臺灣博碩士論文加值系統

近年來，台灣期貨市場在流動性提高後成為各類交易人投機與避險的管道，投資人關注於以買賣價差的交易成本，其中以買賣價差成分更受矚目。過去研究雖然討論交易機制與價差成分變化關係，但並未區分交易人型態。本研究將以作為研究目的，探討投資人型態淨買賣委託單市值失衡、交易機制與價差成分變化關係。研究結果發現，當交易機制為集合競價時，外國機構投資人之淨投資流量與訂單處理成本為顯著之正相關，而證劵商與訂單處理成本則為明顯的負相關；國內法人以及期貨自營商與存貨持有成本以及逆選擇成本皆為顯著的負相關；當交易機制為連續競價時，國內自然人以及期貨自營商與訂單處理成本皆為明顯的正相關。逆選擇成本以及存貨持有成本的研究中，各類型交易人皆與逆選擇成本及存貨持有成本並不顯著，但仍可得知國內法人、自然人，以及境外外國機構投資人之淨投資流量與存貨持有成本及逆選擇成本皆呈現反向變動。

We examine whether the components decomposed by bid-ask spread are influenced by the dollar ratio of net buy sell order imbalance for trader types. Our trader types in Taiwan futures market are foreign institutional investors, domestic institutional investors, futures dealers, individuals, and security dealers using the unique database. Additionally, bid ask spread is partitioned into two components, including order processing costs and inventory holding costs and adverse selection costs. We consider the evolution of trading system from call auction to continue auction in Taiwan futures market. We find that, for the call auction trading system, order processing costs are significantly positive and correlated with the dollar ratio of net buy sell order imbalance for the foreign institutional investors but significantly negative and correlated with dealers. On the other hand, there are significant negative relation between the dollar ratio of net buy sell order imbalance for domestic institutional and futures dealers and inventory holding costs and adverse selection costs. Contrast to continuous auction trading system, we find that, the dollar ratio of net buy sell order imbalance for individuals and futures dealers are significantly positive related to order processing costs, respectively. Although adverse selection costs and inventory holding costs are not significantly influenced by the dollar ratio of net buy sell order imbalance for trader types, the negative direction of two is found for domestic institutional investors, individuals, and foreign institutional investors.

主目錄
摘要
Abstract
表目錄
第一章 緒論
第一節 研究背景與動機
第二節 研究目的
第三節 研究架構
第二章 文獻回顧
第一節 價差成分拆解文獻整理
第二節 交易量、交易成本與價差成分之關係
第三章 研究方法
第一節 資料來源
第二節 變數定義
第三節 單根檢定
第四節 研究假說
第五節 一般動差化法 (Generalized Method of Moments)
第四章 實證結果
第一節 單根檢定結果
第二節 敘述統計分析
第三節 GMM實證結果
第四節 價差成分變化對交易人行為實證結果
第五章 結論
參考文獻

表目錄
表3-1 所有變數一覽表
表4-1 總樣本期間ADF單根檢定
表4-2 各變數敘述統計結果
表4-3 GMM實證結果
表4-4 價差成分變化與交易人類別之實證結果

1.林浩凡 ，2002，「指數期貨與買賣價差日內型態與決定因素的探討」，高雄第一科技大學金融系碩士論文
2.黃玉娟、陳嘉琳，2004，「買賣價差之分解-TAIFEX與SGX-DT之比較」，管理評論，23(1)，pp. 49-72。
3.闕河士、楊筑安，2005，「不同市場狀況會影響指數期貨的市場深度嗎? 」，商管科技季刊，6(3) pp. 427-442
4.Booth, G. G., So, R. W. and Tse, Y. 1999 “Price Discovery in the German Equity Index Derivatives Markets”, The Journal of Future Markets, 19, 619-643
5.Choi, J. Y., Salandro D.and Shastri K., 1988, “On the estimation of bid-ask spreads：theory and evidence”, Journal of Financial and Quantitative Analysis, 23, 219-230.
6.Chou, R. K. and Lee, J, 2002 “The Relative Efficiencies of Price Execution Between The Singapore Exchange and The Taiwan Future Exchange,” The Journal of Future Markets, 22, 173-196
7.Demsetz, H., 1968, “The cost of transacting”, Quarterly Journal of Economics, 82, 33-53.
8.Flemming, J., Ostdiek, B. and Whaley, R. E., 1996 “Transaction Costs and the Relative Rates of price Discovery in Stock, Futures, and Option Markets,” The Journal of Future Markets, 16, 353-387
9.George, T. J., Kaul, G., and Nimalendran, M., 1991, “Estimation of the bid-ask spread and its components：a new approach”, The Review of Financial Studies, 4, 623-656.
10.Glosten, L., 1994, “Is the electronic open limit-order book inevitable?” Journal of Finance, 49, 1127-1161.
11.Hansen, L. P., 1982, “Large sample properties of generalized method of moments estimators,” Econometrica, 50, 1029-1054.
12.Huang, R. D. and Stoll, H. R., 1997 “The components of the bid-ask spread: A general approach”, The Review of Financial Studies, 10, 995-1034.
13.Huang, Y. C., 2004, “The Components of Bid-Ask Spread and their Determinants: TAIFEX versus SGX- DT, Journal of Futures Markets”, 24, 835-860
14.Huang, Y. C., 2004 “the Microstructure and Relative Performance of Taiwan Stock Index Futures: a Comparison of the Singapore Exchange and the Taiwan Futures Exchange”, Journal of Financial Markets, 7, 335-350
15.Lee, C. M. C., and Ready, M. J., 1991, “Inferring trade directionfrom intraday data”, The Journal of Finance, 46, 733-746.
16.Madhavan, A., Richardson M. and Roomans M., 1997 “Why do security prices change? A transaction-level analysis of NYSE stocks”, Review of Financial Studies, 10, 1035-1064.
17.Roll, R., 1984, “A simple implicit measure of the effective bid-ask spread in an efficient market”, Journal of Finance, 39, 1127-1139.
18.Stoll, H. R., 1989, “Inferring the components of the bid-ask spread：theory and empirical tests”, The Journal of Finance, 44, 115-134.
19.Tinic, S. M., 1972, “The economics of liquidity services”, Quarterly Journal of Economics, 66, 79-97.
20.Wang, G. H. K. and Yau, J., 2000, “Trading Volume, Bid-Ask Spread, and Price Volatility in Futures Markets”, The Journal of Future Markets, 20, 943-970.
21.Ivkovi c´, Z. and Weisbenner, S., 2009, “Individual investor mutual fund flows ”, Journal of Financial Economics, 92, 223-237.