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研究生:張堤揚
研究生(外文):Ti-Yang Chang
論文名稱:集中競價市場中限價簿之資訊量
論文名稱(外文):The Informativeness of the Limit Order Book in a Periodic Call Market
指導教授:王子真王子真引用關係
指導教授(外文):Chi-Jeng Wang
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
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:2009
畢業學年度:97
語文別:英文
論文頁數:50
中文關鍵詞:交易者剩餘成交量成交後價差
外文關鍵詞:Asymmetric informationTrader surplusTrading volumeBid-ask spread
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以台灣證券交易所之日內交易資料,我們探討於集中競價市場中限價簿之資訊力。我們發現撮合前之委託單相關資訊變數,如市價單、委託單半徑,對撮合後之成交相關變數,如成交量、成交後價差、交易者剩餘,具有顯著之影響。再者,我們出示證據:市價單、委託單半徑,其實其各自含有二個完全相左之影響能量,左右了成交相關變數。
Using the intraday data on the Taiwan Stock Exchange (TWSE), we address the issue of the informativeness of the limit order book in the periodic call market. We find that the pre-call information variables, i.e., the market order and the radius of the order book, have significant impacts on the trade variables, i.e., trading volume, the post-call bid-ask spread, and the trader surplus. Furthermore, we are able to show that the radius, as well as the market order, contains two differential forces in impacting these trade variables.
Abstract………………………………………………………………………………..1
Contents………………………………………………………………………………..2
Figure of Contents……………………………………………………………………..3
Table of Contents………………………………………………………………………4
1. Introduction…………………………………………………………………………5
2. Data and Methodology
2.1 Data………………………………………………………………………10
2.2 The rationale behind the post-call bid-ask spread………………………..11
2.3 The intuition and measure of the radius of the order book………………12
3. Empirical Results
3.1 The slopes and the radius of the limit order book………………………..16
3.2 Trader Surplus and Information Asymmetry……………………………..25
4. Conclusion……………………………………………………………………….32
Appendix A…………………………………………………………………………..34
Appendix B…………………………………………………………………………..36
Reference……………………………………………………………………………..39
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