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    題名: 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
    其他題名: Liquidity Provision under an Order-Driven, Call, Electronic Trading System
    作者: 周行一
    關鍵詞: 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
    日期: 1999
    上傳時間: 2007-04-18 16:34:54 (UTC+8)
    出版者: 臺北市：國立政治大學金融系
    摘要: 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.
    描述: 核定金額：523600元
    資料類型: report
    顯示於類別:[金融學系] 國科會研究計畫

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