政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/4151
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113311/144292 (79%)
造访人次 : 50939248      在线人数 : 912
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/4151


    题名: 台灣股票市場流動性與雜訊交易之研究
    其它题名: A Study on Liquidity and Noise Trading in the Taiwan Stock Market
    作者: 李志宏
    关键词: 流動性;雜音交易;台灣;股票市場;資訊不對稱;市場深度;有效價差;實現價差
    Liquidity;Noise trading;Taiwan;Stock market;Information asymmetry;Market depth;Effective spread;Realized spread
    日期: 2001
    上传时间: 2007-04-18 16:41:55 (UTC+8)
    出版者: 臺北市：國立政治大學財務管理學系
    摘要: 在沒有市創者的設置下，台灣股市的雜訊交易是否為重要的流動性來源？乃為值得探討的議題，本文將以台灣股票市場為對象，研究分析市場流動性與雜訊交易的關係，從而觀察分析其對市場流動性的衝擊。雜訊交易在資訊不對稱相對低與高時較大，而在資訊不對稱相對中等時，雜訊交易相對較小；交易量亦有相似的趨勢，由於一般流動性交易者於資訊不對稱較高時交易意願較低，較高的交易量所需之流動性較可能來自於雜訊交易。資訊不對稱相對中等及高時，市場深度相對較高，若依五分鐘之資料，資訊不對稱於中等時有顯著最高的市場深度。此證據似乎顯示較高的雜訊交易在資訊不對稱較高時可能較有助於市場的深度。資訊不對稱相對低時，有較高的報價價差，有效價差及實現價差。在資訊不對稱低時，較高的雜訊交易似乎對此交易成本的降低並無幫助。另外，當資訊不對稱較高時，有效價差及報價價差亦較高，但實現價差則較低。較高的雜訊交易於此時較可能有助於流動性的提供，降低實現價差之交易成本。
    The Taiwan stock market has relatively high trading volume and turnover rate without designated market makers. How the market provides liquidity would be an interesting issue. This study examines whether noise trading plays a role of providing liquidity in the market and also investigate the relationship between noise trading and liquidity under different degree of information asymmetry. The evidence shows that when information asymmetry is relatively low or high, noise trading is high. However, noise trading is relatively low when information asymmetry is modest. Trading volume exhibits the similar pattern. Since discretionary liquidity traders tend to be unwilling to trade during the period of higher information asymmetry, liquidity required for higher trading volume is more likely from noise trading. In addition, when information asymmetry is relatively modest and high, market depth is higher. Based on 5-minute data, market depth is significantly higher when information asymmetry is modest. The evidence seems to exhibit that higher noise trading might help market depth during the period of high information asymmetry. Moreover, the results exhibit higher effective spread, quoted spread, and realized spread when information asymmetry is relatively low. It seems that higher noise trading might not be able to help reducing transaction costs in the market with lower information asymmetry. However, when information asymmetry is relatively high, effective and quoted spreads are also higher, but realized spread relatively low. The evidence seems to imply that higher noise trading might help liquidity providing in terms of reducing realize spread when information asymmetry is relatively high.
    描述: 核定金額：600300元
    数据类型: report
    显示于类别:[財務管理學系] 國科會研究計畫

    文件中的档案:

    档案 描述 大小格式浏览次数
    902416H004046.pdf1120KbAdobe PDF21430检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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 ©   - 回馈