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研究生:王榮顯
研究生(外文):Kanble Wang
論文名稱:買賣委託單交易資訊對指數期貨報酬率影響之研究
論文名稱(外文):The relationship between orders size , orders arrival frequency and TX market return rate
指導教授:陳達新陳達新引用關係古永嘉 博士
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:國際財務金融碩士在職專班
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:2007
畢業學年度:95
語文別:中文
論文頁數:51
中文關鍵詞:委買價委賣價隔夜報酬率逐筆交易
外文關鍵詞:bid priceask priceovernight returntransaction by transation
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論文提要內容:
臺灣期貨市場近二、三年來規模發展極為迅速,市場交易者一直希望臺灣期貨交易所能提供市場之即時資訊,然即時透明之市場資訊對交易人之行為及市場結構是否會造成衝擊?本研究只針對臺灣期貨市場買賣委託單交易資訊對指數期貨報酬率影響進行分析,希望臺灣期貨交易所在提供市場交易人買賣委託即時資訊前,瞭解其對指數期貨報酬率之影響。
本研究以民國92年1月2日至民國96年2月27日,共1,028個交易日,總計61,680筆每五分鐘之台指期貨、委買委賣量差資料進行實證研究,重點於買賣單的委託、頻率對指數期貨報酬率變化的影響;希望對預測指數的波動做出一合理的分析。本研究採用簡單迴歸分析模型,對於以下四個子主題作仔細的探討:一、委託單到達頻率之前四期中,是否那一期會對臺指期貨報酬率有影響,進而預測可觀察之指標,推判可進場或退場之獲利點。二、買進、賣出委託口數的規模部份之前四期中,是否那一期會對臺指期貨報酬率有影響,進而預測可觀察之指標,推判可進場或退場之獲利點。三、實際成交的委託口數之前四期中,是否那一期會對臺指期貨報酬率有影響,進而預測可觀察之指標,推判可進場或退場之獲利點。四、成交委託單的規模部份之前四期中,是否那一期會對臺指期貨報酬率有影響,進而預測可觀察之指標,推判可進場或退場之獲利點。
結論如下:
一、前一期買進委託單的到達頻率和當期臺指期貨報酬率成顯著的正相關,前一、四期賣出委託單的到達頻率和當期臺指期貨報酬率成顯著的負相關。
二、委託單規模對臺指期貨報酬率之效果皆不顯著。
三、前三期實際的成交張數和當期臺指期貨報酬率呈現負相關,前三期實際成交口數和當期臺指期貨報酬率間呈正相關。
四、前三期成交的委託單規模和當期臺指期格報酬率呈現負相關。
五、前第三期臺指期貨報酬率和當期臺指期貨報酬率呈現負相關。前第五期臺指期貨報酬率和當期臺指期貨報酬率間呈正相關。
六、前第四期當期平均每張買進委託單買進的口數與當期平均每張賣出委託單賣出的口數之比,和當期臺指期貨報酬率間呈正相關。
The scale of Taiwan futures market has been developed dramatically over the past two to three years. Market participants have been hoping Taiwan Futures Exchange can offer real-time market information. However, will the transparency of real-time market information impact the behavior of trader and market structure? This research only focuses on the analysis of buy- and sell-orders information in Taiwan futures market, and its influences over the rate of returns of index futures, with the hope of contributing to Taiwan Futures Exchange so that the impact over index futures can be well studied before offering such information to the market participants.
The data of this research is based on the differences of buy- and sell-volume of five-minute delayed market information of Taiwan Index Future from the January 2nd, 2003 to February 27th, 2007. The sample space consists of 1,028 trading days and 61,680 ticks. The focal point is the influences of buy- and sell-order and its frequency over the rate of returns of the index futures; we would like to make rational analysis in predicting the fluctuation of the index. This research, adopts simple recursive analyzing models, performs careful investigation on the following four sub-topics: First, among the first four interims of the order arrival, which stage has influence to the rate of returns of Taiwan Index Futures, and can predict observable indicator to infer profitable entry- or exit-points. Second, among the first four interims of the scale of buy- and sell-volume, which stage will have influence to the rate of returns of Taiwan Index Futures, and can predict observable indicator to infer profitable entry- or exit-points. Third, among the first four interims of traded volume, which one will have influence to the rate of returns of Taiwan Index Futures, and can predict observable indicator to infer profitable entry- or exit-points. Fourth, among the first four interims of the scale of traded order, which one will have influence to the rate of returns of Taiwan Index Futures, and can predict observable indicator to infer profitable entry- or exit-points.

The conclusions are as follows:
1. The arrival frequency of the previous buy order has significant positive correlation to the current rate of return of Taiwan Index Futures. The arrival frequencies of the previous first and fourth sell orders have significant negative correlations to the current rate of return of Taiwan Index Futures.
2. The scale of orders has insignificant correlation to the rate of return of Taiwan Index Futures.
3. The traded volume of the past third traded orders has negative correlation to the rate of return of the current Taiwan Index Futures. Its traded size has positive correlation to the current rate of return of Taiwan Index Futures.
4. The scale of the past third traded orders has negative correlation to the current rate of return of Taiwan Index Futures.
5. The past third rate of return of Taiwan Index Futures has negative correlation to the current rate of return of Taiwan Index Futures. The previous fifth rate of return of Taiwan Index Futures has positive correlation to the current rate of return of Taiwan Index Futures.
