臺灣博碩士論文加值系統

現今關於證券市場微結構的研究相當廣泛且深入，而利用微結構理論來分析外匯市場的研究並不多見。本文即以台灣銀行間台幣對美元匯率市場為研究對象，討論買賣報價在市場上的調整過程。
本文利用Engle and Patton (2004)的修正誤差模型來討論買賣報價、價差與交易量的相互關係。而實證結果也發現(1)報價修正具有顯著的一階自我相關。(2)前期買價（賣價）修正對本期的賣價（買價）修正有顯著的正向影響。(3)價差對賣價修正為顯著的負向影響，對買價修正為顯著的正向影響，這也隱含市場存在長期的均衡價差，亦即價差會隨著不對稱資訊程度變少而縮小。(4)交易量與對賣價修正為顯著的正向影響，對買價修正為顯著的負向影響價差間呈現正向關係，可以據此推論交易量與價差間呈現正向關係。

Although a large number of studies on market microstructure have been made in securities market, little attention has been given to the foreign exchange market. The purpose of this paper is to explore a little further on market microstructure in TWD/USD market. We try to analyze the information impact on price movement by using the bid quote and the ask quote of TWD/USD exchange rate respectively through an error-correct model. The empirical evidences find that (1) quote revision is negatively auto-correlated and revision in one-period lagged quote makes both the bid quote and the ask quote move in the same direction. In addition, there exists a long-run equilibrium bid-ask spread, and empirical results indicate that bid-ask spread would tend to narrow because information discloses gradually in trade processes. Finally, trading volume and the dummy variable indicating block trade show a positive impact on bid-ask
spread.

CONTENT 1
FIGURE CONTENT 3
TABLE CONTENT 3
1. INTRODUCTION 4
1.1 BACKGROUND 4
1.2 THE RESEARCH OBJECTIVE 6
1.3 THE RESEARCH FRAMEWORK 7
2. LITERATURE REVIEW 8
2.1 FOREIGN EXCHANGE MARKET 8
2.1.1 The Major Foreign Exchange Markets 8
2.1.2 The Trading System 11
2.1.3 The Electronic Trading System 14
2.1.4 Foreign exchange market in Taiwan 15
2.2 INTRODUCTION TO MICROSTRUCTURE THEORY 17
2.3 THE BID-ASK SPREAD, TRADING VOLUME, AND PRICE MOVEMENT 19
2.3.1 The Bid-Ask Spread and Its Components 19
2.3.2 Trading Volume 21
2.3.3 Volume and Price Movement 23
2.3.4 Volume and Bid-Ask Spreads 23
2.3.5 The Bid-Ask Spread and Price Movement 24
2.4 QUOTE REVISION 25
3. METHODOLOGY AND DATA 27
3.1 DATA 27
3.2 METHODOLOGY 28
3.2.1 The Research Approach 28
3.2.2 Model Specification 29
4. EMPIRICAL RESULT 33
4.1 UNIT ROOT TEST 33
4.2 CO-INTEGRATION 34
4.3 ERROR CORRECT MODEL 36
4.3.1 Error Correct Model (no exogenous variable) 36
4.3.2 Error Correct Model (with exogenous trading volume) 37
4.3.3 Error Correct Model (with exogenous block trade) 39
5. CONCLUSIONS 42
APPENDIX： 44
REFERENCE 45

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