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研究生:林浩凡
研究生(外文):Hao-Fan Lin
論文名稱:指數期貨買賣價差日內型態與決定因素之探討
論文名稱(外文):An Analysis of Intraday Pattern of Bid-Ask Spreads and their Determinants for Index Futures on the SGX-DT
指導教授:闕河士闕河士引用關係
指導教授(外文):Horace Chueh
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:57
中文關鍵詞:到期效應週天效應買賣價差
外文關鍵詞:day-of-the week effectbid-ask spreadmaturity effect
相關次數:
  • 被引用被引用:9
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  • 下載下載:206
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本研究以新加坡衍生性商品交易所之摩根台股指數期貨及日經225指數期貨為研究對象,分析其買賣價差日內型態與決定因素。實證結果發現,兩期貨商品買賣價差日內型態皆為L型。摩根台股指數期貨在開盤前30分鐘有較高之買賣價差,隨後則下降並呈現平穩的狀態,在收盤時又小幅下降;而日經225指數期貨買賣價差於開盤時亦為盤中最高點,隨後下降約15分鐘並亦呈平穩走勢。此外,日經225指數期貨之買賣價差,於中途休市後再次開盤即再度達盤中高點,證實交易中途休市確實會對交易活動產生影響,增加市場之資訊不對稱程度。成交筆數、價格波動性和價格水準是買賣價差的重要決定因素,成交筆數與買賣價差呈負向關係,價格波動性則與買賣價差呈正向關係,而價格水準則被發現與買賣價差呈負向關係。週天效應也被發現存在於買賣價差,其結果為週末的買賣價差大於其它週天。此外,本研究也首次提出買賣價差在期貨到期日呈現擴大的現象。
This paper uses high frequency intraday data of MSCI Taiwan stock index futures and Nikkie 225 index futures on SGX-DT to examine the intraday pattern of bid-ask spreads and explore the determinants of bid-ask spreads at various times during the trading day. The results show that the intraday bid-ask spreads follow a L-shaped pattern. Additionally, the analysis documents the abnormal high bid-ask spreads on re-opening of the market following trades closure. It is found that the number of transactions, price volatility, and price level are the significant determinants of bid-ask spreads for both futures contracts. The transaction frequency and price level are negatively related to the spreads. The average bid-ask spreads are positively related to the price volatility. Further, the day-of-the week effect and maturity effect are also found in bid-ask spreads for index futures markets. Especially, the evidence that the bid-ask spreads tend to increase on the last trading day for the futures contract is first to be presented.
中文摘要………..…………………………………………….……………………...Ⅰ
英文摘要…………………………………………………………………………….Ⅱ
誌謝……………………………………………………………………………….....Ⅲ
目錄……………………………………………………………………….………....Ⅳ
表目錄…………………………………………………………………………….....Ⅵ
圖目錄……………………………………………………………..………………...Ⅶ
第壹章緒論………………………………………………………………………....1
第一節研究動機………………………………………………………………1
第二節研究目的及問題………………………………………………………2
第三節 研究內容及流程………………………………………………………3
第貳章 文獻探討……………………………………………………………………5
第一節 買賣價差權益市場相關文獻…………………………………………5
第二節 買賣價差其他市場相關文獻…………………………………………9
第三節 文獻評論……………………………………………………..………13
第參章 研究設計…………………………………………………………………..17
第一節 樣本與資料來源……………………………………………………..17
第二節 研究假說……………………………………………………………..24
第三節 研究實證方法………………………………………………………..29
第肆章 實證結果…………………………………………………………………..35
第一節 買賣價差日內型態…………………………………………………..35
第二節 日內買賣價差決定因素……………………………………………..37
第伍章 結論與建議………………………………………………………………..48
第一節 結論………………………………………………………………….48
第二節 後續研究者、實務操作者及主管機關之建議…………………….50
參考文獻…………………………………………………………………………….53
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