調降期貨交易稅對市場品質的影響

The Impact of Reducing Transaction Tax on the Market

Quality Evidence from Taiwan Market

97 6 24

Department of Finance

Chaoyang University of Technology

Thesis for the Degree of Master

The Impact of Reducing Transaction Tax on The Market

Quality Evidence from Taiwan Market

(Ruei-Lin Lee)

(Chun-Hsiang Chou)

97 6 24

June 24, 2008

I

Chou and Wang (2006)

(General method of movement, GMM)

II

Abstract

This paper extends the work of Chou and Wang (2006) to test the

impact of reducing tax on the Taiwan future market quality by using

intraday and daily data obtained from TEJ. Our contribution of this study

is to divide the investors into speculators and hedgers and to analyze

whether the current transaction tax is optimal. We find that, after reducing

tax, an increasing in bid-ask spread increases trading volume and

decreases open interest. The traded spread and order processing cost

decreases but the inventory and adverse select cost increases. Although

the volume increases insignificantly, the government tax revenue will

increase. Finally, the feedbacks between speculators and hedgers in

different tax rate regimes are insignificant, but speculators and hedgers

impact traded spread and volatility in the long run. Hence, the second

reducing tax leading to an increase in traded spread and volatility

mitigates the improvement of the Taiwan futures market quality, with

suggesting that the market seems to be a bit unstable.

Key Word: transaction tax bid-ask effective spread market quality

market stability

III

........................................................................................................................I

Abstract................................................................................................................. II

..................................................................................................................... III

......................................................................................................... 1

.............................................................................. 1

.......................................................................................... 3

................................................................................................. 4

.......................................................................................... 4

.................................................. 7

.................................................................. 9

........................................................................ 11

........................................................ 13

........................................................................................ 15

............................................................................................... 19

........................................................................................ 19

........................................................................ 20

........................................................................................ 23

........................................................................................ 29

IV

(Unit Root Test) ............................................................. 31

(General method of moment) ................................. 33

............................................................................................... 35

................................................................................ 35

................................ 36

................................................................................ 40

................................................................ 42

................................................................................ 50

................................................................................... 52

................................................................................................ 52

........................................................................................ 54

................................................................................................ 54

............................................................................................................. 55

..................................................................................................................... 58

V

2-1 ......................................................................................16

4-1 ADF ...............................................................35

4-2 ..........................................................................38

4-3 ..........................................................39

4-4 ...........................................................................40

4-5 ..............................................................41

4-6 .........................................................49

4-7 ......................................................................................51

....................................................................58

................................................................59

1

Wang and Yau (2000)

Stiglitz (1989)


Westerholm (2003)

2000 5 1 0.05% 0.025% 2006 1 1

0.025% 0.01%

2


( )Chou and Wang (2006)

( )Chou and Wang (2006) 2000 5 1

3

Chou and Wang (2006) (GMM)

2000 5 1 2006 1 1

( )

( )

( )

( )

( )

:

4

Ying (1966)

( ) (Mixture of Distribution Hypothesis MDH)

Clark (1973) m

m

m m

m m

( ) (Sequential Information Model SIM)

Copeland (1976)

5

! !

Copeland

n o p n-o-p

n

n-1

Fama (1970)

7

(Sequential Information Model) (Mixture of

Distribution Hypothesis) SIM

MDH

Garcia et al. (1986)

Wang and Yau (2000)

1990 1 2 1994 4 29

Hsieh (2004)

1998 9 21 2001 12 31

120

Tauchen and Pitts (1983)

1976 1979 90

8

Kawaller et al. (2001)

1983 1998 S&P 500

Grossman (1988)

1987 S&P 500

Watanabe (2001)

(OSE) 1990 8 24 1997 12

30 225

9

Bessembinder and Seguin (1992) 1978 1 1989 9

S&P 500

ARIMA(0,1,10)

100

Wang (2002) Bessembinder and Seguin (1993)

1993 1 2000 3

Wang (2003) Bessembinder and Chan (1992)

1992 10 2000 3 (S&P 500

) ( ) (

) (

)

10

( ) ( )

( )

( )

Holmes and Tomsett (2004) 1992 1

1996 7 100

Black (1986) (Informed trader)

(Noise trader)

11

Huang and Stoll (1997) (A)

(Inventory costs)

(B) (Order-processing costs)

