博碩士論文 87425004 詳細資訊




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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
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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
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指導教授 李志宏(Jie-Haun Lee) 審核日期 2000-6-19
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