政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35094
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 50973937      線上人數 : 891
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/35094


    題名: 流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究
    作者: 吳佩玟
    Wu,Pei-wen
    貢獻者: 郭維裕
    吳佩玟
    Wu,Pei-wen
    關鍵詞: 流動性
    價差因子分解
    Liquidity
    Bid ask spread
    spread components
    日期: 2003
    上傳時間: 2009-09-18 14:08:52 (UTC+8)
    摘要: 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.
    參考文獻: Affleck-Graves J., S.P. Hedge, and R.E. Miller, (1994), “Trading Mechanisms and the Components of the Bid-Ask Spread”, Journal of Finance, 49, 1471-1488.
    Amihud, Y., Mendelson, H. (1980), “Dealership market: Market-making with inventory”, Journal of Financial Economics 8, 31-53.
    Amihud, T., T. S. Y. Ho, and R. A. Schwartz, (1985), Overview of the changing securities markets, in Y. Amihud. T. S. Y. Ho, and R. A. Schwartz, eds: Market Making and the Changing Structure of the Securities Industries (Lexington Books, Massachusetts), 1-15.
    Bagehot, W. (1971), “The only game in town”, Financial Analysts Journal 27.
    Barclay, M. (1997), “Bid-ask Spreads and the Avoidance of Odd-eighth Quoted on NASDAQ: An Examination of Exchange Listings”, Journal of Financial Economics 45, 1-34
    Benveniste, L., Marcus, A., Wilhelm. (1992), “What’s special about the specialist”, Journal of Financial Economics 32, 61-86
    Bessembinder H., and H.M. Kaufman, (1997), “A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks”, Journal of Financial and Quantitative Analysis, 32, 287-310.
    Bessembinder H., (1998), “Trading costs and Return volatility: Evidence from exchange listing”, Working Paper, Emory University.
    Biais, B., Hillion, P., Spatt, C. (1995),” An empirical analysis of the limit order book and the order flow in the Paris bourse”, Journal of Finance 50(5), 1655-1689.
    Brockman, P., Chung, D., (1999), “Bid-ask spread components in an order-driven environment”, Journal of Financial Research 22, 227-246
    Choi, J. Y., Salandro, D., Shastri, K. (1988), “On the estimation of bid-ask spread: Theory and evidence”, Journal of Financial and Quantative Analysis 23, 219-230.
    Christie, William G., Roger D. Huang, (1994), “Market Structure and Liquidity: A Transaction Data Study of Exchange Listings”, Journal of Financial Intermediation 3, 300-326.
    Chung, K., Van Ness, B., Van Ness, R., (1999), “Limit orders and the bid-ask spread”, Journal of Financial Economics 53, 255-287
    Chung, K. H., Van Ness, R. A. (2001), “Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks”, Journal of Financial Markets
    4, 143-161.
    Clarke, J., Shastri, K. (2000), “On information asymmetry metrics”, Working Paper.
    Copeland, T. E., Galai, D. (1983), “Information effects on the bid-ask spreads in the
    over-the-counter market”, Journal of Finance 38, 1457-1469.
    Demsetz, H. (1968), “The cost of transacting”, Quartely Journal of Economics 82, 33-
    53.
    De Winne, R., Platten, I. (2003), “An analysis of market makers’ behavior on Nasdaq European”, Catholic University of Mons. Department of Fianace.
    Declerck, F. (2002), “Trading costs on a limit order book market: Evidence from the paris bourse”, Banque et Marche’ 57, 31-45.
    Easley, D., Kiefer, N. M., O`Hara, M. & Paperman, J. B. (1996), “Liquidity, informa-
    tion, and infrequently traded stocks”, Journal of Finance 51(4), 1405-1436.
    Ellis, K., Michaely, R., O`Hara, M. (2000), “When the underwriter is the market maker: An examination of trading in the IPO aftermarket”, Journal of Finance
    55(3), 1039-1074.
    Gajewski, J.F., Gresse C., (2003), “Trading Cost Analysis: A comparison of Euronext Paris and London Stock Exchange”
    George, T. J., Kaul, G., Nimalendran, M. (1991), “Estimation of the bid-ask spread and its components: A new approach”, Review of Financial Studies 4, 623-656.
    Glosten, L. R., Harris, L. E. (1988), “Estimating the components of the bid-ask
    Spread”, Journal of Financial Economics 21(1), 123-142.
    Glosten, L. R., Milgrom, P. R. (1985), “Bid ask and transaction prices in a specialist market with heterogeneously informed traders”, Journal of Financial Economics
    14, 71-100.
    Grossman, S., Miller, M., (1988), “Liquidity and Market structure”, Journal of Finance 43, 617-6327
    Hamao, Y., Hasbrouck, J., (1995), Securities trading in the absence of dealers: trades and quotes on the Tokoy Stock Exchange”, Review of Financial Studies 8, 849-878
    Hansch, O., Naik, N. Y., Viswanathan, S. (1998), “Do inventories matter in dealership markets? Evidence from the London Stock Exchange”, Journal of Finance 53(5), 1623-1656.
    Hansen, L. P. (1982), “Large sample properties of generalized method of moments estimators”, Econometrica 50(4), 1029-1054.
    Heidle, H., Huang, R.D., (1999), “Information-Based Trading in Dealer and Auction Markets: An Analysis of Exchange Listings”, Journal of Financial and Quantitative Analysis, forthcoming.
    Ho, T., H. R. Stoll, (1983), “The dynamics of dealer markets under competition”, Journal of Finance 38, 1053-74
    Ho, T., R.G. Macris, (1985), “Dearer market structure and performance”, in Yakov Amihud, Thomas Do et Robert Schwartz eds, Market making and the changing structure of the securities industry, Lexington Books.
