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研究生:宋昌原
研究生(外文):Chang-Yuan Sung
論文名稱:撮合制度對市場品質的影響:以台灣期貨市場為例
論文名稱(外文):The effect of trading mechanism on the quality :The case of Taiwan futures market
指導教授:高櫻芬高櫻芬引用關係
指導教授(外文):Yin-Feng Gau
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
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:42
中文關鍵詞:集合競價連續競價期貨市場
外文關鍵詞:call auctioncontinuous auctionfutures market
相關次數:
  • 被引用被引用:2
  • 點閱點閱:469
  • 評分評分:
  • 下載下載:106
  • 收藏至我的研究室書目清單書目收藏:1
本篇論文探討台股指數期貨在撮合制度變遷與降低期貨交易稅的情況下, 台股指數期貨的交易量、 買賣價差與價格波動度將如何受到影響, 並分析交易量、 買賣價差與價格波動度之間的關聯性。 分析模型由三條結構 (structural) 方程式構成, 採用兩階段最小平方法估計模型參數。 實證結果顯示當撮合制度由集合競價轉變成連續競價時, 台股指數期貨的交易量上升, 買賣價差擴大, 而且價格波動度下降。 另一方面, 在交易稅降低之後, 台股指數期貨的交易量上升, 買賣價差縮小, 價格波動度上升。 另一方面, 本文的實證結果顯示:交易量與買賣價差是負向關係, 交易量與價格波動度是正向關係, 買賣價差與價格波動度是正向關係。
This thesis empirically examines the impact of trading mechanism change and a tax rate reduction on trading volume, bid-ask spreads, and price volatility in the Taiwan Futures Exchange (TAIFEX). We use a three-equation structural model to examine the inter-relation across trading volume, bid-ask spread, and price volatility in the TAIFEX. The two-stage least squares method (TSLS) procedure is used to estimate the parameters in the structural model. The estimation results show that, when the trading system changes from call auction to continuous auction in the TAIFEX, trading volume and bid-ask spread increase, and price volatility declines. We also find that trading volume and price volatility increase, but bid-ask spread decreases following a reduction in the transaction tax. Moreover, our results indicate a positive relationship between trading volume and price volatility but an inverse relationship between trading volume and bid-ask spread after we control for other factors. We also find that price volatility increases with bid-ask spread.
目錄 i
表目錄 iii

1 緒論 1
1.1 研究動機 1
1.2 研究目的 4
1.3 撮合至度的簡介 5

2 文獻回顧 7
2.1 撮合制度的改變是否會影響市場品質 7
2.2 交易稅與市場品質 12
2.3 交易量、 價格波動度與買賣價差 13

3 研究方法 16
3.1 台灣期貨交易所簡介 16
3.2 資料來源 19
3.3 市場品質變數定義 21
3.4 實證模型 23
3.5 單根檢定 26
3.6 兩階段最小平方法 27

4 實證結果 28
4.1 單根檢定結果 28
4.2 市場品質的敘述統計 29
4.3 結構方程式實證結果 33

5 結論 38

參考文獻 40

表目錄

1.1 台灣期貨交易所歷年來的重要制度變革總整理 3

3.1 期貨商品整理 18
3.2 選擇權商品整理 18
3.3 指數期貨契約規格 20

4.1 單根檢定結果 28
4.2 市場品質的敘述統計 30
4.3 市場品質的敘述統計量 32
4.4 市場品質變數結構方程式的估計結果 37
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