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標題:Decomposing the Bid-Ask Spread of ETFs on the AMEX Before and After Decimalization
學年98
學期2
出版(發表)日期2010/04/01
作品名稱Decomposing the Bid-Ask Spread of ETFs on the AMEX Before and After Decimalization
作品名稱(其他語言)美國證券交易所採取小數報價對ETFs之買賣價差及其組成份之影響
著者Duan, Chang-wen; Lin, Jung-chu
單位淡江大學財務金融學系
出版者臺北市中華民國證券暨期貨市場發展基金會
著錄名稱、卷期、頁數Review of Securities & Futures Markets 22(1), pp.29-72
摘要本文使用等權重平均價差之代理變數,以觀察美國證券交易所(American Stock Excahange, AMEX)實施小數報價制度對DIA與QQQ兩種指數股票型基金(Exchange Traded Funds, ETFs)之買賣價差與其價差組成份的影響。儘管文獻已說明具有風險分散的ETFs價差是比個股小,然而我們發現ETFs價差在小數報價後仍有顯著降低;其中以交易量較高的QQQ價差下降幅度較高,呈現高交易量與低價差的連結關係。小數報價後,委託單處理成本與透過選擇權方法評估的存貨持有成本皆為下跌的。在ETFs已擁有豐富的訊息內涵下,透過選擇權方法估計的逆選擇成本之值接近零,反應出ETFs市場的訊息交易是少的,且逆選擇成本在小數報價前後是無顯著不同的。小數報價後,所有樣本的存貨持有成本對ETF價差的影響是顯著減少的,而委託單處理成本在具有高交易量的QQQ樣本中表現出對價差的影響亦是減少的。;This paper uses equal-weighted and volume- weighted effective
spreads as proxies for bid–ask spread to observe the impact of
adopting decimalization by AMEX on bid–ask spreads and spread
components of the two exchange-traded funds (ETFs): DIA and QQQ.
While the literature holds that the bid–ask spreads of ETFs are smaller
than those of individual stocks, the work presented here finds that the
bid–ask spreads of ETFs decline significantly after decimalization.
The extent of this decline is greater for the QQQ with higher trading
volume, implying that higher trading volume significantly reduces the
spread. After decimalization, the order processing costs of both ETFs
and all the inventory holding costs evaluated by option pricing theory
also decline. Under ETFs have contained rich information, the values of
adverse selection cost in ETF spread estimated by option approach are
very close to zero, reflecting that the informed trading in ETF market is
less, and have not showed obvious change around decimalization. The
impact of inventory holding costs on the ETF spread weakens
apparently in both samples after decimal quoting, the same as that of
order processing costs for the QQQ sample with high trading volume.
關鍵字買賣價差;委託單處理成本;存貨持有成本;逆選擇成本;指數股票型基金ETFs);Bid-Ask Spreads;Order Processing Costs;Inventory Holding Costs;Adverse Selection Costs;Exchange-Traded Funds (ETFs)
語言中文
ISSN1023-280X
期刊性質國內
收錄於TSSCI;
產學合作
通訊作者Duan, Chang-wen
審稿制度
國別中華民國
公開徵稿
出版型式,紙本
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