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Bid-Ask Spread Components in Taiwan Futures Exchange
This paper investigates the liquidity and the bid-ask spread components of the Taiwan Stock Exchange Capitalization Weighted Stock Index futures contracts, Taiwan 期貨市場 Stock Exchange Electronic Sector Index futures contracts, and Taiwan Stock Exchange Banking 期貨市場 and Insurance Sector Index futures contracts traded on the Taiwan Futures Exchange, which switched from an electronic periodic call auction market to an electronic continuous 期貨市場 auction market on July 29th 2002. It is a rare opportunity to deeply examine the liquidity and transaction cost components of financial derivatives under different trading mechanisms. Using intraday transaction data of transaction and quotes covering from March 2002 to May 2002 for the old trading mechanism and from October 2002 to December 2002 for the new trading mechanism, liquidity measures and bid-ask spread components are examined before and after the enforcement of the electronic continuous auction mechanism. First, for each type of futures contracts, liquidity measures including bid-ask spread, trading volume, trade number, trade size, volatility, and liquidity ratio are explored to show the multifacet of liquidity. Next, the model of Lin, Sanger, and Booth (1995) is used to decompose the spreads of each product in the two periods. The empirical results show that quote spreads, effective spreads, percentage effective spreads, and dollar-weighted percentage effective spreads of the 期貨市場 new system are all significantly lower than those measures in the old system for all of the three types of futures contracts. However, other 期貨市場 期貨市場 liquidity measures do not show the same patterns. Overall, improvement of liquidity is found for futures contracts but not very consistent though. Multifacet of liquidity is showed by different measures, although two of these measures, including trade size and trade number, may not be suitable for this study. Moreover, the adverse selection is the most important component in the call auction market, which decreases in the continuous auction market. However, the change of other components, including order processing cost and order persistence, does not demonstrate the same 期貨市場 pattern. The results indicate that the electronic continuous auction system protects uninformed traders from being hurt by informed traders. However, we also show that each type of futures contracts has its own specific component structure
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Bid-Ask Spread Components in Taiwan Futures Exchange
This paper investigates the liquidity and the bid-ask spread components of the Taiwan Stock Exchange Capitalization Weighted Stock Index futures contracts, Taiwan Stock Exchange Electronic Sector Index futures contracts, and Taiwan Stock Exchange Banking and Insurance Sector Index futures contracts traded on the Taiwan Futures Exchange, which switched from an electronic periodic call auction market to an electronic continuous auction market on July 29th 2002. It is a rare opportunity to deeply 期貨市場 examine the liquidity and transaction cost components of financial derivatives under different trading mechanisms. Using intraday transaction data of transaction and quotes covering from March 2002 to May 2002 for the old trading mechanism and from October 期貨市場 2002 to December 2002 for the new trading mechanism, liquidity measures and bid-ask spread components are examined before and after the enforcement of the electronic continuous auction mechanism. First, for each type of futures contracts, liquidity measures including bid-ask spread, trading volume, trade number, trade size, volatility, and liquidity ratio are explored to show the multifacet of liquidity. Next, the model of Lin, Sanger, and Booth (1995) is used to decompose the spreads of each product in the two periods. The empirical results show that quote spreads, effective spreads, percentage effective spreads, and dollar-weighted percentage effective spreads of the new system are all significantly lower than those measures in the old system for all of the three types of futures contracts. However, other liquidity measures do not show the same patterns. Overall, improvement of liquidity is found 期貨市場 for futures contracts but not very consistent though. Multifacet of liquidity is showed by different measures, although two of these measures, including trade size and trade number, may not be suitable for this study. Moreover, the adverse selection is the most important component in the call auction market, which 期貨市場 decreases in the continuous auction market. However, the change of other components, including 期貨市場 order processing cost and order persistence, does not demonstrate the same pattern. The 期貨市場 results indicate that the electronic continuous auction system protects uninformed traders from being hurt by informed traders. However, we also show that each type of futures contracts has its own specific component structure
Similar works
Full text
NCCU LIBRARY
This paper was published in NCCU LIBRARY.
Having an issue?
Is data on this page outdated, violates copyrights or anything else? Report the problem now and we will take corresponding actions after reviewing your request.
CORE is not-for-profit service delivered by the Open University and Jisc.
水處理值班 là gì tiếng Đài Loan?
水處理值班 tiếng Đài Loan là gì? Định nghĩa, khái niệm, giải thích ý nghĩa, ví dụ mẫu và hướng dẫn cách sử 期貨市場 dụng 水處理值班 trong tiếng Hoa.
Định nghĩa - Khái niệm
水處理值班 tiếng Hoa là gì?
Dưới đây là giải thích ý nghĩa từ 水處理值班 trong tiếng 期貨市場 期貨市場 Hoa và cách phát âm 水處理值班 tiếng Đài Loan. Sau khi đọc xong 期貨市場 nội dung này chắc chắn bạn sẽ biết từ 水處理值班 tiếng Đài Loan nghĩa là gì.
水處理值班
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Tóm lại nội dung ý nghĩa của 水處理值班 trong tiếng Đài Loan
Đây là cách dùng 水處理值班 tiếng Đài Loan. Đây là một thuật ngữ Tiếng Đài Loan chuyên ngành được cập nhập mới nhất năm 2022.
Cùng học tiếng Đài Loan
Hôm nay bạn đã học 期貨市場 期貨市場 được thuật ngữ 水處理值班 là gì tiếng Đài Loan? với Từ Điển Số rồi phải không? Hãy truy cập tudienso.com để tra cứu 期貨市場 thông tin các thuật ngữ chuyên ngành tiếng Anh, Trung, Nhật, Hàn. liên 期貨市場 tục được cập nhập. Từ Điển Số là một website giải thích ý nghĩa từ điển chuyên ngành thường dùng cho các ngôn ngữ chính trên thế giới.
Đài Loan nói tiếng gì?
Vũng lãnh thổ Đài 期貨市場 Loan là nơi có nhiều dân tộc bản địa, do đó ngôn ngữ ở đây rất phong phú. Tuy có nhiều ngôn ngữ, nhưng người Trung Quốc đến định cư ở Đài Loan rất nhiều nên hiện 期貨市場 phổ biến nhất là tiếng phổ thông (Quan Thoại) và tiếng Phúc Kiến. Ngoài ra cũng có một bộ phận người dùng tiếng Nhật và tiếng Anh.
Chúng ta có thể tra từ điển tiếng Hoa miễn phí mà hiệu quả trên trang Từ Điển Số.Com Tiếng Quan 期貨市場 Thoại (tiếng Phổ Thông): Là một ngôn ngữ khá phổ biến ở Đài Loan hiện nay, Tiếng Quan Thoại Đài Loan không bị ảnh hưởng nhiều bởi các ngôn ngữ khác. Nó hoàn toàn dễ hiểu với phần lớn người Trung Quốc đại lục. Tiếng Quan Thoại trở thành ngôn ngữ chính thức của Đài Loan hiện đại từ năm 1945.
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