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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35155


    Title: 台灣50指數股票型基金上市對指數成分股票流動性之影響
    Taiwan Top 50 Tracker Fund and the Liquidity of Its Underlying Stocks
    Authors: 劉惠娟
    LIU, HUI-JUAN
    Contributors: 林信助
    lLIN, SHINN-JUH
    劉惠娟
    LIU, HUI-JUAN
    Keywords: basket securities
    ETFs
    liquidity effects
    Taiwan Top 50 Tracker Fund
    Date: 2005
    Issue Date: 2009-09-18 14:17:51 (UTC+8)
    Abstract: In this paper, we test the hypothesis that the introduction of Taiwan Top 50 Tracker Fund (TTT) would impact the market liquidity of its underlying stocks. We address this issue by adopting several volume-based and price-based liquidity measures to present the multi-dimension of liquidity. Our empirical results show that after the introduction of TTT, the standardized trading volume decreases and the market becomes more volatile for the underlying stocks. Both the quoted spread and the effective spread widen in the post-introduction period. These findings suggest deterioration of market liquidity for the underlying stocks. We then further follow Lin et al. (1995) to decompose the effective spread to examine the changes in spread components. We find a significant increase in the adverse selection component in contrast to a slight decline in the order processing cost. Overall, we find evidence that the liquidity of the underlying stocks tends to deteriorate after the introduction of TTT primarily because there is an increase in the cost of informed trading. Our finding is consist with the prediction of Subrahmanyam (1991) where the migration of liquidity traders to the basket securities raises the portion of informed traders in the market of underlying stocks and tends to increase the adverse selection risk and reduce the market liquidity of the underlying stocks.
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    92351026
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923510261
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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