TAIFEX與SIMEX執行成本與資訊解析之比較研究

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：52

、訪客IP：18.119.133.138

姓名

呂玠珮(Jeich-Pei Lu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

TAIFEX與SIMEX執行成本與資訊解析之比較研究

相關論文

★ 類股指數期貨交易對現貨、台股指數期貨市場之影響	★ 產業對股市投資策略的影響(漲買跌賣及反向操作投資策略)
★ 成立金融控股公司之投資效率與風險評估--以我國銀行為例	★ 微結構雜訊交易與市場績效

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

台灣期交所之台股指數期貨契約是以「臺灣證券交易所發行量加權股價指數」作為現貨之摽的，自掛牌交易以來，只有一年半多之時間，由於交易歷史不長，大多文章多只針對期貨市場是否會增加現貨市場的波動性而進行實證，卻少有針對此兩市場之台股指數期貨作價格執行及不同市場機制下相對績效之比較。因此在本篇論文中，將著重於分析TAIFEX及SIMEX在交易制度的差異下，哪一個市場可以提供較佳之報價，即探討哪一市場之交易人所需負擔的交易成本較低，哪一市場較能解析資訊及降低價格的不確定性。實證結果摘要如下：
1.在價格執行績效方面：
在SIMEX公開競價市場中，市創者及流動性提供者的彼此激烈競爭，除可使交易人獲得較佳之執行價格外，高交易量亦提供交易人高流動性之保障，顯示交易成本與市場機制為市場競爭力之重要考量因素。
2.在資訊解析方面：
SIMEX市場之價格波動性高、資訊不對稱程度低，且實現價差高於TAIFEX，顯示公開喊價機制在市創者、流動性提供者參與下，對資訊反應較具效率。此外，SIMEX之價格變動領先TAIFEX，顯示高交易量之SIMEX市場較能反應即時資訊。
本研究實證結果顯示，SIMEX之價格執行績效與資訊解析能力均較TAIFEX來得有效率，然而，台股指數期貨為台灣本土指數期貨商品，因此相關主管機關應致力於提升TAIFEX競爭力，以提供交易人更好的避險管道，使台灣金融市場早日成熟穩定，邁向國際化。

關鍵字(中)

★ 執行成本
★ 市場價差
★ 實現價差
★ 市場機制
★ 資訊不對稱成本
★ 價格執行績效
★ 資訊解析
★ 台股指數期貨

關鍵字(英)

論文目次

圖次與表次…………………………………………………………Ⅱ
第一章緒論…………………………………………………………1
第一節、研究動機…………………………………………………1
第二節、研究目的…………………………………………………3
第三節、研究架構…………………………………………………5
第二章 TAIFEX與SIMEX市場交易機制及期貨契約之比較………7
第一節、SIMEX期貨交易制度概述 ………………………………8
第二節、TAIFEX期貨交易制度概述………………………………9
第三節、TAIFEX與SIMEX市場交易機制及期貨契約內容比較…10
第四節、TAIFEX與SIMEX外顯性交易成本之比較………………14
第三章文獻回顧…………………………………………………18
第一節、市場交易機制、交易效率與波動性 …………………18
第二節、交易機制與買賣價差 …………………………………21
第三節、外顯成本對交易效率之影響 …………………………23
第四章研究方法 ………………………………………………29
第一節、資料來源與樣本刪選 …………………………………29
第二節、執行成本衡量指標 ……………………………………31
第三節、單根、共整合及誤差修正模型 ………………………35
第五章實證結果分析……………………………………………39
第一節、波動性與交易量………………………………………39
第二節、價格執行績效…………………………………………41
第三節、資訊不對稱成本及資訊解析…………………………52
第四節、價格資訊傳遞…………………………………………58
第六章結論與建議..……………………………………………62
第一節、結論……………………………………………………62
第二節、研究建議………………………………………………63
參考文獻 …………………………………………………………64

