臺灣博碩士論文加值系統

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

Admati, A., Pfleiderer, P., 1988. A Theory of Intraday Patterns: Volume and Price Variability. Review of Financial Studies 1, 3-40.
Biais, B., Hillion, P., Spatt, C., 1995. An empirical analysis of the limit order book and the order flow in the Paris Bourse. Journal of Finance 50, 1655–1689.
Bloomfield, R., O’Hara, M., Saar, G., 2005. The make or take decision in an electronic market: evidence on the evolution of liquidity. Journal of Financial Economics 75, 165–199.
Blume, M.E., Goldstein, M.A., 1992. Displayed and Effective Spreads by Market, Rodney L. White Center for Financial Research Working Paper 27-92, The Wharton School.
Brock, W.A., Kleidon, A.W., 1992. Periodic Market Closure and Trading Volume. Journal of Economic Dynamics and Control 16. 451-489.
Chakravarty, S., Holden, C.W., 1995. An integrated model of market and limit orders. Journal of Financial Intermediation 4, 213–241.
Copeland, T.E., Galai, D., 1983. Information Effects on the Bid-Ask Spread. Journal of Finance 38, 1457-1469.
Das, S., Levine, C.B., Sivaramakrishnan, K., 1998. Earnings predictability and bias in analysts’ earnings forecasts. The Accounting Review 73, 277-294.
Easley, D., O’Hara, M., 1987. Price, trade size and information in securities markets. Journal of Financial Economics 19, 69-90.
Gleason, C. and C. Lee. 2003. Analyst forecast revisions and market price discovery. The Accounting Review 78: 193-225.
Glosten, L., Milgrom, P., 1985. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics 14, 71–100.
Glosten, L.R., 1987. Components of the bid-ask spread and the statistical properties of transaction prices. Journal of Finance 42, 1293-1307.
Glosten, L.R., 1994. Is the electronic open limit order book inevitable? Journal of Finance 49, 1127–1161.
Goettler, R.L., Parlour, C.A., Rajan, U., 2005. Equilibrium in a dynamic limit order market, Journal of Finance 60, 2149-2192.
Jiang, G., C. Lee, and G. Zhang. 2005. Information uncertainty and expected returns. Review of Accounting Studies 10 (June/September).
Kalay, A., Sade, O., Wohl, A., 2004. Measuring stock illiquidity: an investigation of the demand and supply schedules at the TASE. Journal of Financial Economics 74, 461–486.
Kaniel, R., Liu, H., 2002. So what orders do informed traders use? Unpublished working paper, University of Texas, Austin.
Kim, J.W., Lee, J., Morck, R., 2004. Heterogeneous investors and their changing demand and supply schedules for individual common stocks. NBER Working Paper Series No. 10410.
Kyle, Albert S., 1985. Continuous auctions and insider trading. Econometrica 53, 1315-1335.
Lee, C., 1993. Market integration and price execution for NYSE-listed securities. Journal of Finance 48, 1009-1038.
Mendelson, H., 1982. Market Behavior in a Clearing House. Econometrica 50, 1505-1524.
Mendelson, H., Tunca, T.I., 2004. Strategic Trading, Liquidity, and Information Acquisition. Review of Financial Studies 17, 295-337.
Naes, R., Skjeltorp, J.A., 2006. Order book characteristics and the volume–volatility relation: Empirical evidence from a limit order market. Journal of Financial Markets 9, 408-432.
Newey, W.K., West, D.W., 1987. A simple, Positive Semi-Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55, 703-708.
Parlour, C., 1998. Price dynamics in limit order markets. Review of Financial Studies 11, 789–816.
Park, S.C., 2008. Investors’ Overreaction to an Extreme Event： Evidence from the World Trade Center Terrorist Attack. Working paper. University of Pennsylvania, Applied Economics Department.
Petersen, M.A., Fialkowski, D., 1994. Posted versus effective spreads: Good prices or bad quotes? Journal of Financial Economics 35, 269-292.
Stickel, S. 1991. Common stock returns surrounding earnings forecast revisions: More puzzling evidence. The Accounting Review 66: 402-416.
Seppi, D.J., 1997. Liquidity Provision with Limit Orders and Strategic Specialist. The Review of Financial Studies 10, 103-150.
Zhang, X. F. 2005. Information uncertainty and stock returns. Forthcoming, Journal of Finance.
Zhang, F., 2006. Information Uncertainty and Analyst Forecast Behavior. Contemporary Accounting Research 23, 565-590.