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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/94088


    Title: The Price Impact Cost in Taiwan Stock Market
    台灣股市價格衝擊成本之研究
    Authors: 錢邦彥
    Contributors: 郭維裕
    錢邦彥
    Keywords: Price Impact
    Liquidity
    Panel Data
    Date: 2004
    Issue Date: 2016-05-06 14:48:11 (UTC+8)
    Abstract: This paper investigates the price impact cost for MSCI constituents on the Taiwan Stock Exchange (TSE) from Jan. 2001 to Dec. 2004. While the behavior of price impact cost in U.S. security markets has been extensively analyzed, there are few studies about it in the pure limit-order markets. Unlike Breen, Hodrick, and Korajczyk (2002), a panel data model is applied to fit our cross-sectional and time series data. We find that the price impact cost is well predicted by predetermined firm characteristics and exhibits a Ushaped
    pattern over the trading day. Furthermore, the evidence suggests that the reformations of trading regulations and the improvements of information disclosures would have a significant effect on the price impact cost for overall
    stocks.
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    92351006
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923510061
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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