政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/3732
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113648/144635 (79%)
Visitors : 51578899      Online Users : 996
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3732


    Title: 委託單驅動、集合競價及電子交易機制下散戶市場的流動性供給研究
    Other Titles: Liquidity Provision under an Order-Driven, Call, Electronic Trading System
    Authors: 周行一
    Keywords: 委託單驅動;集合競價市場;電子交易;流動性供給者;散戶;交易量
    Order driven;Call market;Electronic trading;Liquidity provider;Individual investor;Trading volum
    Date: 1999
    Issue Date: 2007-04-18 16:34:54 (UTC+8)
    Publisher: 臺北市：國立政治大學金融系
    Abstract: 台灣證券交易所為委託單驅動之集合競價市場，且並無指定造市者，本研究之目的在研究股市中是否存在有自發性的流動性供給者，發現非屬基金、國外機構投資人及自營商的國內機構投資人可被視為流動性供給者。他們的交易量大、獲利高，而且交易量與獲利成正比，同時他們在市場上依賴雙向交易獲利，在市場中有生存的本領，而有流動性供給者的特質。
    The Taiwan Stock Exchange (TSEC) is an automated order-driven market without designated market makers. This paper investigates if the TSEC has traders who can be considered liquidity providers. We find that institutional traders other than mutual funds, qualified foreign institutional investors, and proprietary traders of securities firms, have the best survival characteristics. They trade heavily, make profits, and their trading profits increase with trading volume. But they do not survive by trading on only one side of the market, rather, by trading heavily on both sides of the market. Thus, they can be considered liquidity providers on the TSEC. In addition, although individual investors constitute more than 75% of total trading volume on the TSEC and outnumber other types of trader by a ratio of 99 to 1, they have low average trading volume, low average trading profits and negative association between trading volume and profits.
    Description: 核定金額：523600元
    Data Type: report
    Appears in Collections:[Department of Money and Banking] NSC Projects

    Files in This Item:

    File Description SizeFormat
    882416H004016.pdf6105KbAdobe PDF21344View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback