English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94586/125118 (76%)
Visitors : 30576344      Online Users : 285
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/4162


    Title: 期貨市場買賣價差成份之日內型態分析
    Other Titles: An Intraday Analysis of the Bid-ask Spread Components in Futures Markets
    Authors: 顏錫銘
    Keywords: 買賣價差;指數期貨;價差分解模式;日內型態分析;期貨市場
    Bid-ask spread;Index futures;Spread decomposition model;Intraday analysis;Futures market
    Date: 2000
    Issue Date: 2007-04-18 16:42:01 (UTC+8)
    Publisher: 臺北市:國立政治大學財務管理學系
    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 .
    Description: 核定金額:601600元
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

    Files in This Item:

    File Description SizeFormat
    892416H004056.pdf200KbAdobe PDF1099View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback