the proxy of Taiwan Futures Exchange. I use public available time and sales data, apply three methods, Roll’s (1984), Thompson and Waller’s (1988), and Smith and Whaley’s (1994) to assess effective spread, and then, compare them with the measured transaction costs proposed by Demsetz (1968). My results indicate that the latter two estimators not only are highly correlated with true transaction costs, but also provide good estimates, while Roll’s estimator appears to be inappropriate applied.
參考文獻 Bacidore, J., Ross, K., Sofianos, G., 2002. Quantifying market order excution quality at the New York stock market. Journal of Financial Markets 6, 281-307.
Bessembinder, H., 2002. Issues in assessing trade execution costs. Journal of financial market 6, 233-257.
Chen, D.H., and Blenman, L.P., 2003. An extended model of serial covariance bid-ask Spreads. International Journal of Business and Economics 2, 75-83
Demsetz, H., 1968. The cost of transacting. Quarterly Journal of Economics 82, 33-53.
Ellis, K., Michaely, R., O’Hara, M.,2000. The accuracy of trade classification rules: evidence from Nasdaq. Journal of Financial and Quantitative Analysis 35, 529-552.
Finucane, T.J., 2000, A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data, Journal of Financial and Quantitative Analysis 35, 553-576.
Garbade, K. and Z. Lieber, 1977, On the Independence of Transactions on the, New York Stock Exchange, Journal of Banking and Finance 1, 151-172.
Harris, L., 1990. Statistical properties of the Roll serial covariance bid/ask spread estimator. Journal of Finance 45, 579-590.
Harris, L., 1990. Estimation of stock price variances and serial covariances from discrete observations. Journal of Financial and Quantitative Analysis25, 291-306.
Lee, C.M.C., Ready, M.J., 1991. Inferring trade direction from intraday data. Journal of Finance 46, 733-746.
Locke, P.R., Venkatesh, P.C., 1997. Futures market transaction costs. Journal of Futures Markets 17, 229-245.
Neiderhofer, V. and Osborne, M.F.M., 1966. Market making and reversal on the Stock Exchange. Journal of the American Statistical Association 61, 897–916.
Peterson, M., and Sirri, E., 2002. Evaluation of the biases in execution cost estimation using trade and quote data. Journal of Financial Markets 6, 259-280.
Roll, R., 1984. A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance 39, 1127-1139.
Schultz, P., 2000. Regulatory and legal pressures and the costs of Nasdaq trading. Review of Financial Studies 13, 917-958.
Smith, T., Whaley, R.E., 1994, Estimating the effective bid/ask spread from time and sales data. Journal of Futures Market 14, 437-455.
Thompson, S.R., and Waller, M.L., 1988, Determinants of liquidity costs in commodity futures markets. Review of Futures Market 7, 110-126.
Stoll, H.R., 1989. Inferring the components of the bid/ask spread: theory and empirical tests. Journal of Finance 44, 115-134.
Werner, I.M., 2002. NYSE order flow, spreads and information. Journal of Financial Markets 6, 309-335.
描述 碩士
國立政治大學
國際經營與貿易研究所
94351002
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094351002
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (Authors) 鄧君祈zh_TW
dc.contributor.author (Authors) Chun Chi,Tengen_US
dc.creator (作者) 鄧君祈zh_TW
dc.creator (作者) Chun Chi,Tengen_US
dc.date (日期) 2006en_US
dc.date.accessioned 18-Sep-2009 19:57:42 (UTC+8)-
dc.date.available 18-Sep-2009 19:57:42 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 19:57:42 (UTC+8)-
dc.identifier (Other Identifiers) G0094351002en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/36857-
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) 94351002zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (摘要) This paper focuses on if common effective spread estimators are appropriate for the proxy of Taiwan Futures Exchange. I use public available time and sales data, apply three methods, Roll’s (1984), Thompson and Waller’s (1988), and Smith and Whaley’s (1994) to assess effective spread, and then, compare them with the measured transaction costs proposed by Demsetz (1968). My results indicate that the latter two estimators not only are highly correlated with true transaction costs, but also provide good estimates, while Roll’s estimator appears to be inappropriate applied.zh_TW
dc.description.tableofcontents I. Abstract………………………………………P.2