(C) (Adverse select costs)

Wang and Yau

(2000)

Chou and Lee (2002) (Effective spread)

(Realized spreads) (Information asymmetric

component) 1999 11

1 2000 10 30

12

Hsieh (2004)

-

13

Fleming et al. (1996) 1988 3

1991 1 S&P 100 S&P 500 S&P 100 S&P

500

Jones and Seguin (1997) 1974 5

1 1976 4 30 1975

Westerholm (2003)

1990 1992 1991 1993

Huang (2004)

2001 1 1 2001 9 30


1999 5 1 2001 4 30

14

50%

13%

Summer and Summer (1989) 1987

Wang and Yau (2000)

15

-

Garcia et al. (1986) Chou and Lee (2002)

-

16

2-1

Grossman

(1988)

1987 S&P 500

Bessembinder and

Seguin

(1992)

1978 1

1989 9 S&P

500

ARIMA(0,1,10)

Tauchen and Pitts

(1993)

1976 1979

90

Fleming et al.

(1996)

1988 3

1991 1 S&P

100 S&P 500

S&P 100

S&P

500

Jones and Seguin

(1997)

1974 5 1

1976 4 30

Wang and Yau

(2000)

1990 1 2

1994 4 29

!

Kawaller et al.

(2001)

1983 1998

S&P 500

Watanabe

(2001)

1990 8 24

1997 12 30

225

Chou and Lee

(2002)

1999 11 1

2000 10 30

17

Wang

(2002)

1993 1

2000 3

Bessembinder

and Seguin (1993)

Wang

(2003)

1992 10

2000 3

Bessembinder

and Chan (1992)

( )

( )

( )

( )

Westerholm

(2003)

1990 1992

1991 1993

Holmes and

Tomsett

(2004)

1992 1

1996 7

100

Hsieh 1998 9 21

18

(2004) 2001 12 31

Huang

(2004)

2001 1 1

2001 9 30

Chou and Wang

(2006)

1999 5 1

2001 4 30

19

(Taiwan Economic Journal Co. ,TEJ)

1999 3

24 2007 12 31

1

2000 5 1

2006 1 1

1999 3 24 2000 4 30 2000 5 1 2005

12 31 2006 1 1 2007 12 31

1 1999/3/24

20

( ) (Bid-Ask Spread, BAS)

(Quoted Bid-Ask Spread, Qspread)

(Effective Spread, Espread)

Qspread=At-Bt (3-1)

Espread=2Q (Pt-Mt) (3-2)

Lee and Ready (1991) Qt t

t-1 1 t

t-1 -1 t t-1

t t-2 Pt t Mt At( t

) Bt( t )

21

Huang and Stoll (1997) (Indicator

regression) (Order processing)

Huang and Stoll (1997) (A)

(B)

ttttt QQQP !""" #$#%&' %% 11211 )( (3-3)

tP' t t-1 Qt

1" 2"

21 "%

( ) (Trading Volume and Open Interest, TV and OI)

Campbell et al. (1993) Fleming (1996)

(&

%

&100

1100

1

i

it

tt

VT

VTV (3-4)

VTt t ( )

22

( ) (Volatility)

Andersen et al. (2001) (Realvol)

100)(1

2^

$& (&

n

t

tr) (3-5)

n rt=(Ln(Mt)-Ln(Mt-1))

Mt

Parkinson (1980) - (Hlvol)

100)2(4

))()(( 2^

$%

&Ln

LLnHLn tt) (3-6)

Ht Lt

23

Chou and

Wang (2006)

TVt=b1+b2IVt+b3OIt+b4D1×BASt+b5D2×BASt+b6D2×IVt+b7D1×OIt

+b8D2×OIt+b9BASt-1+b10TVt-1+b11IVt-1+b12OIt-1+b13SPt+e1t (3-7)

BASt=b21+b22D1+b23D2+b24TVt+b25IVt+b26OIt+D27D1×IVt+D28D2×IVt

+b29BASt-1+b30TVt-1+b31IVt-1+b32OIt-1+b33SPt+e2t (3-8)

IVt=b41+b42D1+b43D2+b44TVt+b45BASt+b46OIt+b47D1×TVt

+b48D2×BASt+b49D1×OIt+b50BASt-1+b51TVt-1+b52IVt-1

+b53OIt-1+b54SPt+b55RFt+e3t (3-9)

