政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30016

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30016

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/30016

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30016

Title:	不同交易制度下之資訊不對稱 Information Asymmetry Under Different Mechanisms
Authors:	陳宜真 Chen, Yi-Jen
Contributors:	郭維裕 Kuo, Wei-yu 陳宜真 Chen, Yi-Jen
Keywords:	資訊不對稱買賣價差三成分市場微結構買賣價差逆選擇交易成本存貨成本 ADR three components bid-ask spread
Date:	2002
Issue Date:	2009-09-11 17:04:10 (UTC+8)
Abstract:	中文摘要對於資本市場來說是外國公司的買賣價差的三個成分：逆選擇成分、交易成本成分及存貨成本成分相對於本國公司的買賣價差三成分構成有可能不同。此篇論文中比較相同股票在不同市場所發行股票，其買賣價差三成分。根據本篇實證結果，相同一支股票在美國NYSE或是NASDAQ的逆選擇成分顯著的高於在TSEC發行的逆選擇成分，這暗指著資本市場中有很多不一樣的地方值得探討，像是流通貨幣的不同、或是法規治令的不同以及取得非公開資訊的難易程度也不同。另外，根據之前的研究的顯示，買單接著買單、賣單接著賣單的機率趨勢也很強，我們也發現了這種現象在TSEC很明顯，根據此篇論文的結論，這大部分的原因很可能是因為TSEC有「限價」規定的緣故。 Abstract The three components, adverse selection component, order processing component and inventory holding cost, of companies which regarded as foreign companies in terms of the capital market are different from those in domestic capital market. In this paper, the adverse selection components of the stocks we choose in NYSE or NASDAQ are significant higher than those in TSEC. It implies the differences of capital markets, such as currency ,regulation and easy or not obtaining the private information of the company. Furthermore, similar to previous studies, there are strong tendencies for buys follow buys and sells follow sells. We find that the most part of proportion of order persistence derives from price limit in TSEC.
Reference:	References Affleck-Graves, J., S. Hegde, and R. Miller, 1994, Trading mechanisms and the components of the bid-ask spread, Journal of Finance 49, 1471-88. Glosten, L. R. and L. E. Harris, 1988, Estimating the components of the bid-ask spread, Journal of Financial Economics 21, 123-42. Huang, R. D. and H. R. Stroll, 1997, The components of the bid-ask spread: A general approach. Review of Financial Studies 10, 995-1034. Madhavan. A., M. Richardson, and M. Roomans, 1997, Why do security prices change? A transaction-level analysis of NYSE stocks, Review of Financial Studies 10, 1035-64. Poter. D. and D. Weaver, 1996, Estimating bid-ask spread components: Special versus multiple market maker systems, Review of Quantitative Finance and Accounting 6, 167-80. Stoll. H. R.,1989, Infering the components of the bid-ask spread: Theory and empirical tests, Journal of Finance 33, 1133-51. George. T. J., G. Kaul, and M. Nimalendran, 1991, Estimation of the bid-ask spreads and its components: A new approach, Review of Financial Studies 4, 623-56. Lin, J. C., G. Sanger, and G. G. Booth, 1995, Trade size and components of bid and ask spread, Review of Financial Studies 8, 1153-83. Paul Brockman and Dennis Y. Chung, 1999, Bid-Ask spread components in an order-driven environment, The Journal of Financial Research 12, 227-246.
Description:	碩士國立政治大學國際經營與貿易研究所 90351032 91
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0090351032
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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