    Huang, R. D., Stoll, H. R. (1996), “Dealers Versus Auction Markets: A paired comparison of execution costs on Nasdaq and the NYSE”, Journal of Financial Economics, 41, 313-357.
    Huang, R. D., Stoll, H. R. (1997), “The components of the bid-ask spread: A general
    Approach”, Review of Financial Studies 10(4), 995-1034.
    Klock, M., McCormick, T. D. (1999), “The impact of market maker competition on
    Nasdaq spreads”, The Financial Review 34, 55-74.
    Krishnan, C., (2000), “Determinants of the Pricing Process: Re-examining the Huang and Stoll(1997) Model”, University of Wisconsin-Madison Working Paper
    Lee, C., Ready, M. (1991), “Inferring trade direction from intraday data”, The Journal of Finance 46, 733-746
    Lee, Charles M. C., (1993), “Market Integration and Price Execution for NYSE Listed Securities”, Journal of Finance 48, 1009-1038
    Lesmond, D. A., Ogden, J. P. & Trzcinka, C. A. (1999), “A new estimate of transaction
    Costs”, Review of Financial Studies 12(5), 1113-1141.
    Levin, E., Wright, R. E. (1999), “Note explaining the intra-day variation in the bid-ask
    spread in competitive dealership markets - a research note”, Journal of Financial
    Markets 2, 179-191.
    Lin, J.-C., Sanger, G. C., Booth, G. G. (1995), “Trade size and components of the
    bid-ask spread”, Review of Financial Studies 8(4), 1153-1183.
    Madhavan, A., Richardson, M., Roomans, M. (1997), “Why do prices change?a transaction-level analysis of NYSE stocks”, Review of Financial Studies10(4), 1035-1064.
    Madhavan, A., G. Sofianos, (1998), “An emipirical Analysis of NYSE Specialist Trading”, Journal of Financial Economics, 48, 189-210
    Madhavan, A., Smidt, S. (1993), “An analysis of daily changes in specialist inventories
    and quotations”, Journal of Finance 48, 1595{1628.
    Majois, C., De Winne, R., (2003), “A comparison of alternative spread decomposition models on Euronext Brussels”, Catholic University of Mons. Department of Fianace.
    McInish, T. H. M., Wood, R. A. (1992), “An analysis of the intraday patterns in bid
    ask spreads for NYSE stocks”, Journal of Finance 47(2), 753-764.
    McInish, T. H. M., Wood, R. A. (1995), “Hidden limit orders on the NYSE”, Journal
    of Portfolio Management 21, 19-26.
    Menyah, K., Paudyal, K. (2000), “The components of bid-ask spreads on the London
    Stock Exchange”, Journal of Banking and Finance 24, 1767-1785.
    Neal, R., (1992), “A comparison of transaction costs between competitive market maker and specialist market structure”, Journal of Business 65, 317-34
    Neal, R, Wheatley, S. M. (1998), “Adverse selection and bid-ask spreads: Evidence from close-end funds”, Journal of Financial Markets 1, 121-149.
    Nimalendran, M., Petrella, G., (2002), “Do “thinly-traded” stocks benefit from specialist intervention”,
    Poter, D., D. Weaver, (1996), “Estimating bid-ask spread components: Specialist versus multiple market maker systems”, Review of Quantitative Finance and Accounting 6, 167-80
    Ritter (1991), “The long run performance of initial public offerings”, Journal of Finance
    46(1), 3-27.
    Roll, R. (1984), “A simple implicit measure of the effective bid-ask spread in efficient market”, Journal of Finance 39(4), 1127-1139.
    Sapp, Travis R. A., Yan Xuemin (2000), “Should Small Nasdaq Firms switch to AMEX?”
    Schultz, P. (2000), “The market for market making”.
    Stoll, H. R. (1978), “The supply of dealer services in securities markets”, Journal of
    Finance 33, 1133-1151.
    Silva, A. C., Chavez, G. (2002), “Components of execution costs: Evidence of asymmetric information at the Mexican Stock Exchange”, Journal of International Financial Markets, Institutions and Money 12(3), 253-278.
    Stoll, H. R. (1989), “Inferring the components of the bid-ask spread: Theory and empirical tests”, Journal of Finance 44(1), 115-134.
    Tinic, S. (1972), “The economics of liquidity services”, Quartely Journal of Economics
    86, 79-93.
    Van Ness, B. F., Van Ness, R. A., Warr, R. A. (2001), “How well do adverse selection
    components measure adverse selection”, Financial Management 30(3), 77{98.
    Vijh, A., (1990), “Liquidity of the CBOE equity options”, Journal of Finance 45, 1157-1179
    Wahal, S. (1997), “Entry, exit, market makers, and the bid-ask spread”, Review of
    Financial Studies 10(3), 871-901.
    Wang, J. (1999), “Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outcry auction”, Journal of International Financial Markets, Institutions and Money 9(2), 115-128.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351034
    92
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0091351034
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    35103401.pdf147KbAdobe PDF2782檢視/開啟
    35103402.pdf158KbAdobe PDF2734檢視/開啟
    35103403.pdf136KbAdobe PDF2706檢視/開啟
    35103404.pdf195KbAdobe PDF2717檢視/開啟
    35103405.pdf126KbAdobe PDF21174檢視/開啟
    35103406.pdf156KbAdobe PDF21145檢視/開啟
    35103407.pdf216KbAdobe PDF2808檢視/開啟
    35103408.pdf314KbAdobe PDF2996檢視/開啟
    35103409.pdf98KbAdobe PDF2757檢視/開啟
    35103410.pdf196KbAdobe PDF2824檢視/開啟
    35103411.pdf118KbAdobe PDF2879檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    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 ©   - 回饋