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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31694

    Title: 市場透明度對流動性、波動性與交易成本的影響:限價委託簿實證
    Other Titles: Market transparency effect on liquidity, volatility and trading cost: empirical on limited order book
    Authors: 楊雅筑;Yang, Ya-chu
    Contributors: 淡江大學財務金融學系碩士班
    段昌文;Duan, Chang-wen
    Keywords: 限價委託簿;一般動差法;市場透明度;逆選擇成本;委託單擲交成本;adverse cost;GMM;limit order book;market transparency;order submission cost
    Date: 2008
    Issue Date: 2010-01-11 01:08:36 (UTC+8)
    Abstract: 台灣證券交易所為了提升市場資訊透明度,自2003年1月2日起將報價揭示從最佳一檔買賣報價改為揭露最佳五檔買賣報價。本文主要應用Sandas (2001) 的限價委託簿結構模型,以GMM方法對台灣證交所委託簿資料進行實證。研究樣本則分為揭露五檔的初期與四年後的近期兩區段。為了觀察市場透明度增加後市場流動性、波動性與交易成本間的關係,本文採用Panel Data模型來進行分析。
    在以Panel Data模型進行實證結果顯示,透明度提升後委託單擲交成本是降低的,而個股流動性對委託單擲交成本的影響則為負;市場波動性對委託單擲交成本的影響則為正;個股波動性對逆選擇成本的影響則為負。
    In order to elevate market transparency of the information, Taiwan Stock Exchange Corporation (TSEC) started to disclose the best five bids and asks quotations in January 2, 2003. We apply the structural model of Sandas (2001) and use the data of limit order book from TSEC. The empirical mothodology is based on GMM method and the research sample is divided into two different periods. Finally, we also use Panel Data model to observe the relationship between estimated parameter, volatility and liquidity.
    The empirical results represent that market order flow characterizing the distribution of market buy/sell order quantities. The estimated order processing cost is negative, but this could reflect rational behavior of orders by traders. We also find that the price impact of market orders is positive, presents adverse selection cost is positive.
    Furthermore, we show that the improvement of market transparency not only decreases the order submission and adverse selection costs but also reduces the level of information asymmetry. When traders submitted the order of Taiwan top 50 constituent stocks, the monitor cost of limit order book is higher.
    Finally, the results of empirical study on Panel Data model, we find that the individual stock liquidity impact on order submission cost is negative. Then, the market volatility impact on order submission cost is positive. However, the stock volatility impact on adverse selection cost is negative.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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