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| 研究生： |
鄧君祈 Chun Chi,Teng |
|---|---|
| 論文名稱： |
台灣期貨市場買賣價差估計值與實際交易成本之研究 Are spread estimators consistent with transaction cost of Taiwan Futures Exchange? |
| 指導教授： | 郭維裕 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2007 |
| 畢業學年度： | 95 |
| 語文別： | 英文 |
| 論文頁數： | 24 |
| 中文關鍵詞： | 買賣價差 、交易成本 、估計值 |
| 相關次數： | 點閱：94 下載：54 |
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This paper focuses on if common effective spread estimators are appropriate for the proxy of Taiwan Futures Exchange. I use public available time and sales data, apply three methods, Roll’s (1984), Thompson and Waller’s (1988), and Smith and Whaley’s (1994) to assess effective spread, and then, compare them with the measured transaction costs proposed by Demsetz (1968). My results indicate that the latter two estimators not only are highly correlated with true transaction costs, but also provide good estimates, while Roll’s estimator appears to be inappropriate applied.
I. Abstract………………………………………P.2
II. Introduction………………………………P.3
III. Methodology Review………………………P.9
IV. Data…………………………………………P.14
V. Empirical Results…………………………P.16
VI. Conclusions………………………………P.21
VII. References………………………………P.22
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