臺灣博碩士論文加值系統

根據交易成本理論，在評測估算股票交易成本值時，應加入與交易成本有關之執行成本與潛在成本。本文在假設邊際交易者為主要影響股票價格的交易者前提之下，以統計推論形式闡釋Lesmond、Ogden與Trzcinka (1999)所發表之股票交易成本估計法，並解釋其交易成本估計值所代表之意義。
後續以統計軟體SAS實際估算2008年台灣50之成分個股之股票交易成本。研究測試之結果，台灣50成份股於2008年之股票交易成本約佔其整體股票市價之0.5%。

According to Transaction Cost Theory, executory and implicit costs should be considered when evaluating the value of transaction costs of stocks. This article will infer the LOT estimate(Lesmond, Ogden and Trzcinka 1999) statistically from the assumption that marginal traders trigger the movement of security price primarily.
Then we will estimate the transaction costs of Taiwan 50 index constituents in 2008. The conclusion of test is that the average of the transaction costs divided by security market value is 0.5% approximately.

一、續論
1.1 研究動機與背景
1.2 研究方向與目的
二、文獻探討
2.1 交易成本理論
2.2 股票交易成本估計法
2.3 LOT
2.3.1 Latent Dependent Variable and Probit Model 潛在依賴變數與機率模式
2.3.2 Limited Dependent Variables(LDV) 設限依賴變數
2.3.3 LOT交易成本估計法
三、研究方法與樣本
3.1 研究方法
3.2 樣本資料
四、研究測試
五、結論與建議
參考文獻

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