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    题名: The Intraday Trading Behavior of TAIEX Option in Taiwan Futures Exchange
    台指選擇權日內交易型態分析
    作者: 張嘉華
    Chang, Chia-Hua
    贡献者: 郭維裕
    Kuo, Weiyu
    張嘉華
    Chang, Chia-Hua
    关键词: TAIEX option
    bid-ask spread
    market maker
    quotation quality
    market making
    日期: 2005
    上传时间: 2009-09-18 14:10:52 (UTC+8)
    摘要: 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.
    參考文獻: Baesel, Jerome B., George Shows, and Edward Thorp, 1983, The cost of liquidity services in listed options: A note, Journal of Finance 38, 989-995.
    Corwin, Shane A., 1999, Differences in trading behavior across NYSE specialist firms, Journal of Finance 54, 721-745.
    Cho, Young-Hye and Robert F. Engle, 1999, Modeling the impacts of market activity on bid-ask spreads in the option market, NBER Working Paper Series 99-05.
    Chan, Kalok, Y. Peter Chang, and Herb Johnson, 1995, The intraday behavior of bid-ask spreads for NYSE stocks and CBOE options, Journal of Financial and Quantitative Analysis 30, 329-346.
    Chong, Beng-Soon, David K. Ding, and Kok-Hui Tan, 2003, Maturity effect on bid-ask spreads of OTC currency options, Review of Quantitative Finance and Accounting 21, 5-15.
    Ding David K., 1999, The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis, Journal of Futures Markets 19, 307-324.
    Gleason, Katherine I., 2003, Insider trading, Nasdaq quotes, and market maker competition, Working Papers 2003-09.
    George, Thomas J. and Francis A. Longstaff, 1993, Bid-ask spreads and trading activity in the S&P 100 index options market, Journal of Financial and Quantitative Analysis 28, 381-397.
    Huang, Roger D., 2002, The quality of ECN and Nasdaq market maker quotes, Journal of Finance 57, 1285-1319.
    Kumar, Raman, Atulya Sarin,market, and Kuldeep Shastri. “The impact of options trading on the market quality of the underlying security: an empirical analysis.” Journal of Finance 53 (Apr., 1998), 717-732.
    Klock, Mark and Timonthy McCormick, 1999, The impact of market maker competition on Nasdaq spreads, The Financial Review 34, 55-74.
    Lakonishok, Josef, Inmoo Lee, and Allen M. Poteshman, 2004, Investor behavior and the option market, NBER Working Paper W10264.
    Locke, Peter R. and Pattarake Sarajoti. 2004, Inter-dealer trading in futures markets, Journal of Futures Markets 24, 923-944.
    Mcinish, Thomas H. and Robert A. Wood, 1992, An analysis of intraday patterns in bid/ask spreads for NYSE stocks, Journal of Finance 47, 753-764.
    Simaan, Yusif, Daniel G. Weaver, and David K. Whitcomb, 2003, Market maker quotation behavior and pretrade transparency, Journal of Finance 58, 1247-1268.
    Tse, Yiuman and Tatyana Zabotina, 2004, Do designed market makers improve liquidity in open-outcry futures markets, Journal of Futures Markets 24, 479-502.
    Vijh, Anand M., 1990, Liquidity of the CBOE equity options, Journal of Finance 45, 1157-1179.
    Wang, Changyun, 2003, The behavior and performance of major types of futures traders, Journal of Futures Markets 23, 1-31.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    93351023
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093351023
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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