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題名 The relative efficiencies of price execution between the Singapore Exchange and the Taiwan Futures Exchange
作者 周冠男;李志宏
Chou, Robin K. ; Lee,Jie-Haun
日期 2002
上傳時間 5-Nov-2008 16:53:26 (UTC+8)
摘要 Both Singapore Exchange (SGX) and Taiwan Futures Exchange (TAIFEX) offer future contracts based on the Taiwan stock market indices. Due to the structural differences between these two markets, the trading costs and speed of information transmissions are likely to be different. Since TAIFEX reduced transaction tax from 5 basis points to 2.5 basis points on May 1, 2000, we empirically test the differences in trading costs and information transmissions between SGX and TAFEX for the sample periods both before and after the tax reduction. We show that the reduction in market frictions such as taxes have a great impact on the relative efficiencies of price execution. The implicit trading costs reduced significantly and the price execution efficiencies also improved significantly after the tax reduction on TAIFEX. Our results also provide implications for the relative efficiencies of different market structures. As our empirical results show, an order driven market, such as TAIFEX, is likely to provide traders with better price execution because of the larger base of market participants and less costs of intermediation.
關聯 Journal of Futures Markets, 22(2), 173-196
資料類型 article
DOI http://dx.doi.org/10.1002/fut.2213
dc.creator (作者) 周冠男;李志宏zh_TW
dc.creator (作者) Chou, Robin K. ; Lee,Jie-Haun-
dc.date (日期) 2002en_US
dc.date.accessioned 5-Nov-2008 16:53:26 (UTC+8)-
dc.date.available 5-Nov-2008 16:53:26 (UTC+8)-
dc.date.issued (上傳時間) 5-Nov-2008 16:53:26 (UTC+8)-
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/6094-
dc.description.abstract (摘要) Both Singapore Exchange (SGX) and Taiwan Futures Exchange (TAIFEX) offer future contracts based on the Taiwan stock market indices. Due to the structural differences between these two markets, the trading costs and speed of information transmissions are likely to be different. Since TAIFEX reduced transaction tax from 5 basis points to 2.5 basis points on May 1, 2000, we empirically test the differences in trading costs and information transmissions between SGX and TAFEX for the sample periods both before and after the tax reduction. We show that the reduction in market frictions such as taxes have a great impact on the relative efficiencies of price execution. The implicit trading costs reduced significantly and the price execution efficiencies also improved significantly after the tax reduction on TAIFEX. Our results also provide implications for the relative efficiencies of different market structures. As our empirical results show, an order driven market, such as TAIFEX, is likely to provide traders with better price execution because of the larger base of market participants and less costs of intermediation.en_US
dc.format application/en_US
dc.language enen_US
dc.language en-USen_US
dc.language.iso en_US-
dc.relation (關聯) Journal of Futures Markets, 22(2), 173-196en_US
dc.title (題名) The relative efficiencies of price execution between the Singapore Exchange and the Taiwan Futures Exchangeen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1002/fut.2213en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1002/fut.2213en_US