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    Title: 不同交易方式對價格波動程度與交易量的影響 : 布蘭特原油市場之分析
    Other Titles: The impacts of trade types on price fluctuation and volumes : the Brent crude oil market
    Authors: 陳雅慧;Chen, Ya-hui
    Contributors: 淡江大學經濟學系碩士班
    廖惠珠;Liao, Huei-chu
    Keywords: 公開喊價交易方式;電子交易方式;GARCH;open outcry system;electronic system;GARCH
    Date: 2006
    Issue Date: 2010-01-11 02:10:38 (UTC+8)
    Abstract: 隨著科技的進步,可以發現在日常生活中有不少的工作都是由電子系統在運作,因為電子系統可以減少人為錯誤發生的機率。因此英國的國際原油交易所(International Petroleum Exchange;IPE),在2005年4月7日由傳統的公開喊價交易方式轉變成為電子交易方式,此轉變對於國際原油交易所有何影響是值得我們去探究的。本文分析國際原油交易所交易制度改變前後之開盤價、收盤價與交易量,而得取主要本文之實證結果概要如下:
    一、開盤價:發現訊息衝擊的參數在國際原油交易所交易制度改變前是顯著的,而交易制度改變後並不顯著,因此無法判斷交易制度的改變是否增加開盤價的波動程度。另外,在波動的持續性上並不顯著,因此沒有證據顯示交易制度改變是否會影響開盤價的波動。
    二、收盤價:發現在交易制度改變後收盤價的波動程度有上升的情形。在波動的持續性方面,交易制度改變會影響收盤價的波動且呈增加現象。
    三、交易量:發現訊息衝擊的參數在交易制度改變前是顯著的,而交易制度改變後並不顯著,因此無法判斷交易制度改變後是否增加交易量的波動程度。在波動的持續性方面,交易制度改變會影響交易量的波動且呈現下降現象。
    上述結果隱含目前國際油價之高波動性多少根源於國際原油期貨市場之普及!由於美國紐約期貨商品交易所(New York Mercantile Exchange;NYMEX)亦將全面採取為電子交易,因此未來之國際油價在其他因素不變下,看可能更加巨幅波動。
    There are many works operated by the electronic system in the daily life with the technical progress, because the electronic system can reduce the probability of the human errors. So, the International Petroleum Exchange (IPE) changed their price transaction way from open outcry into electronic trade system in April 7, 2005. I wander if different trade systems will have influences on International Petroleum Exchange (IPE). This research selects the prices and volumes data of IPE as the sample to analyze the differences between open outcry and electronic trade system. The results are as follows:
    1.We have no obvious evidences to show the change of transaction system will have influences on the opening price fluctuation degree and the sustainability of IPE.
    2.We have obvious evidences to show the change of transaction system will increase the closed price fluctuation degree and the sustainability of IPE.
    3.We have no obvious evidences to show the change of transaction system will have influences on the volumes fluctuation degree of IPE.
    4.We have obvious evidences to show the change of transaction system will increase the volumes fluctuation sustainability of IPE.
    Above results imply current high fluctuations of the international crude oil prices may be due to the generality of the international crude oil futures markets. Since New York Mercantile Exchange (NYMEX) also will adopt the electronic trade system comprehensively in the near future, the international crude oil prices might have a huger fluctuations.
    Appears in Collections:[經濟學系暨研究所] 學位論文

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