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https://nccur.lib.nccu.edu.tw/handle/140.119/36857
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| Title: | 台灣期貨市場買賣價差估計值與實際交易成本之研究
Are spread estimators consistent with transaction cost of Taiwan Futures Exchange? |
| Authors: | 鄧君祈
Chun Chi,Teng |
| Contributors: | 郭維裕
鄧君祈
Chun Chi,Teng |
| Keywords: | 買賣價差
交易成本
估計值 |
| Date: | 2006 |
| Issue Date: | 2009-09-18 19:57:42 (UTC+8) |
| Abstract: | This paper focuses on if common effective spread estimators are appropriate for the proxy of Taiwan Futures Exchange. I use public available time and sales data, apply three methods, Roll’s (1984), Thompson and Waller’s (1988), and Smith and Whaley’s (1994) to assess effective spread, and then, compare them with the measured transaction costs proposed by Demsetz (1968). My results indicate that the latter two estimators not only are highly correlated with true transaction costs, but also provide good estimates, while Roll’s estimator appears to be inappropriate applied. |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
94351002
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0094351002 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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