OIt=b61+b62TVt+b63BASt+b64IVt+b65D2×TVt+b66D1×BASt

+b67D2×BASt-1+b68D1×IVt+b69D2×IVt+b70TVt-1+b71OIt-1

+b72SPt+e4t (3-10)

( ) (TV)

(3-7) TVt t

(IVt) (OIt)

(D1×BASt) (D2×BASt)

(D2×IVt) (D1×OIt)

(D2×OIt) (BASt-1)

(TVt-1) (IVt-1) (OIt-1)

24

(SPt)

IVt t D2×IVt t

OIt t

OIt-1 t-1 t-1

t

BASt t

D1×BASt D2×BASt

t

25

SPt t

( TVt-1 BASt-1 IVt-1 OIt-1)

D1 D2

2000 5 1 D1=D2=0 2000 5 1 2006

1 1 D1=1 D2=0 2005 12 31

D1=0 D2=1 e1t e2t e3t e4t

26

( ) (BAS)

(3-8) (TVt)

(IVt) (OIt) (D1×IVt)

(D2×IVt) (BASt-1)

(TVt-1) (IVt-1)

(OIt-1) (SPt)

(TVt)

(IVt)

(OIt)

D1×IVt D2×IVt t

27

RFt t

( ) (IV)

(3-9) (TVt)

(BASt) (OIt) (D1×TVt)

(D2×BASt) (D1×OIt)

(BASt-1) (TVt-1)

(IVt-1) (OIt-1) (SPt)

(RFt)

(TVt)

(OIt)

28

(RFt)

( ) (OI)

(3-10) (TVt)

(BASt) (IVt) (D2×TVt)

(D1×BASt) (D2×BASt)

(D1×IVt)

(D2×IVt) (TVt-1) (OIt-1)

(SPt)

29

( )H0

H1

( )H0

H1

( )H0

H1

( )H0

H1

( )H0

H1

30

( )H0

H1

( )H0

H1

( )H0

H1

( )H0

H1

31

(Unit Root Test)

(Stationary) Granger and Newbold

(1974) (Spurious regression)

(OLS)

OLS

(Unit root test)

n n I(n)

I(0)

Dickey and Fuller (1979) AR(1)

Dickey and Fuller (1981) DF

ADF ADF

( ) (Drift term)

titi

k

itt yyy !*+ #'(#%&' %

%

&%

1

11)1( (3-11)

32

( ) (Drift term)

titi

k

itt yyty !*+" #'(#%#$&' %

%

&%

1

11)1( (3-12)

( ) (Drift term)

titi

k

itt yyty !*+", #'(#%#$#&' %

%

&%

1

11)1( (3-13)

" # t $t

H0 %=1

yt

33

(General method of moment)

(Heteroscedasticity) (Autocorrelation)

OLS

(Efficiency)

Panel Data

Hansen (1982)

34

GMM

( )GMM (Stationary)

( )GMM

( )

GMM

( ) GMM

GMM

(Asymptotic)

35

ADF 4-1

RF 1% Hlvol Realvol 5%

RF SP 1%

Gallant et al. (1992) Chen et al. (2001)

Lee and Rui (2002)

2

1%

4-1 ADF

Variable Qspread Espread TV Hlvol Realvol OI RF SP

& -1.587 -1.589 -0.098 -2.012* -2.345* -0.030 -3.042** -0.066

Variable nQspread nEspread nTV nHlvol nRealvol nOI 'RF 'SP

& -5.111** -4.385** -9.664** -5.951** -9.303** -19.113** -46.508** -48.163**

:1.Qspread= Espread= TV= Hlvol= - Realvol=

OI= RF= SP=

2. Mackinnon(1996) 1% 5% -2.566 -1.941

3.** * 1% 5%

2 Chou and Wang (2006) ii tty !"", ###& 2

210 t

36

4-2 Panel B

TV OI 0.995 0.991 1.010 1.012

1.008 1.001

Qspread Espread 4.840

2.230 1.740 1.050 1.367 0.533

Hlvol Realvol

0.956% 1.130% 0.978% 1.194%

0.728% 0.899%

Panel B

TV OI -0.011 -0.007

0.001 0.003 0.006 0.004

37

Qspread Espread -0.222

-0.150 -0.059 -0.080 -0.039

-0.047

Hlvol Realvol

-1.065% -0.497% -0.287% -0.191%

-0.066% -0.098%

RF SP

38

4-2

Panel A:

