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研究生:徐嘉君
研究生(外文):Hsu,Chia-Chun
論文名稱:升降單位改變對買賣價差及市場深度之影響-以台灣股票市場為例
論文名稱(外文):The Impact of Tick Size Change on Spread and Market Depth : the Case of Taiwan Stock Markets
指導教授:蕭榮烈蕭榮烈引用關係
指導教授(外文):HSIAO,JUNG-LIEH
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:合作經濟學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:70
中文關鍵詞:升降單位相對買賣價差市場深度雙變量GARCH模型
外文關鍵詞:tick sizerelative spreadmarket depthbivariate GARCH model
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國內證券交易所之集中市場因應證券業者與投資大眾需求及符合國際發展趨勢,遂於民國94年3月1日實施縮小股價升降單位制度。本論文利用政策實施前後一年之資料,將影響買賣價差和市場深度之重要流動性變數,包含報酬波動、股票價格、市場成交量納入雙變量GARCH計量模型,以檢測我國自升降單位縮小之後,買賣價差和市場深度之相關性是否存在結構性的變化。本研究結果顯示:
1. 流動性決定因素對相對買賣價差和市場深度有顯著影響。
2. 低價位股票方面(價格區間二、四),台灣證券交易所實行縮小升降單位措施之後,會正向顯著影響相對買賣價差和市場深度變動量之共變異數,使之產生結構性變化,但相對買賣價差和市場深度仍呈現負向關係。表示相對買賣價差下降則市場深度亦隨之上升,即流動性寬度減少且流動性深度加深,顯示在低價位股票,實施政策可以有效改善市場績效。
3. 在高價位股票方面(價格區間五),縮小升降單位措施之後,會正向顯著影響相對買賣價差變動量和市場深度之共變異數,使之產生結構性變化,但相對買賣價差和市場深度會由低度負相關轉而呈現低度正相關,表示相對買賣價差下降而市場深度亦隨之減少,即流動性寬度減少但深度卻也下降,顯示在高價位股票,升降單位變動並未能有效改善市場績效。
For the demand of the public investors and securities firms and following the trend of the world, Taiwan Stock Exchange has decided to reduce tick size from 1 March 2005. This study uses the sample data which spans one year before and after the policy took effect. We set up bivariate GARCH model, which includes liquidity determinants, such as return volatility, stock price and trading volume, to examine whether tick sizes change has a significant effect upon relationship between spread and market depth. The empirical results are summarizes as follows:
1. Market liquidity determinants have significant effects on spread and market depth.
2. For low-priced stocks (price range2&4), reduce in tick size decrease the cross-correlation between spread and market depth, and spread are negatively relative to market depth. The finding indicates that market width decrease and market depth also raise, meaning that the policy of tick size change may improve market performance for low-priced stocks.
3. For high-priced stocks (price range 5), reduce in tick size change the cross-correlation coefficient has switched from negative value to positive value, that indicating no improvement of market liquidity for high-priced stocks.
目錄 ………………………………………………………………………………… II
表目錄 ………………………………………………………………………………IV
圖目錄 ……………………………………………………………………………… V
第壹章 緒論 ……………………………………………………………………… 1
第一節 研究背景與動機 ………………………………………………………1
第二節 研究目的 ………………………………………………………………4
第三節 研究架構 ………………………………………………………………5
第貳章 文獻回顧 ………………………………………………………………… 7
第一節 升降單位與賣賣價差之相關文獻 ……………………………………7
第二節 升降單位與市場深度之相關文獻 ………………………………… 11
第三節 影響買賣價差和市場深度的決定因素之相關文獻 ……………… 15
第參章 交易制度與研究方法 ……………………………………………………17
第一節 交易制度 …………………………………………………………… 17
第二節 研究期間與資料來源 ……………………………………………… 18
第三節 單根檢定 …………………………………………………………… 19
第四節 自我迴歸條件異質變異數模型 …………………………………… 21
第五節 一般化自我迴歸條件異質變異模型 ……………………………… 23
第六節 實證模型之建構 …………………………………………………… 27
第肆章 實證結果分析 ……………………………………………………………30
第一節 資料描述 …………………………………………………………… 31
第二節 單根檢定與序列相關檢定 ………………………………………… 39
第三節 實證模型之建構與估計 …………………………………………… 43
第四節 本章小節 …………………………………………………………… 55
第伍章 結論與建議 ………………………………………………………………58
第一節 結論 ………………………………………………………………… 58
第二節 研究建議 …………………………………………………………… 60
第三節 研究限制 …………………………………………………………… 60
參考文獻 ……………………………………………………………………………61
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