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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35094


    Title: 流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究
    Authors: 吳佩玟
    Wu,Pei-wen
    Contributors: 郭維裕
    吳佩玟
    Wu,Pei-wen
    Keywords: 流動性
    價差因子分解
    Liquidity
    Bid ask spread
    spread components
    Date: 2003
    Issue Date: 2009-09-18 14:08:52 (UTC+8)
    Abstract: The purpose of this paper is to compare the liquidity and the components of the bid-ask spread for thinly traded firms switching from a dealer market (Emerging Stock Market (ESM)) to an order driven market (Taiwan Stock Exchanges (TSE) or GreTai Securities Market (GTSM)). Firstly, we follow Christie and Huang’s (1994) method to measure the liquidity performance. Our finding shows that thinly traded firms could improve their liquidity by switching from a dealer market to an order driven market. Secondly, we apply Huang and Stoll’s (1997) and Lin et al.’s (1995) model to estimate the bid-ask spread components. Our results show that the adverse selection cost is significantly smaller on ESM than TSE or GTSM using both Huang and Stoll’s (1997) and Lin et al.’s (1995) model. The inventory holding cost is lower on ESM than TSE or GTSM estimated by Huang and Stoll’s (1997) model. However, the estimates of order processing cost and the probability of trade reversal do not produce consistent results by applying Huang and Stoll’s (1997) and Lin et al.’s (1995) model.
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351034
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091351034
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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