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題 名 | 摩根臺股指數期貨契約價格群聚現象之實證=An Empirical Study of Price Clustering in the MSCI Taiwan Stock Index Futures Contract on the SGX-DT |
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作 者 | 闕河士; | 書刊名 | 管理學報 |
卷 期 | 20:4 2003.08[民92.08] |
頁 次 | 頁689-720 |
分類號 | 561.76 |
關鍵詞 | 價格群聚; 市場結構; 摩根臺股指數期貨; Price clustering; Market microstructure; MSCI Taiwan stock index futures contract; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究以新加坡衍生性商品交易所的摩根台股指數期貨之日內逐筆報價與成交價作為資料來源,驗證價格群聚現象是否存在於此項衍生性金融資產。實證結果發現,儘管摩根台股指數期貨契約是以0.1點為最小升降單位,但是約有30%報價與成交價的尾數群聚在0或5,顯著拒絕等機率分配假設。又以每15分鐘日內時段觀察,價格群聚程度具有顯著的日內型態,即開盤時段的價格群聚程度高於其它時段。一般化自我迴歸條件異質變異模式參數估計結果顯示,價格群聚程度與價格波動性、買賣價差、成交筆數、價格水準都呈正向關係。另外,研究結果也顯示,到期效應對於價格群聚程度有顯著的影響。總之,本研究的實證結果大致支持Harris (1991)的議價假說和Ball et al. (1985)的最適價格決定假說。 |
英文摘要 | This paper provides the evidence of price clustering for the MSCI (Morgan Stanley Capital International) Taiwan stock index futures contract traded on the Singapore Exchange Derivatives Trading Limited (SGX-DT, formerly known as SIMEX) by using intraday quoted and traded prices. The results show that last digits of prices are significantly different from the uniform distribution that would be expected if prices were randomly selected from ten separate sets (i.e. 0 to 9). About 30% trades or quotes cluster on 0 or 5 points in spite of the minimum tick size for the MSCI Taiwan stock index futures contract is 0.1 index point. The intraday pattern of price clustering is also found in the MSCI Taiwan stock index futures. An extremely high percentage of price clustering appears at the opening, with a moderately low percentage near the closing for a trading day. GARCH estimation results document that the degree of price clustering increases in the periods with high volatility, bid-ask spreads, transaction frequency, and price level. In addition, the results indicate that the price clustering tends to occur on the last trading day for the futures contract. Generally, the results support the negotiation hypothesis proposed by Harris (1991) and the optimal degree of price resolution hypothesis proposed by Ball et al. (1985). |
本系統中英文摘要資訊取自各篇刊載內容。