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| Title: | The Intraday Trading Behavior of TAIEX Option in Taiwan Futures Exchange
台指選擇權日內交易型態分析 |
| Authors: | 張嘉華
Chang, Chia-Hua |
| Contributors: | 郭維裕
Kuo, Weiyu
張嘉華
Chang, Chia-Hua |
| Keywords: | TAIEX option
bid-ask spread
market maker
quotation quality
market making |
| Date: | 2005 |
| Issue Date: | 2009-09-18 14:10:52 (UTC+8) |
| Abstract: | We study the intraday behavior of bid-ask spreads for actively traded TAIEX option in Taiwan. A study of quality of price quotation offered by market makers is important because the market makers have the responsibilities to keep trading costs low and promote price discovery. Due to the observed wider price quotation from market makers, we find that market makers offer inefficient price quotations to fulfill their obligations under requirement of market making. Moreover, ways of quotation market makers choose, indeed, affect the price quotation of market makers. We also find foreign institutional investors (QFIIs) and market makers bear lower execution cost when they deal on TAIEX option market. Overall, despite the large trading volume and increasing liquidity in TAIEX option, our results suggest that market makers do not play an important role to the market liquidity of TAIEX option market as we thought previously.
We study the intraday behavior of bid-ask spreads for actively traded TAIEX option in Taiwan. A study of quality of price quotation offered by market makers is important because the market makers have the responsibilities to keep trading costs low and promote price discovery. Due to the observed wider price quotation from market makers, we find that market makers offer inefficient price quotations to fulfill their obligations under requirement of market making. Moreover, ways of quotation market makers choose, indeed, affect the price quotation of market makers. We also find foreign institutional investors (QFIIs) and market makers bear lower execution cost when they deal on TAIEX option market. Overall, despite the large trading volume and increasing liquidity in TAIEX option, our results suggest that market makers do not play an important role to the market liquidity of TAIEX option market as we thought previously. |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
93351023
94 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0093351023 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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