1999/3/24-2000/4/30 Qspread Espread TV Hlvol Realvol OI RF SP

5.215 2.394 0.993 1.137 1.356 0.986 0.045 8264.551

4.84 2.23 0.995 0.956 1.13 0.991 0.045 7960.000

2.001 1.414 0.042 0.627 0.957 0.04 0 894.593


2.129 1.157 1.01 1.169 1.403 1.01 0.022 5707.978

1.74 1.05 1.01 0.978 1.194 1.012 0.015 5760.000

1.079 0.637 0.037 0.733 0.945 0.029 0.013 1039.086


1.454 0.563 1.007 0.864 1.084 1.001 0.018 7655.199

1.367 0.533 1.008 0.728 0.899 1.001 0.018 7642.000

0.282 0.296 0.029 0.499 0.607 0.02 0.002 988.671

Panel B:


0.232 0.137 -0.013 -0.905 -0.275 -0.011 0.045 8257.042

-0.222 -0.15 -0.011 -1.065 -0.497 -0.007 0.045 7955.000

2.283 1.486 0.042 0.657 0.956 0.04 0 896.435


-0.046 -0.023 0.001 -0.116 0.026 0.002 0.022 5709.826

-0.059 -0.08 0.001 -0.287 -0.191 0.003 0.015 5760.000

3.639 3.737 0.118 0.671 9.567 0.298 0.046 9235.000


-0.004 -0.014 0.004 0.082 0.087 0.002 0.018 7655.199

-0.039 -0.047 0.006 -0.066 -0.098 0.004 0.018 7642.000

0.234 0.299 0.029 0.505 0.629 0.021 0.002 988.671

:Qspread= Espread= TV= Hlvol= - Realvol=

OI= RF= SP=

39

4-3 D1 D2

Qspread Espread

Chou and

Wang (2006) Qspread

Espread

4-3

Variable Qspread Espread TV Hlvol Realvol OI RF SP

0.232 0.137 -0.013** -0.905 -0.275**-0.011** 0.045** 8257.042**

(0.701) (0.799) (-2.760) (-12.367) (-3.019) (-2.884) (74.784) (56.690)

D1 -0.278 -0.161 0.014** 0.789** 0.301** 0.013** -0.023** -2547.216**

(-0.839)(-0.927) (2.773) (9.864) (2.949) (2.990)(-35.449) (-15.427)

D2 -0.236 -0.151 0.017** 0.987** 0.362** 0.014** -0.027** -601.843**

(-0.711) (-0.872) (3.222) (11.759) (3.318) (3.059) (-35.718) (-3.139)

R-Squared 0.009 0.006 0.021 0.178 0.016 0.078 0.404 0.521

:1.Qspread= Espread= TV= Hlvol= - Realvol=

OI= RF= SP=

2. t Newey-West 3.** * 1% 5%

4.D1 D2 2000 5 1 2006 1 1

40

4-4 Huang and Stoll (1997)

6.4% 6.2% 93.6%

93.8% 0.8%

99.2%

4-4

Panel A: (1999/3/24-2000/4/30)

=286

0.067 0.933 13.000

0.064 0.936 11.088

0.162 0.162 6.711

Panel B: (2000/5/1-2005/12/31)

=1387

0.062 0.938 7.242

0.062 0.938 6.057

0.157 0.157 4.275

Panel C: (2006/1/1-2007/12/31)

=493

0.020 0.980 6.952

0.008 0.992 5.94

0.162 0.162 3.568

41

4-5

D1 D2

( ) ( )

4-5

Variable

0.067** 0.933** 13.000**

(7.363) (102.385) (15.682)

D1 -0.005 0.005 -5.759**

(-0.483) (0.483) (-6.598)

D2 -0.047** 0.047** -6.049**

(-3.951) (3.951) (-6.634)

R-squared 0.013 0.013 0.160

:1. t Newey-West 2.** * 1% 5%

3.D1 D2 2000 5 1 2006 1 1

42

GMM 4-6

( )

IVt 1%

D2×IV 1%

OIt 1%

D1×OIt D2×OIt

D1×BASt D2×BASt 1%

BASt-1 1%

TVt-1 1%

Wang et al. (1997)