參考文獻

台灣期貨交易所（1999），「世界主要期貨交易所暨結算機構制度資料摘錄」，出版書籍。
李志宏（1999），「交易制度對價格執行及資訊解析之影響：以SIMEX及OSE為例」，證券市場發展季刊第十一卷第一期，1-24。
李志宏，李進生，周賓凰，何振文（1999），「各國當沖制度之比較與我國應採行之作法」，中華民國證券商商業同業公會委託研究計畫。
周雨田，李志宏 (1999)，「台股指數期貨交易對台灣股市之影響：市場波動性、流動性、過度反應及資訊不對稱之實證研究」,working paper.
洪政維 (1999)，「台股指數期貨交易對現貨影響之研究」。國立中央大學財務管理研究所碩士論文。
潘景興（1998），「台灣股票集中與店頭市場執行成本之比較與探討」，國立中央大學財務管理研究所碩士論文。
Admati, A. and P. Pfleiderer, 1988, A theory of intraday patterns: volume and price variability, Review of Financial Studies 1, 3-40.
Amihud. Y. and H. Mendelson, 1980, Dealership Market: Market-making with inventory, Journal of Financial Economics 8, 31-53.
Amihud. Y. and H. Mendelson, 1990, The Effects of a Transaction Tax on Securities Returns and Value, Mid-American Institute, August 26.
Amihud. Y. and H. Mendelson, 1991, Volatility, Efficiency, and Trading﹕Evidence From the Japanses Stock Market, Journal of Finance, 1765-1789.
Bacha O. and A. F. Vila, 1994, Futures markets, regulation and volatility: The case of the Nikkei stock index futures markets, Pacific-Basin Finance Journal 2, 201-225.
Becker, B., E. Lopez, V. Berberi-Doumar, R. Cohn, and A. Adkins, 1992, Automated Securities Trading, Journal of Financial Service Research, 327-341.
Beebower, G. and W. Priest, 1980, The Tricks of the Trade,.Journal of Portfolio Management 6, no 2, 36-42.
Benveniste, L.M., A.J. Marcus and W.J. Wilhelm, 1992, What’s special about the specialistNULL Floor exchange versus computerized market mechanisms, Journal of Financial Economics 32, 61-86.
Berkowitz, Stephen, Dennis Logue, and E. Noser, 1988, The Total Cost of Transactions on the NYSE, Journal of Finance 43, 97-112.
Block, S. B., D. W. French and T. H. McInish, 1994, NYSE execution costs: A Case Study of a Leading Bank, Journal of Financial Services Research 8, no 3, 163-175.
Brennan, M. J., 1986, A Theory of Price Limits in Futures Markets, Journal of Financial Economics 16, 213-233.
Charles M. C. Lee and Mark J. Ready, 1991, Inferring Trade Direction from Intraday Data, Journal of Finance 2, 733-748.
Choe H. And H.S. Shin, 1993, An Analysis of Interday and Intraday Return Volatility: Evidence from Korea Stock Exchange, Pacific-Basin Finance Journal 1,75-188.
Choe H. And H.S. Shin, 1993, An Analysis of Interday and Intraday Return Volatility: Evidence from Korea Stock Exchange, Pacific-Basin Finance Journal 1,75-188.
Christina, Y. L.A and JIA HE, 1991, Variance-Ratio Test of Random Walks in Foreign Exchange Rates, Journal of Finance 46, no 2, 773-786.
Cohen K., S. Maier, R. Scheartz and D. Whitcomb, 1977, The Impact of Designated Market Makers on Security Prices, Journal of Banking and Finance, 219-247.
Collins, B.M. and F.J. Fabozzi, 1991, A Methodology for Measuring Transaction Costs, Financial Analysts Journal 147, 27-36.
Domowitz, Ian, 1990, The Mechanics of Automated Trade Execution System, Journal of Financial Intermediation 1, 167-194.
Domowitz, Ian, 1993, Equally Open and Competitive: Regulatory Approval of Automated Trade Execution in the Futures Markets, Journal Futures Markets 13, no 1, 93-113.
Engle, R. F. and C. W. J. Granger, 1987, Co-Integration and Error Correction: Representation Estimation, and Testing, Econometrica 55, no 2, 251-276.
Ewards, F. R., 1992, Taxing Transactions in Futures Markets: Objectives and Effects, Journal of Financial Services Research, 75-91.
Foster, M. M. and T. J. George, 1992, Volatility, Trading Mechanisms and International Cross-Listing, working paper.
French, K. and Roll, R., 1986, Stock Return Variances: The Arrival of Information and the Reaction of Traders, Journal of Financial Economics 17, 5-26.
Glosten, Lawrence R. and Paul R. Milgrom, 1985, Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders, Journal of Economics 14, 71-100.