II. Introduction………………………………P.3

III. Methodology Review………………………P.9

IV. Data…………………………………………P.14

V. Empirical Results…………………………P.16

VI. Conclusions………………………………P.21

VII. References………………………………P.22		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/#G0094351002en_US
dc.subject (關鍵詞) 買賣價差zh_TW
dc.subject (關鍵詞) 交易成本zh_TW
dc.subject (關鍵詞) 估計值zh_TW
dc.title (題名) 台灣期貨市場買賣價差估計值與實際交易成本之研究zh_TW
dc.title (題名) Are spread estimators consistent with transaction cost of Taiwan Futures Exchange?en_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Bacidore, J., Ross, K., Sofianos, G., 2002. Quantifying market order excution quality at the New York stock market. Journal of Financial Markets 6, 281-307.zh_TW
dc.relation.reference (參考文獻) Bessembinder, H., 2002. Issues in assessing trade execution costs. Journal of financial market 6, 233-257.zh_TW
dc.relation.reference (參考文獻) Chen, D.H., and Blenman, L.P., 2003. An extended model of serial covariance bid-ask Spreads. International Journal of Business and Economics 2, 75-83zh_TW
dc.relation.reference (參考文獻) Demsetz, H., 1968. The cost of transacting. Quarterly Journal of Economics 82, 33-53.zh_TW
dc.relation.reference (參考文獻) Ellis, K., Michaely, R., O’Hara, M.,2000. The accuracy of trade classification rules: evidence from Nasdaq. Journal of Financial and Quantitative Analysis 35, 529-552.zh_TW
dc.relation.reference (參考文獻) Finucane, T.J., 2000, A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data, Journal of Financial and Quantitative Analysis 35, 553-576.zh_TW
dc.relation.reference (參考文獻) Garbade, K. and Z. Lieber, 1977, On the Independence of Transactions on the, New York Stock Exchange, Journal of Banking and Finance 1, 151-172.zh_TW
dc.relation.reference (參考文獻) Harris, L., 1990. Statistical properties of the Roll serial covariance bid/ask spread estimator. Journal of Finance 45, 579-590.zh_TW
dc.relation.reference (參考文獻) Harris, L., 1990. Estimation of stock price variances and serial covariances from discrete observations. Journal of Financial and Quantitative Analysis25, 291-306.zh_TW
dc.relation.reference (參考文獻) Lee, C.M.C., Ready, M.J., 1991. Inferring trade direction from intraday data. Journal of Finance 46, 733-746.zh_TW
dc.relation.reference (參考文獻) Locke, P.R., Venkatesh, P.C., 1997. Futures market transaction costs. Journal of Futures Markets 17, 229-245.zh_TW
dc.relation.reference (參考文獻) Neiderhofer, V. and Osborne, M.F.M., 1966. Market making and reversal on the Stock Exchange. Journal of the American Statistical Association 61, 897–916.zh_TW
dc.relation.reference (參考文獻) Peterson, M., and Sirri, E., 2002. Evaluation of the biases in execution cost estimation using trade and quote data. Journal of Financial Markets 6, 259-280.zh_TW
dc.relation.reference (參考文獻) Roll, R., 1984. A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance 39, 1127-1139.zh_TW
dc.relation.reference (參考文獻) Schultz, P., 2000. Regulatory and legal pressures and the costs of Nasdaq trading. Review of Financial Studies 13, 917-958.zh_TW
dc.relation.reference (參考文獻) Smith, T., Whaley, R.E., 1994, Estimating the effective bid/ask spread from time and sales data. Journal of Futures Market 14, 437-455.zh_TW
dc.relation.reference (參考文獻) Thompson, S.R., and Waller, M.L., 1988, Determinants of liquidity costs in commodity futures markets. Review of Futures Market 7, 110-126.zh_TW
dc.relation.reference (參考文獻) Stoll, H.R., 1989. Inferring the components of the bid/ask spread: theory and empirical tests. Journal of Finance 44, 115-134.zh_TW
dc.relation.reference (參考文獻) Werner, I.M., 2002. NYSE order flow, spreads and information. Journal of Financial Markets 6, 309-335.zh_TW