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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?

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.

Identiferoai:union.ndltd.org:CHENGCHI/G0094351002
Creators鄧君祈, Chun Chi,Teng
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language英文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

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