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題名 | 交易持續時間與交易價格衝擊之關係=The Relationship between Time Duration and Price Impact of Trades |
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作者 | 菅瑞昌; 王健聰; 闕河士; Chien, Andy; Wang, Janchung; Chueh, Horace; |
期刊 | 管理與系統 |
出版日期 | 20091000 |
卷期 | 16:4 2009.10[民98.10] |
頁次 | 頁533-554 |
分類號 | 561.76 |
語文 | chi |
關鍵詞 | 市場微結構; 交易持續時間; 資訊不對稱; Market microstructure; Trade time duration; Asymmetric information; |
中文摘要 | 本研究以採取電腦自動撮合制度的台灣期貨交易所爲研究對象,檢驗台股指數期貨的交易持續時間與交易價格衝擊的關係。實證發現,兩者之間存在著倒U型的非線性關係,而過去文獻卻指出,在具有造市者的報價驅動市場中,二者則具有負的線性關係。此項差異可能是起因於,電腦自動撮合市場的限價委託單交易者,無法如同造市者一般快速地調整報價。此外,實證結果也顯示,位於開收盤時段和成交量較大的交易,以及交易前較小的報價深度,都會使價格產生較大的變動。 |
英文摘要 | This study examines empirically the relationship between the time duration and the price impact of trades for the TAIEX index futures traded on TAIFEX which is an electronic order-driven market. The results show that a U shape nonlinear relationship between the time duration and the price impact of trades. In contrast, the previous literature documents a negative relationship in the quote-driven market with market makers. The phenomenon may attribute to the slower adjustment of quote by limit order providers in the electronic order-driven market than by market makers. In addition, trades have a greater impact on quotes in the open and the close of a trading day. Trades with larger trading volume and smaller depth have a greater impact on quotes. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。