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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31575

    Title: Three essays on microstructure and institutional investors of Taiwan financial markets
    Other Titles: 三篇與臺灣金融市場微結構及機構投資人相關的論文
    Authors: 張志宏;Chang, Chi-hung
    Contributors: 淡江大學財務金融學系博士班
    聶建中;Neih, Chien-chung
    Keywords: 磁吸效應;委託簿;期貨與選擇權市場;造市者與機構投資人;price limit;magnet effect;limit order book;futures and options markets;market makers and institutional traders
    Date: 2008
    Issue Date: 2010-01-11 00:59:05 (UTC+8)
    Abstract: 近年來,機構投資人在台灣金融市場所扮演的角色日益重要。在股票市場中,機構投資人在持股比率及成交量比重上逐年上升;在選擇權市場中,機構投資人所扮演的造市者為市場不可或缺的角色;在期貨市場中,機構投資人亦為重要之ㄧ環。本論文以金融市場微結構的觀點來探討機構投資人於台灣金融市場所扮演的角色等相關議題。
    Recently, institutional investor plays more and more important a role on Taiwan financial markets. On the stock market, the ratios of share holding and volume of institutional investors are increasing. On the option market, the role of market maker played by institutional investor is indispensable. On the future market, institutional investor also plays an important role. This dissertation discusses the microstructure issues of institutional investor, especially the topics of the role of institutional investors on Taiwan financial markets.
    This dissertation consists of three essays: The title of part 1 is “Are Magnet Effects Caused by Uninformed Traders? Evidence from Taiwan Stock Exchange.” Using transactions and quotes data, significant magnet effects of price limit rules in Taiwan Stock Exchange (TSEC) is confirmed. When limit hits are imminent, trading activities intensify with higher volumes and volatility. More importantly, my transactions data allows me to examine the roles of institutions and individuals in the magnet effects on the TSEC. There is strong evidence that the magnet effects are caused by uninformed individuals, whereas if trade volumes are dominated by institutions, no significant magnet effect is found. The policy implication is that transparency and institutional participation can help to remove magnet effects.
    The title of part 2 is “The Role of Market Makers on the Taiwan Options Markets.” In this essay, I investigate the role that market makers play on the TXO (TAIEX Option) market. The evidence shows that market makers play more important a role as sellers on the TXO market, especially on the put market. The spread has been narrowed down on
    the put market when market makers participant on the best bid/ask sides. However, no evidence shows similar phenomenon on the call market. On the other hand, the majority of depth on both buy-side and sell-side is offered by non-market makers. I conclude that market makers of TXO play the role as liquidity demanders more than the role as liquidity providers.
    The title of part 3 is “Liquidity Provision of Futures Markets.” In this essay, I investigate the trading behaviors of individual and institutional traders on the TAIEX (TX) stock index futures market. Evidence shows that the depth supply at multiple prices is different to that of stocks markets. Depth displays a normal demand/supply curve. That is, depth is monotonically increasing on the buy (sell) side as bid (ask) price decreases (increases). Besides, I find that institutional traders offer liquidity when the spread is wide. Finally, the evidence shows that the market order percentage of both individual and institutional traders is extremely higher in the last interval of trading day. I conjecture it may be due to the difference in owning private information between stocks markets and stock index markets.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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