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    CHUR > College of Management > Department of Finance > Seminar Papers >  Item 987654321/28741


    Please use this identifier to cite or link to this item: http://chur.chu.edu.tw/handle/987654321/28741


    Title: 台灣期貨市場流動性衡量-交易單等待時間
    Authors: 李愷莉
    Li, Kai-Li
    Contributors: 財務管理學系
    Finance
    Keywords: 存續期間模型;下單率;殘存函數;流動成本
    duration model;arrival rates;survivorship function;liquidity cost
    Date: 2010
    Issue Date: 2014-06-27 00:07:32 (UTC+8)
    Abstract: 本研究以台灣期貨市場交易量最高的台股指數契約為標的，以存續期間利用平滑化核心估計式，藉由日內交易資料評估台灣期貨市場的流動性。得出以下結論，第一，投資人在期貨市場的交易行為通常集中於開盤第一小時及收盤前一小時，其他時刻的交易量則較少，造成交易量及下單率呈現M型走勢。將交易單分成買單驅動和賣單驅動後，並估計下單率與時間的關係，仍呈M型走勢。第二，不考慮交易量下，台灣期貨市場的存續期間多數在5秒內完成；若以五分鐘均量為基準，計算交易量加權的殘存函數，完成交易的時間將拉長，最可能的等待時間為200秒到500秒間
    We investigate the intra-day patterns of Taiwan futures markets based on the durations by kernel smoothed estimators to measure the liquidity in TAIFEX. We found periodic patterns about liquidity dynamics. First, the trade intensities show M-shape that me
    Appears in Collections:[Department of Finance] Seminar Papers

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