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    题名: Information transmission efficiency and learning of intraday trading on Taiwan futures market
    其它题名: 臺灣期貨市場日內交易之資訊傳遞效率與學習
    台灣期貨市場日內交易之資訊傳遞效率與學習
    作者: 蘇欣玫;Su, Hsin-Mei
    贡献者: 淡江大學財務金融學系博士班
    邱建良;Chiu, Chien-Liang
    关键词: 日內資料;資訊傳遞效率;學習假說;買賣價差;Intraday data;information transmission efficiency;Learning Hypothesis;bid-ask spread
    日期: 2011
    上传时间: 2011-12-28 17:37:16 (UTC+8)
    摘要: 對於投資人而言,建構一個公平有效率的交易機制與市場是非常重要的,特別是小額投資人或是一般自然人。然而自1998年7月台灣期貨交易所成立發行以來,鮮少研究去完整的探究不同期貨與投資人間交易資訊與行為的差異。為了針對台灣期貨市場日內資訊效率提供一個更直接且完整的分析,本研究利用每筆交易資料去探討四個主要的指數期貨與不同的交易人的日內交易成本與學習假說檢測。本研究以兩種日內資訊效率的衡量方法:買賣價差與Biais et al. (1999)所提出的每分鐘橫斷面不偏迴歸式估計,來進行分析。實證結果分述於四點:1. 透過買賣價差的實證,資訊傳遞效率並不完全,資訊不對稱普遍存在於不同的期貨與交易人。2.而分析迴歸beta係數的檢定,則發現不完全的資訊效率存在於不同的期貨間,但卻不存在於不同的台指期貨交易人間。3.為了分析指數期貨與選擇權的結算制度改變的效果,我們以2008年11月區分成前後兩個次樣本。結果發現與全樣本大致相似,而值得一提的是在結算制度改變後,價格效率產生較大的變異。4.針對beta係數的貢獻度部分,除了金融指數期貨、非金電指數期貨與投信投顧投資人,期貨與交易人大部分的資訊傳遞效率發生在開盤1個小時之間,而在接近收盤時資訊效率的反轉現象非常明顯。
    It is vital to establish a fair and efficient trading mechanism and market for investors, especially small trades or individual investors. However, there are few studies in complete research by inspecting the trade informational and behavioral difference between futures and traders on TAIFEX found since July 1998. In order to a direct and explicit examination of the intraday information efficiency on Taiwan futures market, we apply a tick-by-tick data to investigate the intraday transaction cost and the testing of learning hypothesis for four main index futures and four types of investors market. Two measures of intraday information efficiency: bid-ask spreads and the cross-sectional beta estimate of unbiased regression per minute proposed by Biais et al., 1999 are used for analyzing in this study. The empirical results interpret three findings. First, the information transmission efficiency is not completely and there is asymmetry information universally among the different futures and traders from the evidence of bid-ask spread. Second, the imperfect information transmission efficiency exists generally among the different futures but does not exist in different traders of TXF futures by testing betas. Third, for survey of the effect on clearing mechanism change, we divide our data into two sub-samples by November 2008. The empirical results in two sub-samples are approximately similar to the whole sample. It is evident that the informational efficiency of price is more fluctuant after changing in clearing mechanism of index futures and options. Finally, for calculation of beta contribution, most of intraday information transmission efficiency for all futures and traders take place within opening one-hour except for FXF futures, XIF futures and investment trusts investors and the reversals are more obvious during near close periods for all futures and traders.
    显示于类别:[財務金融學系暨研究所] 學位論文

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