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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/50321

    Title: Decomposing the Bid-Ask Spread of ETFs on the AMEX Before and After Decimalization
    Other Titles: 美國證券交易所採取小數報價對ETFs之買賣價差及其組成份之影響
    Authors: Duan, Chang-wen;Lin, Jung-chu
    Contributors: 淡江大學財務金融學系
    Keywords: 買賣價差;委託單處理成本;存貨持有成本;逆選擇成本;指數股票型基金(ETFs);Bid-Ask Spreads;Order Processing Costs;Inventory Holding Costs;Adverse Selection Costs;Exchange-Traded Funds (ETFs)
    Date: 2010-04-01
    Issue Date: 2013-04-17 11:24:51 (UTC+8)
    Publisher: 臺北市:中華民國證券暨期貨市場發展基金會
    Abstract: 本文使用等權重平均價差之代理變數,以觀察美國證券交易所(American Stock Excahange, AMEX)實施小數報價制度對DIA與QQQ兩種指數股票型基金(Exchange Traded Funds, ETFs)之買賣價差與其價差組成份的影響。儘管文獻已說明具有風險分散的ETFs價差是比個股小,然而我們發現ETFs價差在小數報價後仍有顯著降低;其中以交易量較高的QQQ價差下降幅度較高,呈現高交易量與低價差的連結關係。小數報價後,委託單處理成本與透過選擇權方法評估的存貨持有成本皆為下跌的。在ETFs已擁有豐富的訊息內涵下,透過選擇權方法估計的逆選擇成本之值接近零,反應出ETFs市場的訊息交易是少的,且逆選擇成本在小數報價前後是無顯著不同的。小數報價後,所有樣本的存貨持有成本對ETF價差的影響是顯著減少的,而委託單處理成本在具有高交易量的QQQ樣本中表現出對價差的影響亦是減少的。
    Relation: Review of Securities & Futures Markets 22(1), pp.29-72
    DOI: 10.6529/RSFM.2010.22(1).2
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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