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題名 | The Effect on Market Efficiency of a Futures Transaction Tax Reduction and the Intervention of the National Financial Stabilization Fund=期交稅調降與國安基金介入對期貨市場效率的影響 |
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作者 | 王友珊; 鍾惠民; Wang, Yu-shan; Chung, Hui-min; |
期刊 | 臺灣管理學刊 |
出版日期 | 20050200 |
卷期 | 5:1 2005.02[民94.02] |
頁次 | 頁25-56 |
分類號 | 561.76 |
語文 | eng |
關鍵詞 | 期交稅; 國安基金; 市場效率; 定價誤差; 流動性; Futures transaction tax; National financial stabilization funds; Market efficiency; Mispricing; Liquidity; |
英文摘要 | This paper aims to study whether the occurrence of certain changes in the market affects the pricing efficiency of the futures market. The empirical results show that a reduction of the transaction tax causes a decrease in mispricing, a result that supports the trading cost hypothesis. Hence, lowering the futures transaction tax improves greater pricing efficiency in the futures market. In addition, government intervention through the National Financial Stabilization Fund results in an increase in the mispricing, causing the market to become inefficient. While increases in the average market depth are observed, there is a rise in volatility after the Fund intervention. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。