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研究生:倪世颺
研究生(外文):Shih-Yang Ni
論文名稱:電子交易系統對股市價格效率性之影響-非線性動態調整之應用
論文名稱(外文):The effect of Electronic trading system on price efficiency in stock markets based on nonlinear dynamic adjustment
指導教授:陳珮芬陳珮芬引用關係
指導教授(外文):Pei-Fen Chen
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:國際企業學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:中文
論文頁數:81
中文關鍵詞:電子交易系統價格效率平滑轉換誤差修正模型樣本外預測
外文關鍵詞:electronic trading systemprice efficiencysmooth transition error-correction modelout-of-sample forecast
相關次數:
  • 被引用被引用:1
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本研究運用非線性模型觀察八個交易所引進電子交易系統前後對於套利者交易成本與市場價格效率的影響。研究對象為英國倫敦證券交易所的倫敦金融時報100指數、美國芝加哥商業交易所的標準普爾500指數、紐約證券交易所的紐約證交所綜合指數、日本東京證券交易所的日經225股價指數、新加坡交易所的海峽時報指數、奧地利維也納證券交易所的奧地利指數、西班牙馬德里交易所的馬德里35指數、德國法蘭克福交易所的法蘭克福30指數,結果發現:
一、 在交易成本方面可歸納出兩組結果,其中一組是倫敦證券交易所的倫敦金融時報100指數、美國芝加哥商業交易所的標準普爾500指數、維也納交易所的奧地利指數、西班牙馬德里交易所的馬德里35指數、法蘭克福證券交易所法蘭克福30指數,此五交易所採用電子交易的方式後,投資人套利的交易成本異質性變小,交易成本也較低。
二、 另一組,紐約證券交易所的紐約證交所綜合指數、東京證券交易所的日經225股價指數、新加坡交易所的海峽時報指數,電子交易對三交易所的影響是交易成本異質性增加,投資人套利的交易成本也較高。
三、 期貨市場價格調整效率性優於現貨市場,其中又以芝加哥商業交易所的標準普爾500指數、馬德里交易所的馬德里35指數、法蘭克福證券交易所的法蘭克福30指數、倫敦證券交易所的倫敦金融時報100指數,四個指數最為明顯,表示當價格偏離原來的均衡時,股價指數期貨扮演了主要價格調整的角色。
This research provides a cross-country empirical description of the relationship between the electronic trading system operated by stock exchanges and trading behavior of heterogeneous investors who use the exchanges. Using nonlinear model I estimate the transaction costs and price efficiency faced by arbitragers who take advantage of mispricing between index and index futures . There are eight markets in my research including Financial Times Stock Exchange 100 Index in London Stock Exchanges, Standard & Poor's 500 index in Chicago Merchandise Exchange, New York Stock Exchange Composite in New York Stock Exchange, Nikkei 225 Stock Index in Tokyo Stock Exchange, Straits Times Index in Singapore Stock Exchange, Austrian Trade Index in Vienna Stock Exchange, Madrid Ibex-35 index in Madrid Stock Exchange, DAX30 Index in Deutsche Borse AG.

The results indicated that FTSE100, S&P500, ATX, IBEX35, DAX30 have been a significant cost reduction in the level of transaction cost and the heterogeneity of transaction cost faced by arbitragers. On the other hand, NYC, Nikkei225, STI have the opposite results.

The price efficiency in the futures market is better than the index market due to the introduction of electronic trading. Especially in FTSE100, S&P500, IBEX35, DAX30 index futures. This represents that when the price deviate from the equilibrium level, index futures play a major role in the price adjustment.
目錄 I
圖目錄 III
表目錄 IV
第一章 緒論 - 1 -
1.1研究動機與目的 - 1 -
1.2研究背景 - 3 -
1.2-1公開喊價交易 - 3 -
1.2-2電子交易系統 - 5 -
1.3研究對象 - 12 -
1.4研究架構 - 17 -
第二章 文獻回顧 - 19 -
2.1電子交易系統概況 - 19 -
2.2非線性模型 - 28 -
第三章 理論模型與研究方法 - 31 -
3.1經濟模型 - 31 -
3.2計量模型 - 32 -
3.2-1平滑轉換誤差修正模型 - 32 -
3.2-2非線性檢定 - 36 -
3.2-3參數估計 - 36 -
3.3診斷性檢定 - 38 -
3.3-1 Ljung-Box Q 檢定 - 38 -
3.3-2判定係數與調整後判定係數 - 38 -
3.4樣本外預測能力 - 39 -
第四章 實證結果分析 - 41 -
4.1資料來源與樣本期間 - 41 -
4.2資料處理 - 46 -
4.3恆定性檢定 - 46 -
4.4非線性檢定 - 49 -
4.5誤差修正模型 - 51 -
4.6研究發現 - 58 -
4.6-1交易成本異質性 - 58 -
4.6-2市場價格效率 - 60 -
4.7診斷性檢定 - 61 -
4.7-1自我相關檢定 - 61 -
4.7-2判定係數與調整後判定係數 - 62 -
4.8樣本外預測誤差比較 - 63 -
第五章 結論與建議 - 66 -
5.1結論 - 66 -
5.2研究建議 - 67 -
參考文獻 - 68 -
附錄 - 74 -
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