政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34072

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34072

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113392/144379 (79%)
Visitors : 51229795 Online Users : 907

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/34072

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34072

Title:	最佳五檔資訊內涵
Authors:	陳筑音
Contributors:	姜堯民陳筑音
Keywords:	最佳五檔流動性投資人流動性買壓市價單
Date:	2006
Issue Date:	2009-09-17 19:21:39 (UTC+8)
Abstract:	台灣證券集中市場自民國92年1月2日開始實施最佳五檔買賣價量資訊的揭露，提高了市場的透明度，而盤中五檔資訊的揭露，投資人得以從中觀察到委託單的分布狀態，降低了資訊不對稱的情形；倘能藉由分析流動性投資人在每盤撮合後，觀察行情揭示的最高五檔買進與最低五檔賣出價量資訊，並將決策行為反映於市場時，其投資行為是否具有預測未來價格的功能，並探討流動性投資人是否存在一窩蜂行為，以及某一支股票的行為是否會受到對其他股票感染，期能藉由五檔資訊的分析與驗證，以供投資大眾之參考。本文利用台灣證券集中市場上市公司進行實證研究，結果發現，經由五檔資訊所獲得之市價買單、市價賣單及前一盤報酬資訊，對於未來報酬具有預測能力，且流動性投資人具有一窩蜂出現的情形；此外，市價買、賣單會受到前一盤市價買、賣單影響，因而具有持續性現象；股票間的流動性買壓是否互具感染性則未獲有力支持；最後發現，揭露最佳五檔政策實施後，使股票市場的波動性減小，顯示由於資訊透明化，有助市場的交易效率的提升與減少資訊不對稱現象，該政策的實施有正面的意義。 Since January 2nd, 2003, the Taiwan Stock Exchange Corporation (TSEC) started to disclose the information of the best five bids/asks and volumes. The disclosure of the best five bids/asks and volumes enhances the pre-trade transparency. With the disclosure , investors will get more information to help the decision making. This paper employs the intraday five asks/bids and volumes of the Taiwan stock exchange to analysis the liquidity traders’ investments. According to the experiments, we first find the predictive power of the market orders and lag return. However, we don’t demonstrate that the liquidity buying pressure can predict the future return. Besides, we also find that liquidity traders are likely to arrive at the market together (commonality) .
Reference:	王律傑（1997），「台灣股市交易資訊透明度對市場績效之影響」，國立中正大學財務金融研究所碩士論文。左昭信（2000），「台灣股市流動性提供者之研究」，國立政治大學金融研究所碩士論文。李志宏、李怡宗、周行一、劉玉珍（2000），「台灣證券交易所集合競價下兩檔限制的影響」，台灣證券交易所。李芸綺（2001），「證券市場在買賣單不均衡下的效率與適存性」，國立中央大學財務管理研究所碩士論文。陳培林（2004），「台灣證券集中市場新交易制度對市場流動性、波動性及效率性之影響」，國立高雄第一科技大學財務管理研究所碩士論文。張明燕（2006），「股價升降級距與資訊透明度對台灣股市的影響」，中原大學企業管理研究所碩士論文。黃寶慧（1995），「台灣股市競價揭合與行情揭示制度對資訊揭露的影響之研究」，國立中正大學財務金融研究所碩士論文。黃寶慧（2003），「委託單驅動市場的下單研究」，國立中山大學企業管理學系博士論文。詹場、胡星陽、陳建宏（2003），「台灣證券市場揭示狀態之資訊涵量」，證券市場發展季刊，第15卷之4，第1-36頁。詹場、胡星陽、陳建宏（2005），「台灣證券市場日內交易資料之揭露及特性分析」，證券市場發展季刊，第17卷之3，第89-118頁。蔡弘凱（2002），「台灣股市下單積極性之研究」，國立台灣大學財務金融研究所研士論文。劉學庸（2004），「揭露最佳五檔買賣價量措施對台灣股市之影響」，銘傳大學財務金融學系在職專班碩士論文。蔡怡純（2005），「委託單驅動市場之投單策略與價格形成」，國立中山大學財務管理學系博士論文。 Admati, Anat R., 1985,”A Noisy Rational Expectations Equilibrium for Multi-asset Securities”, Econometrica, 53(3), 629-657. Easley, David and Maureen O’Hara, 2004, ”Information and the Cost of capital”, Journal of Finance, 59(4), 1553-1583. Cornelli, Francesca and David Goldreich, 2003, “Bookbuilding: How Informative is the Order Book?” Journal of Finance, 58, 1415-1444. Glosten, Laurence and Paul Milgrom, 1985, “Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders, Journal of Financial Economics, 13, 71-100. Hellwig, Martin F., 1980,”On the Aggregation of Information in Competitive Markets”, Journal of Economic Theory, 22(3), 455-498. Kalay, Avner, Li Wei and Avi Wohl, 2002,”Continuous Trading or Call Auctions: Revealed Preferences of Investors at the TASE”, Journal of Finance, 57(1), 323-542. Kalay, Avner Orly Sade and Avi Wohl, 2004,”Measuring Stock Illiquidity: An Investigation of the Demand and Supply Schedules at the Tel Aviv Stock Exchange, Journal of Financial Economics, 74(3),461-486. Kalay and Avi Wohl, 2005, ”Detecting Liquidity Traders”, Working Paper. Kandel Shmuel, Oded Sarig and Avi wohl, 1999, “The demand for Stocks: An Analysis of IPO Auctions”, Review of Financial Studies, 12(2), 227-247. Keim,D. and A. Madhavan, 1995, “Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders”, Journal of Financial Economics, 37, 371-398. Kyle, Albert S., 1989,”Informed speculation with Imperfect Competition”, Review of Economic Studies, 56(3), 317-355. Liaw, Grohrong, Yu-Jane Liu and K.C. John Wei, 2000,”On the demand Elasticity of Initial Public Offerings:An Analysis of Discriminatory Auctions” Working Paper, National Chung Cheng University, Taiwan. Lyons, Richard k.,1996,”Optimal transparency in a dealer market with an application to foreign exchange”, Journal of Financial Intermediation 5,225-254. Mclnish and Wood,1995,”Hidden limit orders on the NYSE”, Journal of Portfolio Management,19-26. Madhavan, Ananth, 1996,”Security prices and market transparency”,Journal of Financial Intermediation 5,255-283. Madhavan, Ananth and Venkatesh Panchapagesan, 2000,”Price Discovery in Auction Markets: A Look Inside the Black Box”, Review of Financial Studies, 13(3), 627-658. Panago, Marco, and Ailsa Roell, 1996,”Transparency and liquidity: A comparison of Auction and dealer markets with informed trading”, Journal of Finance, Vol. LI,No.2, 579-611.
Description:	碩士國立政治大學財務管理研究所 94357028 95
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0094357028
Data Type:	thesis
Appears in Collections:	[Department of Finance] Theses

Files in This Item:

File	Description	Size	Format
702801.pdf		43Kb	Adobe PDF2	879	View/Open
702802.pdf		63Kb	Adobe PDF2	784	View/Open
702803.pdf		65Kb	Adobe PDF2	776	View/Open
702804.pdf		60Kb	Adobe PDF2	743	View/Open
702805.pdf		128Kb	Adobe PDF2	1656	View/Open
702806.pdf		183Kb	Adobe PDF2	2889	View/Open
702807.pdf		162Kb	Adobe PDF2	1558	View/Open
702808.pdf		317Kb	Adobe PDF2	836	View/Open
702809.pdf		79Kb	Adobe PDF2	856	View/Open
702810.pdf		69Kb	Adobe PDF2	1148	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback