政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36857
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 114205/145239 (79%)
造访人次 : 52848262      在线人数 : 383
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/36857


    题名: 台灣期貨市場買賣價差估計值與實際交易成本之研究
    Are spread estimators consistent with transaction cost of Taiwan Futures Exchange?
    作者: 鄧君祈
    Chun Chi,Teng
    贡献者: 郭維裕
    鄧君祈
    Chun Chi,Teng
    关键词: 買賣價差
    交易成本
    估計值
    日期: 2006
    上传时间: 2009-09-18 19:57:42 (UTC+8)
    摘要: This paper focuses on if common effective spread estimators are appropriate for the proxy of Taiwan Futures Exchange. I use public available time and sales data, apply three methods, Roll’s (1984), Thompson and Waller’s (1988), and Smith and Whaley’s (1994) to assess effective spread, and then, compare them with the measured transaction costs proposed by Demsetz (1968). My results indicate that the latter two estimators not only are highly correlated with true transaction costs, but also provide good estimates, while Roll’s estimator appears to be inappropriate applied.
    參考文獻: Bacidore, J., Ross, K., Sofianos, G., 2002. Quantifying market order excution quality at the New York stock market. Journal of Financial Markets 6, 281-307.
    Bessembinder, H., 2002. Issues in assessing trade execution costs. Journal of financial market 6, 233-257.
    Chen, D.H., and Blenman, L.P., 2003. An extended model of serial covariance bid-ask Spreads. International Journal of Business and Economics 2, 75-83
    Demsetz, H., 1968. The cost of transacting. Quarterly Journal of Economics 82, 33-53.
    Ellis, K., Michaely, R., O’Hara, M.,2000. The accuracy of trade classification rules: evidence from Nasdaq. Journal of Financial and Quantitative Analysis 35, 529-552.
    Finucane, T.J., 2000, A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data, Journal of Financial and Quantitative Analysis 35, 553-576.
    Garbade, K. and Z. Lieber, 1977, On the Independence of Transactions on the, New York Stock Exchange, Journal of Banking and Finance 1, 151-172.
    Harris, L., 1990. Statistical properties of the Roll serial covariance bid/ask spread estimator. Journal of Finance 45, 579-590.
    Harris, L., 1990. Estimation of stock price variances and serial covariances from discrete observations. Journal of Financial and Quantitative Analysis25, 291-306.
    Lee, C.M.C., Ready, M.J., 1991. Inferring trade direction from intraday data. Journal of Finance 46, 733-746.
    Locke, P.R., Venkatesh, P.C., 1997. Futures market transaction costs. Journal of Futures Markets 17, 229-245.
    Neiderhofer, V. and Osborne, M.F.M., 1966. Market making and reversal on the Stock Exchange. Journal of the American Statistical Association 61, 897–916.
    Peterson, M., and Sirri, E., 2002. Evaluation of the biases in execution cost estimation using trade and quote data. Journal of Financial Markets 6, 259-280.
    Roll, R., 1984. A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance 39, 1127-1139.
    Schultz, P., 2000. Regulatory and legal pressures and the costs of Nasdaq trading. Review of Financial Studies 13, 917-958.
    Smith, T., Whaley, R.E., 1994, Estimating the effective bid/ask spread from time and sales data. Journal of Futures Market 14, 437-455.
    Thompson, S.R., and Waller, M.L., 1988, Determinants of liquidity costs in commodity futures markets. Review of Futures Market 7, 110-126.
    Stoll, H.R., 1989. Inferring the components of the bid/ask spread: theory and empirical tests. Journal of Finance 44, 115-134.
    Werner, I.M., 2002. NYSE order flow, spreads and information. Journal of Financial Markets 6, 309-335.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    94351002
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094351002
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    100201.pdf44KbAdobe PDF2710检视/开启
    100202.pdf15KbAdobe PDF2719检视/开启
    100203.pdf34KbAdobe PDF2798检视/开启
    100204.pdf22KbAdobe PDF2856检视/开启
    100205.pdf36KbAdobe PDF2749检视/开启
    100206.pdf34KbAdobe PDF2814检视/开启
    100207.pdf48KbAdobe PDF2835检视/开启
    100208.pdf13KbAdobe PDF2681检视/开启
    100209.pdf15KbAdobe PDF2760检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