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題 名 | 不同市場狀況會影響指數期貨的市場深度嗎?=Does Market Depth Change under Different Market Conditions in the Index Futures Market? |
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作 者 | 闕河士; 楊筑安; | 書刊名 | 商管科技季刊 |
卷 期 | 6:3 民94.09 |
頁 次 | 頁427-442 |
分類號 | 561.76 |
關鍵詞 | 市場深度; 委託單流量; 指數期貨市場; Market depth; Order flows; Index futures markets; |
語 文 | 中文(Chinese) |
中文摘要 | 市場微結構理論主張委託單流量與價格變化間的關係,可用以衡量市場深度,並提出在不同的市場狀況下,市場深度會有不同。本研究以台灣期貨交易所的股價指數期貨契約為研究對象,利用日內高頻率交易資料為基礎,驗證市場深度是否會隨著買賣價差、價格波動性和成交量等市場狀況不同而改變。實證結果顯示,買賣價差和價格波動性對於市場深度有負向影響,而成交量對市場深度則呈現正向影響。換言之,在其他情況不變下,期貨市場的買賣價差越大、價格波動性越大或是成交量越少,則市場深度越小。 |
英文摘要 | Market microstructure theories assert that the relationship between order flows and price changes is the measure of market depth on financial assets. In addition, those theories predict different market conditions have impact on the market depth. This study explores the market depth under different market conditions based on the ultra-high frequency data of Taiwan index futures contracts traded on TAIFEX. The results show that bid-ask spreads and volatility have negative impact on the market depth, but positive impacts of trading volume on the market depth. That is, market depth tends to be small when bid-ask spreads are large, volatility is high, and trading volume is low. |
本系統中英文摘要資訊取自各篇刊載內容。