Glosten, Lawrence R. and Paul R. Milgrom, 1985, Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders, Journal of Economics 14, 71-100.
Hasbrouck, J. and R.A. Schwartz, 1988, Liquidity and Execution cost in equity markets, Journal of Portfolio Management, 10-16.
John Affleck-Graves, Shantaram P. Hegde, and Rober E. Miller, 1994, Trading Mechanisms and the Components of the Bid-Ask Spread, Journal of Finance 4, 1471-1488.
Karpoff, J.M., 1989, The Relation between Price Changes and Trading Volume: A Survey, Journal of Financial and Quantitative Analysis 22, 109-126.
Khoury, S.J. and Jones, G.L., 1984, Daily Price Limits on Futures Contracts: Nature, Impact and Justification, Review of Research in Futures Markets 3, no. 1, 22-39.
Kim, Kenneth A. and S. Ghon Rhee, 1995, Price Limit Performance: Evidence from the Tokyo Stock Exchange, Working paper, University of Rhode Island.
Kuhn, B. A., Kuserk, G. J., and Locke, P., 1991, Do Circuit Breakers Moderate VolatilityNULL Evidence from October 1989, Review of Futures Markets 10, no. 1, 136-175.
Kyle, A. S., 1988, Trading Halts and Price Limits, The Review of Futures Markets 7, no. 3, 426-434.
Lo, A.W. and Craig MacKinlay, 1988, Stock market prices do not follow random walks: Evidence from a simple specification Test, Review of Financial Studies 1, 41-61.
Ma, C. K., R. P. Rao and R. S. Sears, 1989, Limit Moves and Price Resolution: The Case of The Treasury Bond Futures Market, Journal of Futures Markets 9, no. 4, 321-335.
Ma, C. K., R. P. Rao and R. S. Sears, 1989, Volatility, Price Resolution, and the Effectiveness of Price Limits, Journal of Financial Services Research 3, 165-199.
Madhavan, A., 1992, Trading Mechanisms in Securities Markets, Journal of Finance 47, 607-641.
Marcel N. Massimb and Bruce D. Phelps, 1994, Electronic Trading, Market Structure and Liquidity, Financial Analysis Journal / January-February, 39-50.
McInish, Thomas and Robert Wood, 1993, Limit Order Display on the NYSE, Working paper ( Memphis State University, Memphis, TN ).
Mendelson H., 1982, Market Behavior in a Clearing House, Econometrica 150,1505-1524.
Neal, R., 1992, A Comparison of Transaction Costs Between Competitive Market Maker and Specialist market structures, Journal of Business 65, 317-334.
Peterson, M. and D. Fialkowski, 1994, Posted versus Effective Spreads: Good Prices or Bad QuotesNULL , Journal of Financial Economics 35, 269-292.
Rhee, S. G. and C. J. Wnag, 1997, The bid-ask bounce effect and the spread size effect: Evidence from the Taiwan stock market, Pacific-Basin Finance Journal 5, 231-258.
Richard Roll, 1984, A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, Journal of Finance 4, 1127-2239.
Roger D. Huang and Hans R. Stoll, 1996, Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE, Journal of Financial Economics 41, 313 — 357.
Shyy G. and J. H., Lee, 1994, Intermarket Relationship and Information Asymmetry in Currency Futures Markets: GLOBEX vs. Simex, Review of Futures Markets 13, no. 4, 1091-1120.
Shyy G. and J. H., Lee, 1995, Price Transmission and Information Asymmetry in Bund Futures Markets: LIFFE vs. DTB, Journal of Futures Markets 15, no. 1, 115-134.
Shyy G. and J. H., Lee, 1995, Price Transmission and Information Asymmetry in Bund Futures Markets: LIFFE vs. DTB, Journal of Futures Markets 15, no. 1, 115-134.
Stoll, Hans R., 1978, The supply of Dealer Services in Securities Markets, Journal of Finance 33, 1131-1151.
Stoll, Hans R., 1985, The Stock Exchange Specialist System: An Economic Analysis, Monograph Series in Finance and Economics 2 (Salomon Brothers Center, New York, NY).
Telser, L. G., 1981, Margins and Futures Contracts, Journal of Futures Markets 1,no 2, 225-253.
Umlauf, S. R., 1993, Transaction Taxes and The Behavior of the Swedish Stock Market, Journal of Financial Economics 33, 227-240.

指導教授

李志宏(Jie-Haun Lee)

審核日期

2000-6-19

推文