小數化、市場流動性與交易時距

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姓名

謝順峰(Shun-Feng Hsieh) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

小數化、市場流動性與交易時距
(Decimalization, Market Liquidity and Transaction Durations)

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摘要(中)

本文探討美國証券交易所(AMEX)的小數化對指數型基金(ETF)的影響。 ETF的報價在2001年1月29日開始全面以小數表示，而其在芝加哥商品交易所(CME)上市的對應指數期貨卻沒有引進小數化。理論上，我們知道在金融資產最小交易單位的減少將改變它的流動性。因此，我們想要透過交易間的時距來調查ETF的流動性是否增加。我們發現ETF的交易時距和買賣價差在小數化之後的確有所降低。雖然如此，成交量並未隨著交易時距和買賣價差的減少而增加，如此暗示著小數化未必總是帶來流動性的改進。而且，如上所述，我們有動機去比較ETF以及與其相應之指數期貨的持續性變動情形。我們也發現有明顯的證據顯示ETF的小數化並不一定對指數期貨有一致且顯著的影響。另外，我們更發現了報價價差和成交量以及他們隨後的交易時距呈現負向且顯著的相關。因此，我們認為在ETF的交易裡可能存在著搶單交易的現象。

摘要(英)

This paper discusses the effect of decimalization on Exchange Traded Funds (ETFs) of the American Stock Exchange (AMEX). The quotes of ETFs were decimalized on January 29, 2001, while those of index futures traded on the Chicago Mercantile Exchange (CME) were not. Theoretically, we know that a decrease in the tick size of a financial asset will change its liquidity. As a result, we want to test whether the liquidity of the ETFs increased by investigating the time between trades. We find that the durations and bid-ask spreads of ETFs did in fact decrease after decimalization. Nevertheless, the trading volume did not increase as the durations and spreads fell, which implies that decimalization may not always improve liquidity. Moreover, as mentioned above, we have a motive to compare the durations of ETFs and their corresponding index futures. We also find evidence showing that decimalization does not have a consistent and significant impact on index futures. Additionally, we find that the quoted bid-ask spread and trading volume are negatively related to their subsequent transaction duration. Consequently, there may exist a front-running phenomenon in the ETFs’ transactions.

關鍵字(中)

★ 買賣價差
★ 自我回歸條件交易時距模型
★ 小數化
★ 搶單交易
★ 市場流動性

關鍵字(英)

★ Autoregressive Conditional Duration Model
★ Decimalization
★ Market liquidity
★ Bid-ask spread
★ Front-running

論文目次

1. Introduction 1
2. Data Selection and Statistic Properties 4
3. Methodology 6
4. Empirical Results 15
4.1The basic ACD model 16
4.2The augmented ACD model with bid-ask spread 18
4.3The augmented ACD model with bid-ask spread and trading volume 20
5. Summary and Conclusion 21
References 23
Appendix 1 26
Appendix 2 26
Tables and Figures 28
Table 1 28
Table 2 29
Table 3 30
Table 4 31
Table 5 33
Table 6 34
Table 7 35
Figure 1 37
Figure A1 38
Figure A2 39

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指導教授

徐之強、周冠男
(Chih-Chiang Hsu、Kuan-Nan Chou)

審核日期

2004-6-24

推文