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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/72666
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72666


    Title: 當沖相關制度之比較與我國應採行之作法
    Authors: 李進生;周賓凰;周賓凰
    Lee, Jie-Haun
    Contributors: 財管系
    Keywords: 當沖交易;違約機率;價格發現
    Date: 1999
    Issue Date: 2015-01-08 17:19:13 (UTC+8)
    Abstract: 相較於台灣股市當沖交易頻繁的現象,台灣期交所(TAIFEX)可採行的當沖交易機制應是值得探究的議題。本文以台指期貨與日經225指數期貨為解析標的,詳細分析市場交易制度對於當沖交易的影響,其中交易制度包括漲跌幅限制、交易成本、契約規模大小、價格最小變動單位、持有部位限制與保證金水平;並以交易所風險控管立場,利用Monte Carlo方式模擬不同保證金水平在TAIFEX補繳保證金的機制下,當沖交易有可能引發的違約機率高低。本文發現,相較於SGX-DT(註1),TAIFEX可降低50%交易稅、放寬持有部位的限制並配合調降保證金水平,將可進一步發揮市場交易制度對於當沖交易的正面影響,以強化我國期貨市場的競爭力。
    Relation: 證券市場發展季刊, 11(3), 21-60
    Data Type: article
    Appears in Collections:[財務管理學系] 期刊論文

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