IVt-1 1%

43

OIt-1 1%

(SPt)

1%

D1 D2

( )

( )

( )

TVt 5%

IVt 1%

D1×IVt D2×IVt 1%

OIt 1%

44

BASt-1 1%

TVt-1 1%

IVt-1

1%

OIt-1 1%

SPt 1%

D1 D2 1%

D1×TVt D2×TVt D1×OIt D2×OIt

( )

( )

TVt 1%

D1×TVt 1%

BASt 1%

45

D2×BASt 1%

OIt 1%

D1×OIt

BASt-1 1%

TVt-1 1%

IVt-1 1%

OIt-1 1%

SPt (RF)

D1 D2 1%

( )

46

( )

TVt 1%

D2×TVt 1%

BASt 5%

D1×BAS D2×BAS 1%

IVt 1%

D1×IVt D2×IVt 1%

TVt-1

OIt-1 1%

SPt 1%

D1 D2

47

( )

( )

4-6

Holmes and Tomsett (2004)

Wang and Yau (2000) Chou and Wang (2006)

Garcia et al. (1986)

Wang

and Yau (2000)

Bessembinder and

Seguin (1992)

48

Huang and Stoll

(1997)

Wang and Yau (2000)

Wang and Yau (2000)

( )

( )

49

4-6

Variable TV BAS IV OI

Intercept 0.001 (1.860) 0.160* (2.360) -0.160** (-5.500) 0.000 (-1.040)

D1 - -0.185** (-2.710) 0.126** (3.820) -

D2 - -0.165* (-2.430) 0.183** (5.390) -

TVt - 0.617* (2.430) 7.760** (13.020) 0.201** (15.950)

BASt - - 0.185** (5.140) -0.002* (-2.230)

IVt 0.022** (12.030) 0.419** (4.460) - -0.009** (-8.930)

OIt 0.678** (3.590) -3.190** (-7.670) -3.750** (-2.960) -

D1×TVt - - 2.579** (2.620) -

D2×TVt - - - -0.111** (-4.750)

D1×BASt 0.006** (4.460) - - -0.005** (-5.280)

D2×BASt 0.032** (6.840) - 0.385** (3.100) -0.019** (-6.890)

D1×IVt - -0.349** (-3.720) - 0.004** (3.160)

D2×IVt -0.007** (-2.900) -0.372** (-4.050) - 0.008** (5.880)

D1×OIt -0.198 (-1.230) - -1.500 (-1.320) -

D2×OIt -0.165 (-1.000) - - -

BASt-1 0.003** (3.300) 0.751** (31.920) -0.130** (-4.750) -

TVt-1 0.385** (17.600) 1.590** (3.550) -3.305** (-7.070) 0.019 (1.580)

IVt-1 -0.007** (-5.950) -0.062** (-3.380) 0.384** (9.560) -

OIt-1 -0.186** (-4.580) 1.709** (3.800) 0.855 (1.170) 0.691** (22.050)

'SPt 0.000** (5.240) -0.001** (-5.200) -0.001 (-1.620) -0.000** (-5.030)

'RFt - - -32809.900 (-1.120) -

R-square 0.392 0.663 0.384 0.555

:1.TV= BAS= IV= OI= RF=

SP= 'RFt= ' SPt=

D1 D2 2000 5 1 D1=D2=0 2000 5

1 2005 12 31 D1=1 D2=0 2006 1 1 D1=0 D2=1

t-1 D1*BASt

2. t

3.** * 1% 5%

50

( * * )

4-7

NT$2,179,615 NT$1,961,132

10.02% 50%

NT$7,610,193

NT$4,979,801 34.56%

60%

( )

51

( )

(-0.185 -0.165)

(0.126 0.183) (-0.165)

(0.183)

( )

4-7

z-value

1999/05/01-2000/04/30 266 2,179,615 - - - 579,777,712

2000/05/01-2001/04/30 264 1,961,132 -218,483** -10.02% (-3.494) 517,738,825

2001/05/01-2002/04/30 243 3,176,674 997,059** 61.98% -10.221 771,931,876

2002/05/01-2003/04/30 250 3,928,031 1,748,416** 23.65% -20.871 982,007,758

2003/05/01-2004/04/30 251 8,765,897 6,586,282** 123.16% -27.887 2,200,240,232

2005/01/01-2005/12/31 247 7,610,193 - - - 1,879,717,673

2006/01/01-2006/12/31 248 4,979,801 -2,630,392** -34.56% (-26.854) 1,234,990,603

2007/01/01-2007/12/31 247 7,451,809 -158,384** 49.64% -12.917 1,840,596,735

:1. 2000/05/01 2006/01/01

2.** * 1% 5%

3.1% 5% z 1.96 1.645

52

( )

