胡星陽2006-07-262018-07-092006-07-262018-07-092002http://ntur.lib.ntu.edu.tw//handle/246246/16263本計畫提議一個新的交易成本統計量，相對於文獻上所提出的統計量，這個 新的統計量是專門針對連續競價的委託單驅動市場而設計。這個新的統計量優點 在於它是下單數量、當前市場深度和前次交易情況的函數，因而可以估計條件下 交易成本(conditional cost)或是無條件交易成本(unconditional cost)。 本計畫所提出的交易成本是在衡量價格衝擊，價格衝擊決定於兩個因素：下 單量對交易方向的影響和價格對交易方向的反應。使用的交易方向變數是來自於 Hu and Chan (2000)。實際估計時所採用的樣本是巴黎交易所上市並交易活絡的 股票。本計畫同時探討交易成本在跨時和跨公司兩個面向上的差異。此外本計畫 也比較這一新的交易成本估計量和其他的交易成本估計量。主要的比較對象是 de Jong, Nijman, and Roell(1995)所提出的兩個交易成本。This paper proposes a new estimator of transaction cost. In contrast to estimators proposes in the literature, this new estimator is specifically designed for order-driven markets with continuous auction. The advantage of this estimator is that it is a function of the order submitted, the current market depth, and the last transaction. As a result, one can estimate both conditional and unconditional cost. This new estimator is a measure of the price impact of a market order. The price impact can be decomposed into two multiplicative terms: the effect of an order on trade direction and the price effect of the trade direction. The definition and measure of trade direction is developed in Hu and Chan (2000). I will apply the new estimator to the Paris Bourse intraday data. I will also examine the cross-sectional and time-series variation of the estimated transaction cost. The estimator will also be compared with other measures proposed in de Jong, Nijman, and Roell(1995).application/pdf227913 bytesapplication/pdfzh-TW國立臺灣大學財務金融學系暨研究所交易成本委託單驅動連續競價市場深度價格衝擊transaction costorder-drivencontinuous auctionmarket depthprice impactreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/16263/1/902416H002017.pdf