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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题名:	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
作者:	陳菁徽;Ching-Hui Chen
贡献者:	財務金融研究所
关键词:	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;transaction tax;index futures;Taiwan Futures Exchange;Singapore Exchange;decomposition;bid-ask spread
日期:	2003-06-13
上传时间:	2009-09-22 14:36:08 (UTC+8)
出版者:	國立中央大學圖書館
摘要:	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。 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.
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