Wang and

Yau (2000) Chou and Wang (2006)

( )


( )

Bessembinder and

Seguin (1992) Holmes and Tomsett (2004)

53

Wang and Yau (2000) Chou and Wang (2006)

( )

Chou and Lee (2002)


54

( )

( )

( )

( )

55

1. Anderson, T. G.., Bollerslev, T. B., Deibold, F., and Ebens, H. (2001),

“The distribution of realized stock return volatility,” Journal of

Financial Economics, Vol. 61, pp. 43-67.

2. Bessembinder, H., and Seguin, P. J. (1992), “Futures trading activity

and stock price volatility,” The Journal of Finance, Vol. 47, pp.

2015-2034.

3. Black, F. (1986), “Noise,” The Journal of Finance, Vol. 41,

pp.529-543.

4. Campbell, J.Y., Grossman, S.J., and Wang, J. (1993), “Trading volume

and serial correlation in stock returns,” Quarterly Journal of

Economics, Vol. 108, pp. 905–939.

5. Chen, G.., Firth, M., and Rui, O. (2001), “The dynamic relation

between stock returns, trading volume, and volatility,” The Financial

Review, Vol. 38, pp. 153-174.

6. Chou, R. K., and Lee, J. H. (2002), “The relative efficiencies of price

execution between the Singapore exchange and the Taiwan futures

exchange,” The Journal of Futures Markets, Vol. 22 , pp. 173-196.

7. Chou, R. K., and Wang, G.. H. K., (2006), “Transaction tax and market

quality of the Taiwan stock index futures,” The Journal of Futures

Markets, Vol. 26, pp. 1195-1216.

8. Copeland, T. E. (1976), “A model of asset trading under the

assumption of sequential information arrival,” Journal of Finance,

Vol. 31, pp.1149-1168.

9. Clark, P. K. (1973), “A subordinated stochastic process model with

finite variance for speculative prices,” Econometrica, Vol. 41, pp.

135-155.

10. Dickey, D. A. and Fuller, W. A. (1979), “Distribution of the estimators

for autoregressive time series with a unit root,” Journal of the

American Statistical association, vol. 74, pp. 427-431.

11.Dickey, D. A. and Fuller W. A. (1981), “Likelihood ratio statistics for

autoregressive time series with a unit root,” Econometrica, vol. 49, pp.

1057-1072.

12. Fama, E. F. (1970), “Efficient capital markets: A review of theory and

empirical work,” Journal of Finance, Vol. 25, pp. 383-417.

56

13. Fleming, J., Ostdiek, B., and Whaley, R. E. (1996), “Transaction

Costs and the Relative Rates of price Discovery in Stock, Futures, and

Option Markets,” The Journal of Future Markets, Vol. 16, pp.

353-387.

14. Gallant, A., Rossi, P., and Tauchen, G.. (1992), “Stock prices and

volumes,” Review of Financial Studies, Vol. 5, pp. 199-242.

15. Garcia, P., Leuthold, R. M., and Zapata, H. (1986), “Lead-lag

relationships between trading volume and price variability: New

evidence,” The Journal of Future Markets, Vol.6, pp. 1-10.

16. Granger, C. W. J. and Newbold, P. (1974), “Spurious regressions in

econometrics,” Journal of Econometrics, Vol. 2, pp. 111-120.

17. Grossman, Sanford J., and Miller, H. Merton, (1988), “Liquidity and

market structure,” The Journal of Finance, Vol. 43, pp. 617-633.

18. Hansen, L. P. (1982), “Large sample properties of generalized method

of moments estimators,” Econometrica, vol. 50, pp. 1029-1054.

19. Holmes, P., and Tomsett, M. (2004), “Informatin and noise in U.K.

Futures Markets,” The Journal of Future Markets, Vol. 24, pp.

711-731.

20. Hsieh, W-L. G. (2004), “Regulatory changes and information

competition: The case of Taiwan index futures,” The Journal of

Futures Markets, Vol. 24, pp. 399-412.

