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    Title: 鉅額交易對限價委託簿流動性之影響
    Other Titles: The impact of block trades on the liquidity of limit order book
    Authors: 李紹如;Lee, Shau-Ju
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William T.
    Keywords: 鉅額交易;限價委託簿;交易量;流動性;block trades;limit order book;Liquidity
    Date: 2012
    Issue Date: 2013-04-13 10:49:17 (UTC+8)
    Abstract: 本研究利用高頻率的日內資料,研究台灣股票市場盤中時之鉅額交易對於集中市場交易量及流動性所造成的影響,本研究所使用的流動性變數為Kang and Yeo (2008)所提出之價格寬度與數量深度流動性,另外還會將委託簿流動性變數分為外資、散戶、自營商及其他國內法人等四類投資人、依鉅額交易股票規模大小以及買賣方驅動來做分類,研究鉅額交易對於不同投資人類別的流動性、不同市值規模以及買賣方驅動所造成的影響。
    結果發現,鉅額交易發生後第13分鐘結束,對於集中市場產生的影響15分鐘以內反應完畢。鉅額交易之發生,會短暫的降低集中市場流動性,不論是對於委託簿之價格寬度或數量之深度皆有影響,尤其對市場深度流動性影響較大。另外發現,將所有樣本依照市值大小分為五群,發現市值最小之股票鉅額交易是能增進在集中市場之流動性,鉅額交易與集中市場有互補作用。此外,不同的投資人對於鉅額交易資訊所產生的影響是有所差異的,尤其是對於散戶而言,不論是在寬度或深度方面,鉅額交易對於集中市場散戶之流動性皆有顯著的負面影響,但其他法人之流動性則為正向影響,由此可知鉅額交易發生是會降低散戶集中市場的流動性,但對於法人之流動性則是增加的,因此可知投資人對於鉅額交易的掌握及解讀是不同的。
    另外依照過去文獻將鉅額交易樣本分為買賣方驅動交易,結果發現只有賣方驅動鉅額交易對於集中市場流動性有較顯著的負面影響,賣方驅動鉅額交易發生是會降低限價委託簿流動性的,賣方驅動鉅額交易之發生皆會降低兩種衡量方式之流動性,受到賣方驅動結果的影響,集中市場之供需結構產生的變化較大,影響程度較買方驅動大。有此可知,市場上的投資人對於買賣驅動鉅額交易的反應是有所差別的,買方驅動鉅額對於集中市場流動性有正向的影響,而賣方驅動交易則對市場上流動性會產生負面的效果,買賣方驅動鉅額交易不僅是在價格反應有不對稱的效果,對於集中市場之寬度與深度皆有買賣不對稱的效果。
    This study is concerned with the impact of block trades on market volume and the liquidity of limit order book on the Taiwan stock exchange. The access to a unique database facilitates the resolution of a number of research design issues encountered earlier. Beside the whole market research, I also investigate the impact of block trades on the liquidity of different investors, in stocks with different size, and whether the trades are buyer or seller initiated. The results indicate that the impact of block trades completes within fifteen minutes period after the trades. However, the effect of block trades on liquidity is negative. I also find that the effects of block trades on different investors are different. The result of block trades of different firm size imply that the impact of block trades of the smallest size stock on liquidity is positive. Those block trades can help the liquidity of limit order book.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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