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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/4936


    Title: 變更最小檔次報價對買賣價差組成成分之影響
    Other Titles: Decimal Pricing and Spread Decomposition between ETFs and Their Underling Stocks
    Authors: 段昌文
    Contributors: 淡江大學財務金融學系
    Keywords: 小數報價;下單處理成本;逆選擇成本;存貨持有成本;投資組合;指數股票式基金;深度;價差分解;價差組成份;買賣壓關連成本
    Date: 2005
    Issue Date: 2009-03-16 11:19:32 (UTC+8)
    Abstract: 本研究主要延伸 Huang and Stoll (1997) 之買賣價差分解模型,修正以往文獻未將市場買賣壓造思考於價差分解模型中,導入造市者會理性思考在即有之存貨投資組合下如何以報價來調整其存貨之投資組合關連成本觀念,並將存貨持有成本與逆選擇成本視為選擇權值下,以分析Nasdaq證券市場在變更以小數報價前後對價差組成分與深度之影響;在設定之交易訊息變數與配對中,我們則以Bessembinder (2003) 之建議來處理。可預期的,觀察小數報價前後之價差所分解之成本將是不同的;橫斷面亦將驗證價差與深度之變化是與交易量、波動性、價格水準、存貨持有溢酬與交易商之競爭程度是有連結關係的。
    Appears in Collections:[財務金融學系暨研究所] 研究報告

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