21. Huang, R. D., and Stoll, H. R. (1997), “The components of the

bid-ask spread: A general approach,” The Review of Financial Studies,

Vol. 10, pp. 995-1034.

22. Huang, Y. C. (2004), “The components of bid-ask spread and their

determinants: TAIFEX versus SGX_DT,” The Journal of Future

Markets, Vol. 24, pp. 835-860.

23. Jones, C. M., and Seguin, P. L. (1997), “Transaction costs and price

volatility: Evidence from commission deregulation,” American

Economic Review, Vol. 87, pp. 728-737.

24. Kawaller, I. G., Koch, P. D., and Peterson, J. E.(2001), “Volume and

volatility surrounding quarterly redesignation of the lead S&P 500

futures contract,” Journal of Futures Markets, Vol. 12, pp. 1119-1149.

25. Lee, B., and Rui, O. (2002), “The dynamic relationship between stock

returns and trading volume: Domestic and cross-country evidence,”

Journal of Banking and Finance, Vol. 26, pp. 51-78.

26. Lee, C. M. C., and Ready, M. J. (1991), “Inferring trade direction

from intraday data,” The Journal of Finance, Vol. 46, pp. 733-746.

57

27. Newey, W. K., and West K. D. (1987), “A simple positive

semi-definite, heteroskedasticity and autocorrelation consistent

covariance matrix,” Econometrica, vol. 55, pp. 703–708.

28. Parkinson, M. (1980), “The extreme value method for estimating the

variance of the rate of return,” Journal of Business, Vol. 53, pp.

61-68.

29. Summers, L. H., and Summers, V. P. (1989), “When financial markets

work too well: A caution case for a security transaction tax,” Journal

of Financial Service Research, Vol. 3, pp. 261-286.

30. Tauchen, G. E., and Pitts, M. (1983), “The price variability-volume

relationship on speculative markets,” Econometrica, Vol. 51,

pp.485-505.

31. Wang, C. (2002), “The effect of net positions by type of trader on

volatility in foreign currency future markets,” The Journal of Future

Markets, vol. 22, pp. 427-450.

32. Wang, C. (2003), “The behavior and performance of major types of

future traders,” The Journal of Future Markets, vol. 23, pp. 1-31.

33. Wang, G. H. K., and Yau, J. (2000), “Trading volume, bid-ask spread,

and price volatility in futures markets,” The Journal of Future

Markets, Vol. 20, pp. 943-970.

34. Wang, G. H. K., Yau, J., and Baptiste, T. (1997), “Trading volume and

transaction costs in futures markets,” The Journal of Futures Markets,

vol. 17, pp. 757-780.

35. Watanabe, T. (2001), “Price volatility, trading volume, and market

depth: Evidence from the Japanese stock index futures market,”

Applied Financial Economics, Vol. 11, pp. 651-658.

36. Westerholm, J. (2003), “The impact of transaction costs on turnover,

asset prices and volatility: The case of Sweden’s and Finland’s

Security transaction tax reduction,” Finnish Journal of Business

Economics, Vol. 52, pp. 213-241.

37. Ying, C. C. (1966), “Stock market prices and volume of sales,”

Econometrica, vol. 34, pp.676-685.

58

Panel A:


Intercept -0.004 (-1.910) 0.271** (7.250) -0.163** (-3.700) -0.004** (-3.260)

D1 0.004 (1.950) -0.287** (-7.120) 0.175** (3.650) 0.004** (3.100)

D2 0.005* (2.120) -0.278** (-6.140) 0.218** (4.040) 0.005** (3.020)

TVt - 1.112 (1.200) 0.194** (7.100) -0.002 (-1.960)

BASt -0.000 (-0.230) - 7.547** (7.130) 0.153** (4.800)

IVt 0.017** (8.280) 0.562** (13.770) - -0.009** (-6.330)

OIt 0.208** (4.690) -1.880* (-2.040) -4.883** (-4.490) -

D1×TVt - -0.481 (-0.470) -0.037 (-0.950) -0.005** (-4.490)

D2×TVt - -0.295 (-0.220) 0.635** (4.060) -0.016** (-3.310)

D1×BASt 0.006** (3.600) - 3.556** (3.050) 0.029 (0.830)

