買賣價差之拆解－以台灣加權指數期貨與新加坡摩根台股指數期貨為例

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陳菁徽(Ching-Hui Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

買賣價差之拆解－以台灣加權指數期貨與新加坡摩根台股指數期貨為例
(The Components of the Bid-Ask Spread Between the Taiwan Futures Exchange and the Singapore Exchange)

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摘要(中)

台灣期貨交易所與新加坡交易所均提供以台灣股價指數為標的物的期貨合約，在民國89年5月1日時，台灣期貨交易所宣布交易稅由0.05%下降為0.025%，引起關於兩個市場競爭優勢變化之討論。本文主要從隱含交易成本－買賣價差的角度切入，探討交易稅降低日前後六個月，買賣價差組成份子的改變。實證結果顯示，交易稅降低使得台灣市場期貨交易買賣價差縮小，而縮小的主因來自於order-processing成份的降低，adverse-selection成份沒有顯著變化。至於新加坡市場則是兩者均沒有顯著變化。另外，進一步研究intraday pattern與size effect對組成份子的影響，均可以加強以上的實證結果。

摘要(英)

Both the Singapore Exchange (SGX) and the Taiwan Futures Exchange (TAIFEX) offer future contracts based on Taiwan’s stock market indices. TAIFEX reduced the transaction tax from 5 basis points to 2.5 basis points on May 1, 2000. This research studies the impact of reduction in the transaction tax on the components of bid-ask spread of the Taiwan Futures Exchange (TAIFEX) and its foreign competitor, the Singapore Exchange (SGX). The decrease in the transaction tax resulted in significantly tighter spreads on TAIFEX. However, the adverse-selection component did not change significantly. Almost all of the reduction occurred in the order-processing component, especially for the early trading time and the small and medium trades. Both the intraday patterns and size effect support the robustness of the above results. On the other hand, the order-processing component, the adverse-selection component, and the percentage of the spread due to adverse-selection cost did not change significantly on SGX.

關鍵字(中)

★ 買賣價差
★ 拆解
★ 交易稅
★ 指數期貨
★ 台灣期貨交易所
★ 新加坡交易所

關鍵字(英)

★ transaction tax
★ index futures
★ Taiwan Futures Exchange
★ Singapore Exchange
★ decomposition
★ bid-ask spread

論文目次

Abstract……………………………………………………………………… IV
Contents……………………………………………………………………… VI
Chapter 1. Introduction……………………………………………………….. 1
Chapter 2. Institutional Descriptions of TAIFEX and SGX………………….. 5
2.1 The Development of TAIFEX………………………………………… 5
2.2 The Differences between TAIFEX and SGX…………………………. 6
Chapter 3. Methodology and Data……………………………………………. 8
3.1 The George-Kaul-Nimalendran (GKN) model……………………….. 9
3.2 The Glosten-Harris (GH) model……………………………………… 11
3.3 The Huang-Stoll (HS) model…………………………………………. 12
3.4 Data…………………………………………………………………... 14
Chapter 4. Empirical Results…………………………………………………. 15
4.1 Quoted Spread, Effective Spread, and Trading Volume………………15
4.2 Spread Decomposition between TAIFEX and SGX………………….. 16
4.3 Spread Decomposition by Intraday Patterns………………………… 18
4.4 Spread Decomposition by Trade Size………………………………… 19
Chapter 5. Conclusion………………………………………………………... 21
References……………………………………………………………………. 22
Table 1. Summary Statistics of Trading Spreads and Volume……………….. 24
Table 2. GKN Estimates between TAIFEX and SGX………………………… 25
Table 3. GH Estimates between TAIFEX and SGX…………………………... 26
Table 4. HS Estimates between TAIFEX and SGX…………………………... 27
Table 5. HS Estimates by Intraday Patterns………………………………….. 28
Table 6. HS Estimates by Trade Size…………………………………………. 30
Figure 1. Spread Components by Intraday Patterns on TAIFEX……………... 32
Figure 2. Spread Components by Intraday Patterns on SGX…………………. 33
Figure 3. Spread Components by Trade Size on TAIFEX…………………….. 34
Figure 4. Spread Components by Trade Size on SGX………………………... 35

參考文獻

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Gibson, S., R. Singh, and V. Yerramilli, 2003, “The effect of decimalization on the components of the bid-ask spread,” University of Minnesota, Working paper.
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指導教授

賴弘能、周冠男
(Hung Neng Lai、Robin Chou)

審核日期

2003-6-22

推文