博碩士論文 954208002 完整後設資料紀錄

DC 欄位	值	語言
DC.contributor	財務金融學系	zh_TW
DC.creator	林官賢	zh_TW
DC.creator	Guan-Hsien Lin	en_US
dc.date.accessioned	2008-6-22T07:39:07Z
dc.date.available	2008-6-22T07:39:07Z
dc.date.issued	2008
dc.identifier.uri	http://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=954208002
dc.contributor.department	財務金融學系	zh_TW
DC.description	國立中央大學	zh_TW
DC.description	National Central University	en_US
dc.description.abstract	交易成本假說認為交易成本越低的市場，有助於吸引資訊交易者進場投資，進而提升該市場的價格發現能力。本文以台指期貨和小型台指期貨為研究樣本，探討此一假說在台灣期貨市場的適用性。研究結果顯示，交易成本較低的台指期貨在價格發現的過程中，扮演主要的角色，此一結果顯示交易成本假說亦適用於台灣的期貨市場。另外，實證結果也發現,推動台指期貨和小型台指期貨價格的交易人，分別為機構投資人(尤其是期貨自營商) 與散戶，顯示機構投資人具有較佳的價格發現能力。換言之，台灣期貨市場的資訊交易者，與歐美市場一樣，皆為機構投資人。	zh_TW
dc.description.abstract	This article examines the trading cost hypothesis by using Taiwan stock index futures and mini index futures. Empirical results show that Taiwan stock index futures, which has a lower trading cost than mini index futures, plays a dominant role in the price discovery process. The results suggest that trading cost hypothesis is supportive in Taiwan futures market. Moreover, the empirical results also find that, the institutional investors move the price of Taiwan stock index futures more than the individual investors do. In other words, the informed traders in Taiwan futures market are institutional investors, which is consistent with the findings in the European and American financial markets.	en_US
DC.subject	價格發現	zh_TW
DC.subject	資訊比例模型	zh_TW
DC.subject	共同因子模型	zh_TW
DC.subject	加權價格貢獻	zh_TW
DC.subject	Information shares	en_US
DC.subject	Common factor weight	en_US
DC.subject	Weighted price contribution	en_US
DC.subject	Price discovery	en_US
DC.title	價格發現過程-以台指期貨和小型台指期貨為例	zh_TW
dc.language.iso	zh-TW	zh-TW
DC.title	Price Discovery Process-the Case of Taiwan Stock Index Futures and Mini Index Futures	en_US
DC.type	博碩士論文	zh_TW
DC.type	thesis	en_US
DC.publisher	National Central University	en_US