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研究生:劉惠娟
研究生(外文):LIU, HUI-JUAN
論文名稱:台灣50指數股票型基金上市對指數成分股票流動性之影響
論文名稱(外文):Taiwan Top 50 Tracker Fund and the Liquidity of Its Underlying Stocks
指導教授:林信助林信助引用關係
指導教授(外文):lLIN, SHINN-JUH
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2005
畢業學年度:94
語文別:英文
論文頁數:44
外文關鍵詞:basket securitiesETFsliquidity effectsTaiwan Top 50 Tracker Fund
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In this paper, we test the hypothesis that the introduction of Taiwan Top 50 Tracker Fund (TTT) would impact the market liquidity of its underlying stocks. We address this issue by adopting several volume-based and price-based liquidity measures to present the multi-dimension of liquidity. Our empirical results show that after the introduction of TTT, the standardized trading volume decreases and the market becomes more volatile for the underlying stocks. Both the quoted spread and the effective spread widen in the post-introduction period. These findings suggest deterioration of market liquidity for the underlying stocks. We then further follow Lin et al. (1995) to decompose the effective spread to examine the changes in spread components. We find a significant increase in the adverse selection component in contrast to a slight decline in the order processing cost. Overall, we find evidence that the liquidity of the underlying stocks tends to deteriorate after the introduction of TTT primarily because there is an increase in the cost of informed trading. Our finding is consist with the prediction of Subrahmanyam (1991) where the migration of liquidity traders to the basket securities raises the portion of informed traders in the market of underlying stocks and tends to increase the adverse selection risk and reduce the market liquidity of the underlying stocks.
1 Introduction
2 ETF, TTT and TSEC Taiwan 50 Index constituents
3 Data, Liquidity Measures and Methodology
3.1 Sample Selection and Data Description
3.2 Definitions of Liquidity Measures
3.3 Methodology
3.3.1 Bid-Ask Spread Decomposition Model
3.3.2 Mean Test and Median Test
4 Empirical Results
4.1 Changes in Liquidity Measures for the Underlying Stocks
4.2 Changes in Spread Components for the Underlying Stocks
5 Conclusions
Appendix
References
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