頁籤選單縮合
題 名 | 股票市場改採收盤五分鐘集合競價制度前後現貨市場與期貨市場的關聯性分析=The Relationship between Stock Market and Futures Market before Versus after the System of Stock Closing 5 Minutes Call: The Case of Taiwan Stock Market |
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作 者 | 王美智; 林麗嬌; 侯國隆; | 書刊名 | 臺灣企業績效學刊 |
卷 期 | 3:2 2010.06[民99.06] |
頁 次 | 頁253-266 |
分類號 | 563.54 |
關鍵詞 | 股票市場; 期貨市場; 連續競價; 集合競價; Stock market; Futures market; Continuous auction; Call auction; |
語 文 | 中文(Chinese) |
中文摘要 | 臺灣證券交易所於2002年7月1日將股票市場收盤集合競價每次撮合由大約30秒,改成最後5分鐘撮合一次。本研究以臺股加權指數及臺股期貨指數為研究對象,將研究期間劃分為二個階段,分別是2002年1月1日至6月30日及7月1日至12月31日來進行分析。研究結果顯示:(1)在連續競價下,二市場之標準差之標準化(standardized standard deviation)差異不大;在集合競價下,期貨市場有較大的波動。(2)制度改變後,收盤前股票報酬對延伸期貨報酬有較大的影響。(3)制度改變後,現貨顯著的領先期貨。因此,本研究之分析結果可作為管理當局及投資者重要決策之參考依據。 |
英文摘要 | On July 1, 2002, TWSE (Taiwan Stock Exchange) expanded the length of the batching period of the stock closing call from an average of 30 seconds to 5 minutes. The subjects in this study are TWSE weighted indexes and TAIFEX indexes in Taiwan from January 1, 2002 to June 30, 2002 and from July 1, 2002 to December 31, 2002, respectively. The empirical results show that there is no significant difference between the two markets in terms of standardized standard deviation in continuous auction. However, the futures market has larger volatility in call auction. In addition, after change of the system, stock returns before closing have larger effects on futures returns. Moreover, after change of the system, the stock market significantly leads the futures market. The analysis results provide an important guideline for both the authorities and investors in management and decision making. |
本系統中英文摘要資訊取自各篇刊載內容。