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|Other Titles: ||An Intraday Analysis of the Bid-ask Spread Components in Futures Markets|
Bid-ask spread;Index futures;Spread decomposition model;Intraday analysis;Futures market
|Issue Date: ||2007-04-18 16:42:01 (UTC+8)|
|Abstract: ||雖然買賣價的分解在股票市場已有許多實證研究，然而卻未曾有研究對期貨市場進行探討，本研究首次將買賣價差分解模式應用於期貨市場，以新加坡交易所衍生性交易所的日經225 指數期貨和摩根台股指數期貨為研究對象，研究期間涵蓋1998 與1999 二年，以高頻率的日內逐筆成交價與報價作為實證資料。本研究採用Lin,Sanger,and Booth (1995)的價差分解模式，估計有效價差的逆選擇成份和委託單處理成本，同時，也對買賣單持續性加以估計。實證結果發現，買賣價差成份大小與股票市場相似。又期貨買賣價差及各成份價差具有顯著的日內型態，期貨有效價差的日內型態呈現開盤高於其它時段，而收盤稍微提高的U 或反J 型態。逆選擇成份價差呈現開盤高於其它時段，而後立即下降，並維持穩定的L 型態。委託單處理成本成份價差呈現開收盤高於其它時段的U 型態。|
Although the decomposition of bid-ask spreads is studied extensively in the equity market, hardly any study has been done to examine the bid-ask spread components in the futures markets. This study explores empirically the components of bid-ask spreads and their intraday pattern for the Nikkei 255 and the MSCI Taiwan stock index futures contracts traded on the Singapore Exchange Derivatives Trading Limited (SGX-DT). Following Lin, Sanger, and Booth (1995), the spreads are decomposed into order processing cost and adverse selection components. The results show that estimates of daily spread components in the futures market fall within the range of previously reported equity market results. This study also documents significant intraday patterns in effective relative spreads and component spreads in futures markets. For both contracts, the order processing spreads follow a U-shaped pattern, where spreads are relatively high at the open and close in a trading day. We find a L-shaped pattern in adverse selection spreads for the Nikkei 255 stock index futures, with spreads opening high, declining immediately, and then remaining stable during each trading session. The adverse selection spreads are high at the open of a trading day for the MSCI Taiwan index futures. However, a small but significant decrease in adverse selection spreads appears at the end of the trading day. Effective relative spreads are found to be extremely high at the beginning of the trading session, and slightly rising at the end of the trading session, an inverse J-shaped pattern alike, for the Nikkei 255 stock index futures. For the MSCI Taiwan index futures, effective relative spreads are also high at the open but flat in remaining trading hours of the trading day. In general, the findings of this study coincide with the microstructure theory .
|Data Type: ||report|
|Appears in Collections:||[財務管理學系] 國科會研究計畫|
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