政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/6094

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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/6094

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6094

Title:	The relative efficiencies of price execution between the Singapore Exchange and the Taiwan Futures Exchange
Authors:	周冠男;李志宏 Chou, Robin K.;Lee,Jie-Haun
Date:	2002
Issue Date:	2008-11-05 16:53:26 (UTC+8)
Abstract:	Both Singapore Exchange (SGX) and Taiwan Futures Exchange (TAIFEX) offer future contracts based on the Taiwan stock market indices. Due to the structural differences between these two markets, the trading costs and speed of information transmissions are likely to be different. Since TAIFEX reduced transaction tax from 5 basis points to 2.5 basis points on May 1, 2000, we empirically test the differences in trading costs and information transmissions between SGX and TAFEX for the sample periods both before and after the tax reduction. We show that the reduction in market frictions such as taxes have a great impact on the relative efficiencies of price execution. The implicit trading costs reduced significantly and the price execution efficiencies also improved significantly after the tax reduction on TAIFEX. Our results also provide implications for the relative efficiencies of different market structures. As our empirical results show, an order driven market, such as TAIFEX, is likely to provide traders with better price execution because of the larger base of market participants and less costs of intermediation.
Relation:	Journal of Futures Markets, 22(2), 173-196
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1002/fut.2213
DOI:	10.1002/fut.2213
Appears in Collections:	[財務管理學系] 期刊論文

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