| Summary: | 碩士 === 國立臺北大學 === 經濟學系 === 98 === This thesis empirically examines the impact of trading mechanism change and a tax rate reduction on trading volume, bid-ask spreads, and price volatility in the Taiwan Futures Exchange (TAIFEX). We use a three-equation structural model to examine the inter-relation across trading volume, bid-ask spread, and price volatility in the TAIFEX. The two-stage least squares method (TSLS) procedure is used to estimate the parameters in the structural model. The estimation results show that, when the trading system changes from call auction to continuous auction in the TAIFEX, trading volume and bid-ask spread increase, and price volatility declines. We also find that trading volume and price volatility increase, but bid-ask spread decreases following a reduction in the transaction tax. Moreover, our results indicate a positive relationship between trading volume and price volatility but an inverse relationship between trading volume and bid-ask spread after we control for other factors. We also find that price volatility increases with bid-ask spread.
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