D2×BASt 0.032** (4.770) - -2.442 (-1.540) -0.092* (-2.000)

D1×IVt -0.001 (-0.250) -0.511** (-11.330) - 0.005** (3.110)

D2×IVt -0.004 (-1.410) -0.521** (-8.680) - 0.009** (4.100)

D1×OIt 0.155** (2.990) -1.387 (-1.290) -1.614 (-1.250) -

D2×OIt 0.175* (2.280) -0.767 (-0.490) 2.342 (1.200) -

BASt-1 0.002 (1.920) 0.699** (49.760) -0.122** (-4.910) 0.000 (0.320)

TVt-1 0.372** (18.500) 1.600** (3.680) -1.800** (-3.390) 0.049** (3.180)

IVt-1 -0.004** (-4.410) -0.037* (-2.100) 0.322** (15.960) -0.001 (-1.620)

OIt-1 -0.087** (-2.870) 1.442* (2.360) 1.656* (2.230) 0.619** (38.570)

'SPt 0.000** (4.670) -0.000** (-6.180) -0.001** (-7.300) -0.000** (-3.750)

'RFt 156.650 (0.160) 15217 (0.770) -51692* (-2.150) -142.414 (-0.200)

R-square 0.434 0.668 0.395 0.562

Panel B:Ward

D1=D2 0.35 0.09 1.49 0.17

D1TVt = D2TVt - 0.03 20.55** 10.42**

D1BASt = D2BASt 14.96** - 18.02** 4.9*

D1IVt = D2IVt 2.32 0.04 - 5.35*

D1OIt = D2OIt 0.09 0.2 5.07* -


SP= 'RFt= ' SPt=

D1 D2 2000 5 1 D1=D2=0 2000 5

1 2005 12 31 D1=1 D2=0 2006 1 1 D1=0 D2=1

t-1 D1*BASt

2.Panel A t Panel B F

3.** * 1% 5%

59

Panel A:


Intercept 0.000 (0.010) 0.252** (51.030) -0.167** (15.280) 0.000 (0.380)

D1 - -0.270** (49.110) 0.180** (14.920) -

D2 - -0.258** (34.950) 0.219** (16.700) -

TVt - 0.720 (2.790) 6.700** (70.960) 0.180** (126.170)

BASt - - 0.190** (57.320) -0.002** (12.470)

IVt 0.016** (386.980) 0.559** (228.890) - -0.009** (41.080)

OIt 0.229** (29.150) -2.743** (20.690) -4.385** (21.320) -

D1×TVt - - 4.248** (21.270) -

D2×TVt - - - -0.113** (9.540)

D1×BASt 0.005** (14.500) - - -0.005** (17.580)

D2×BASt 0.031** (21.920) - 0.515** (13.660) -0.016** (11.820)

D1×IVt - -0.508** (166.270) - 0.004** (7.430)

D2×IVt -0.004 (2.320) -0.516** (94.380) - 0.008** (14.740)

D1×OIt 0.128** (6.690) - -1.969 (3.210) -

D2×OIt 0.154* (4.180) - - -

BASt-1 0.002* (6.150) 0.699** (2538.420) -0.119** (22.970) -

TVt-1 0.375** (349.330) 1.599** (13.540) -1.819** (11.800) 0.043** (9.230)

IVt-1 -0.004** (18.200) -0.039* (4.880) 0.323** (257.410)

OIt-1 -0.080** (7.020) 1.248* (4.470) 1.748* (5.710) 0.628** (1633.060)

'SPt 0.000** (22.030) -0.001** (38.520) -0.001* (52.060) -0.000** (15.140)

'RFt - - -52903 (4.880) -

R-square 0.432 0.667 0.394 0.560

Panel B:Ward

D1=D2 - 0.17 1.21 -

D1TVt = D2TVt - - - -

D1BASt = D2BASt 14.42** - - 5.85*

D1IVt = D2IVt - 0.03 - 5.86*

D1OIt = D2OIt 0.15 - - -


SP= 'RFt= ' SPt=

D1 D2 2000 5 1 D1=D2=0 2000 5

1 2005 12 31 D1=1 D2=0 2006 1 1 D1=0 D2=1

t-1 D1*BASt

2.Panel A t Panel B F

3.** * 1% 5%

調降期貨交易稅對市場品質的影響

Documents

Transcript of 調降期貨交易稅對市場品質的影響