6. The ratio of the previous fourth average buy-order size and the average sell- order size has positive correlation to the current rate of return of Taiwan Index Futures.
第一章 緒 論
第一節 研究動機
第二節 研究目的
第三節 論文架構
第二章 相關理論基礎與文獻探討
第一節 相關理論基礎
第二節 實證文獻探討
第三章 研究設計
第一節 研究流程
第二節 研究範圍
第三節 變數的操作型定義
第四節 實證模型
第五節 研究假設與檢定方法
第四章 實證結果與分析
第一節 資料分析
第二節 變異數異值模式檢定
第三節 實證結果分析
第五章 結論與建議
第一節 結論
第二節 研究限制
第三節 建議
一、英文部份
1. Admati, A. and P. Pfleiderer (1988) “A Theory of Intraday Patterns : Volume and Price Variability”, Review of Financial Studies, 1, pp 3-40.
2. Admati, A. and P. Pfleiderer (1989) “A Theory of Intraday and Day-of-the-week Mean Effects”, Review of Financial Studies, 2, pp 189-224.
3. Bagehot, W. (1971) “The Only Game in Town”, Financial Analysis Journal, 27, pp 12-14.
4. Blume, L.E. and D. Easley (1990) “Implication of Walrasian Expectations Equilibria”, Journal of Economic Theory, 51, pp 207-227.
5. Brock, W.A. and A. Kleidon (1992) “Periodic Market Closure and Trading Volume : A model of intraday bids and asks”, Journal of Economic Dynamics and Control, 16, pp 451-489.
6. Brown, D.P. and R.H. Jennings (1989) “On Technical Analysis”, Review of Financial Studies, 2, pp 527-552.
7. Easley, D. and M. O'Hara (1987) “Price, Trade Size, and Information in Securities Markets”, Working Paper, Cornell University.
8. Easley, D. and M. O'Hara (1991) “Oder Form and Information in Security Markets”, Journal of Finance, 46, pp 905-927.
9. Foster, F.D and S. Viswanathan (1990) “A Theory of Intraday Variations in Volume Variance and Trading Costs in Security Markets”, Review of Financial Studies, 3, pp 593-642.
10. French, K.R and R. Roll (1986) “Stock Return Variance : The Arrival of Information and the Reaction of Traders”, Journal of Financial Economics, 17, pp 5-26.
11. Glosten, L.R and P.R Milgrom (1985) “Bid, Ask and Transaction Prices in A Specialist Market with Heterogeneously Informed Traders”, Journal of Financial Economics, 14, pp 71-100.
12. Harris, L. (1986) “A Transaction's Data Study of Weekly And Intradaily Patterns in Stock Returns”, Journal of Financial Economics, 16, pp 99-117.
13. Jain, P. C. and G. H. Jon (1988) “The Dependence Between Hourly Prices And Trading Volume”, Journal of Financial And Quantitative Analysis, 23, pp 269-283.
13. Madhavan, A. and S. Smidt (1990) “A Bayesian model of Intraday Specialist Pricing”, Journal of Financial Economics, 30, pp 99-134.
14. McInish, T. H. and R. A. Wood (1990) “An Analysis of Transaction Data for The Toronto Stock Exchange: Return Patterns And End-of The Day Effect”, Journal of Banking And Finance, 14, pp.441-458.
15. Stoll, H. (1978) “The Supply of Dealer Services in Securities Markets”, Journal of Finance, 33, pp 1133-1151.
16. Werner, I. M., and A. W. Kleidon (1996) “U. K. and U. S. Trading of British Cross-Listed Stocks: An Intraday”, The Review of Financial Studies, Vol. 9, No. 2, pp 619-664.
17. Wood, R. A., T. H. McInish, and J. K. Ord (1985) “An Investigation of Transactions Data for NYSE Stocks”, Journal of Finance, 40, pp 723-739.

二、中文部份
1. 王耀輝 (1996),合灣股票市場加權指數與交易量日內行為之研究,台灣大學商學研究所碩士論文。
2. 余明芳 (1999),臺股指數現貨與期貨日內交易型態的實證研究,國立中山大學財務管理學系碩士論文。
3. 吳欽杉、劉玉珍 (1989),台灣股市進出價差的法定因子,管理科學學報。
4. 吳端萱 (2001),臺灣加權股價指數日內動態行為之研究,臺北大學企業管理學系碩士論文。
5. 徐忠誠 (1992),台灣股市日曆異常之分時效應研究,淡江大學管理科學研究所碩士論文。
6. 商大為 (2000),買賣委託單交易資訊對大盤加權指數波動率影響之研究,臺北大學企業管理學系碩士論文。
7. 陳立國 (1994),台灣股市價量關係之研究,國立台灣大學財務金融學系碩士論文。
8. 劉玉珍 (1991),資訊到達影響競價制度績效之模擬研究,國立中山大學企業管理研究所博士論文。
9. 劉維琪、吳欽杉、劉玉珍 (1990) ,競價制度對股市變現能力的影響之模擬研究,台大法學院社會科學論叢。
10. 劉維琪、吳欽杉、劉玉珍、郭秋榮 (1991),台灣股票市場股票超額報酬與變現能力關係之實證研究,管理科學學報。
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