政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/4134
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/4134


    Title: 市場微結構、流動性與交易者行為之研究(1/2)
    Other Titles: Market Microstructure, Liquidity and Trader`s Behavior (I)
    Authors: 李志宏
    Keywords: 交易行為;流動性;兩檔限制;暫停交易;資訊揭露;市場透明度
    Trading behavior;Liquidity;Two-tick limits;Trading halt;Information disclosure;Market transparency
    Date: 2003
    Issue Date: 2007-04-18 16:41:47 (UTC+8)
    Publisher: 臺北市：國立政治大學財務管理學系
    Abstract: 本計畫的主要目的乃以台灣證券交易所於民國九十一年七月一日及九十二年元月一日採行新市場制度為例，探討採行新市場制度前後不同類型的交易者之交易行為，及其對市場流動性的影響及可能扮演的角色，並從而評估新交易制度的市場績效，提出可能的改善及配套措施，以期有助於市場交易的健全，充分發揮市場的績效與功能。為達此研究目的本計畫第一年之研究工作乃包括：(1) 探討分析不同交易者包括外資、國內法人、自然人在新市場制度採行前後之反應及其交易行為，並比較前後的差異。(2) 觀察新市場制度採行前後市場流動性及其變動，並檢視不同類型的交易者之交易行為對市場流動性的影響，從而檢視不同交易者在流動性上所扮演的角色。實證結果發現新市場制度的實施，三種交易者：外資、國內法人、及自然人下單的積極性呈上升的趨勢，市場的流動性亦有增加的趨勢，不過三種交易者在提供有效流動性上，在不同的新制實施階段並未有一致性的趨勢。
    This study will examine trading behaviors of different types of traders in the market around the introduction of new trading mechanisms and the impacts of trading behaviors on market liquidity using the case of Taiwan Stock Market. This study will investigate trading behaviors of different types of traders including foreign institutional traders, domestic institutional traders, and individual traders around the introduction of new trading mechanisms and their responses to the new trading mechanisms. We will then compare the differences in trading behaviors before and after the introduction. The study will also analyze market liquidity around the introduction of new trading mechanisms and the effects of traders` behavior on market liquidity and then examine the roles of different types of traders for market liquidity. The empirical results show that foreign traders, domestic institutional traders, and individual traders tend to place their orders more aggressively and market liquidity exhibits higher after the introduction of new trading mechanisms. However, the evidence does not show a consistent pattern with which the three types of traders provide the effective liquidity in different stages of the introduction of new trading mechanisms.
    Description: 核定金額：723800元
    Data Type: report
    Appears in Collections:[Department of Finance] NSC Projects

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