臺灣博碩士論文加值系統

過去的實證研究發現價格有群聚的現象，例如Goodhart 和 Curcio (1991) 在外匯交易市場的實證研究、Ball et al. (1985) 在黃金市場的實證研究和Harris (1991)在紐約正交所及美國正交所的實證研究都有發現價格有群聚的現象。除了測試市場是否有價格群聚之外，我們延伸我們的分析來討論使用成交單跟委託單在價格群聚上的差異，還討論機構法人跟自然人在價格群聚上是否有差異。而同時我們也會測試新加坡摩台指的交易系統從人工喊價改成電腦競價對於價格群聚的改變。

我們發現台灣指數期貨和新加坡摩台指有存在價格群聚的現象。而新加坡摩台指的交易系統從人工喊價改成電腦競價會使得價格群聚的效果減少，這個結果符合ap Gwilym et al. (2003)。而在台灣指數期貨，我們也發現大多數的投資人報價實偏好整數位如0跟5，特別是散戶投資人。這個結果支持Loomes (1988) 的‘sphere of haziness hypothesis’ 和 Goodhart and Curcio (1991) 的the attraction hypothesis。而我們的結果也支持Harris (1991)的price negotiation和Goodhart and Curcio (1991) 的the attraction hypothesis。

Past researches have found that price had a clustering appearance, such as in Goodhart and Curcio (1991) for the foreign exchange market, Ball et al. (1985) for the gold market, and Harris (1991) for the NYSE and American Stock Exchange. In addition to examine price clustering of the market, we extend the analysis to discuss the difference of price clustering between the use of the trading price and the use of the submitted order price on the Taiwan Index Futures of Taiwan Futures Exchange (TAIFEX). We also examine the difference of price clustering between the individual and institutional investors on the Taiwan Index Futures of TAIFEX. Meanwhile we examine the difference of price clustering from open outcry to electronic trading on the Singapore Exchange Derivatives Trading Limited (SGX-DT) MSCI Taiwan Index Futures.
We find that price clustering exists in two future markets. The level of price clustering will decrease from floor-traded to electronic trading for the SGX-DT MSCI Taiwan Index futures(TiMSCI) which is consistent with ap Gwilym et al. (2003). Most investors prefer a round number, like 0 and 5, to other numbers, especially individual investors. This supports the ‘sphere of haziness hypothesis’ (Loomes, 1998) and the attraction hypothesis (Goodhart and Curcio, 1991). Our results also support the price negotiation (Harris, 1991) and attraction hypotheses (Goodhart and Curcio, 1991).

Chapter1. Introduction.......................................................1
Chapter2. Literature Review ..................................................4
2.1 Hypothesis and Theory ..................................................4
2.2 Price Clustering of the Market ..........................................7
Chapter3. Data and Methodology..............................................10
3.1 Data....................................................................10
3.2 The attraction Hypothesis...............................................12
3.3 The negotiation and price resolution hypothesis.........................14
3.4 Do the investors prefer round number?...................................16
3.5 Price Clustering- Human bias, haziness and bounded rationality..........17
Chapter4. Empirical Result..................................................19
4.1 Hypothesis 1-the Presence of Price Clustering...........................19
4.2 The impact on price clustering..........................................27
4.3 Summary.................................................................34
Chapter5. Conclusion........................................................35
References..................................................................36

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