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    題名: Essays on the market microstructure of e-mini and floor-traded index futures
    其他題名: 電子化交易與公開喊價交易指數期貨市場微結構之研究
    作者: 姜淑美;Chiang, Shu-mei
    貢獻者: 淡江大學財務金融學系博士班
    鍾惠民;Chung, Huimin;邱建良;Chiu, Chien-liang
    關鍵詞: 電子期貨契約;價格投機及不穩定效果;價格叢聚;市場微結構;E-mini futures contracts;Price speculation and destabilization effects;Price clustering;Market microstructure
    日期: 2005
    上傳時間: 2010-01-11 00:43:41 (UTC+8)
    摘要: 在過去數年中,一個重要的金融市場變革就是交易所從公開喊價的交易制度改為採用電子交易制度。然而在美國的衍生性商品市場,電子交易及公開喊價的制度在正常的交易時間內是同時存在的。因為他們的標的資產是相同的,他們之間可能存在替代效果。此外,電子交易的優點也可能會吸引許多的短線及投機的交易者進入此市場來交易。
    因為電子交易可以擴大投資人的投資機會,他們可以使金融場更完整。再者,電子交易的優點可以導致在價格發現功能方面長足的進步,包括:匿名交易、交易透明度的改善及遞增的執行速度等。我們因此預期在美國,在電子期貨交易以後,市場微結構會產生許多的改變。
    在本論文中,我們研究電子期貨交易對於公開喊價期貨交易的影響,包括:電子期貨交易對於標的資產的影響、在公開喊價交易及電子期貨交易間的價格叢聚現象及由於電子期貨的交易,對於公開喊價期貨交易日內交易型態的影響。所得的結論如下:
    第二章研究電子期貨交易對於標的資產的影響,我們發現在電子期貨交易以後,現貨市場的平均報酬率降低。波動性與報酬率間成正相關。此外,S&P 500 and NASDAQ-100 指數對於過去誤差項的敏感性降低;過去條件變異數對於當期條件變異數的持續性在短期及長期都是增加的。同時,在電子期貨交易以後,對於訊息的不對性效果仍是存在。
    第三章探討公開喊價交易及電子期貨交易間的價格叢聚現象。結果顯示在指數期貨市場間,價格叢聚現象是一種普遍的現象。而公開喊價交易及電子期貨交易間價格叢聚現象的差異是很顯著的。再者,在電子期貨交易以後,公開喊價交易的價格叢聚現象顯著增加。
    第四章探究公開喊價期貨及電子交易期貨的市場微結構及US總體經濟宣告對期貨市場的影響。我們證實期貨的日內波動性及價格變動次數呈現出U型的型態,也就是說即使在交易時間延長以後,市場關門效果仍然存在於公開喊價期貨及電子交易期貨市場中。此外,政府宣告對於波動性及價格變動次數的資訊效果仍然是重要的。
    Over the past several years, an important innovation in the financial market is the trading system transition from open outcry to electronically trade in equity and futures exchanges in the world. However, for the U.S. derivative markets, E-mini and floor-traded index futures are traded simultaneously at regular trading hours. As the underlying assets of E-mini and floor-traded index futures are the same, substitution effect might exist between them. Furthermore, the advantages of E-mini index futures might help to attract many day traders and speculators to trade.
    Because E-mini futures trading can expand the opportunity set faced by investors, they can make financial markets more complete. In addition, the merits of E-mini trading can lead to great advances in price discovery including trader anonymity, improved pricing transparency, and increased execution speed and so on. We therefore expect many changes in market microstructure will occur after E-mini futures trading in the U.S.
    In this essay, we study the effects of E-mini index futures trading on floor-traded futures markets, including the impacts of E-mini futures trading on the underlying assets, the price clustering in open outcry and electronically-traded index futures, and the impacts on intraday patterns stemming from the introduction of electronically-traded index futures. The conclusion can be summarized as follows:
    Chapter 2 examines the impact of E-mini futures trading on the underlying assets, we find that the average returns of spot markets decreased after the introduction of E-mini futures. The relationship between volatility and return is positive. Besides, the sensitivity of S&P 500 and NASDAQ-100 indexes to past errors decreases. The persistence of past conditional variance to current conditional variance increases in the short run and long run. Asymmetrical responses to news still exist after E-mini index futures trading.
    Chapter 3 investigates the price clustering of floor-traded and E-mini index futures. The result shows that price clustering is universal within the index futures markets. Significant clustering differences exist between floor-traded and E-mini index futures. Furthermore, price clustering increases significantly in three floor-traded futures markets after E-mini futures trading.
    Chapter 4 explores the market microstructure of floor-traded and E-mini index futures and the effects of US macroeconomic news announcement on futures markets. We show that the intraday volatility and tick volume measures display a U-shaped pattern for index futures. That is, market closure effect still exists in three floor-traded and E-mini futures markets even though the trading hours are extended. The spot markets dominate. In addition, the information effects of government announcements on volatility and tick volume are still important.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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