(3.236.214.19) 您好!臺灣時間:2021/05/07 12:41
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

: 
twitterline
研究生:張竣豪
研究生(外文):Chang, Chun-Hao
論文名稱:委託簿揭示速度與市場透明度
論文名稱(外文):Refresh Speed of Limit Order Book and Market Transparency
指導教授:王明昌王明昌引用關係
指導教授(外文):Wang, Ming-Chang
口試委員:王明昌鄭揚耀劉亞秋
口試委員(外文):Wang, Ming-ChangCheng, Lee-YoungLiu, Ya-Chiu
口試日期:2011-05-24
學位類別:碩士
校院名稱:國立中正大學
系所名稱:企業管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:英文
論文頁數:57
中文關鍵詞:限價委託簿交易前透明度市場品質
外文關鍵詞:Limit order bookEx-ante transparencyMarket quality
相關次數:
  • 被引用被引用:1
  • 點閱點閱:344
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:10
  • 收藏至我的研究室書目清單書目收藏:1
本篇論文的研究目的在於檢驗提高的委託簿揭露速度對於市場品質的影響。基於台灣期貨交易所近三次的制度改變(降低委託簿最佳五檔委託價量的更新時距),此種特殊性給了作者一個機會去探討委託簿揭露速度如何影響交易前透明度,而受影響的交易前透明度又如何改變了市場品質。實證結果如下:報價價差的改變呈現U型的型態,而市場深度的改變則呈現了倒U型的型態。委託單到達的持續性與波動度上升,但資訊不對稱的程度下降。委託單的價格發現功能並未有顯著的改變。在現今市場參與者所面對的毫秒交易環境中,此篇論文亦可提供交易所施政者作為改善市場品質手段的參考。
This paper examines the impact of reducing refresh interval of limit order book on market quality. Based on the special nature of information dissemination speed changes due to gradually reducing refresh interval regulation in Taiwan Futures Exchange, this give us a good opportunity to study how speed of screen information disclosure affect market quality for exploring the importance of ex-ante transparency to the order-driven market. My findings suggest that shorter refresh interval for quoting prices and quantities in limit order book brings to loir spreads, depths, persistence of order arrival, and information asymmetry, whereas it also causes higher intraday volatility. Thereby, my investigation provides reference for regulators who attempt to increase ex-ante transparency by promoting capacity of information dissemination system in nowadays milliseconds trading environment.
Contents

中文謝辭 ii

中文摘要 iii

Abstract iv

Chapter 1 Introduction 1

Chapter 2 Literature and Hypotheses 7

Chapter 3 Market Structure and Data 10
3.1 Background to Refresh Interval of Limit Order Book and Structure of the TSE 10
3.2 Data 12

Chapter 4 Empirical Results 13
4.1 Spread Width 13
4.2 Market Depth 18
4.3 Volatility 20
4.4 Price Level 21
4.5 Efficient Price 22
4.6 Asymmetric Component of Spread 23
4.7 Probability of Informed Trading 25

Chapter 5 Conclusion 27

References 29

Figures and Tables

Figure 1 Trade Duration 33
Figure 2 Long-run Market Activity 34
Figure 3 Quoted Spread 35
Figure 4 Effective Spread 36
Figure 5 Depths of the Best Bid/Ask Quote 37

Table 1 Contract Specification of Taiwan Stock Exchange Capitalization Iighted Stock Index Future 38
Table 2 Summary Statistics of Taiwan Stock Exchange Capitalization Iighted Stock Index Future (TX) 39
Table 3 Dummy Variables and Time Window of Data 41
Table 4 Spread of the Best Bid/Ask Quote 42
Table 5 Depths of the Best Bid/Ask Quotes 44
Table 6 Change in Volatility and Price Level 46
Table 7 Market Efficiency Coefficient 47
Table 8 Asymmetric Information Component of Spread 48
Table 9 Probability of Informed Trading (PIN) 49
Table 10 Comparison betien my investigation and previous literatures about greater transparency 50

Aktas, N., Bodt, E., Declerck, F., Van Oppens, H., 2007. The PIN Anomaly around M&A Announcements. Jmynal of Financial Markets, 10, 169-191.
Anand, A., Tanggaard, C., Iaver, Daniel G,. 2009. Paying for Market Quality. Jmynal of Financial and Quantitative Analysis 44, 1427-57.
Anderson, H., Cooper S., Prevost , A., 2006. Block Trade Price Asymmetry and Changes in Depth: Evidence from the Australian Stock Exchange. The Financial Review, 41, 247-271.
Barclay, M., Hendershott, T., 2004. Liquidity Externalities, Adverse Selection: Evidence from Trading After hmys. Jmynal of Finance, 59, 681-710.
Board, J., Sutcliffe, C., 2000. The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange. Jmynal of Business Finance & Accounting, 27, 887-909.
Bessembinder, H., 2000. Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars. Jmynal of Financial Intermediation, 9, 213-239.
Boehmer, E., 2005. Dimensions of Execution Quality: Recent Evidence for US markets, Jmynal of Financial Economics, 78, 553-582.
Boehmer, E., Saar, G., Yu, L., 2005. Lifting the Veil: An Analysis of Pre-trade Transparency at the NYSE. The Jmynal of Finance, 60, 783-815.
Bortoli, L., Frino, A., Jarnecis, E., Johnstone, D., 2006. Limit Order Book Transparency, Execution Risk, and Market Liquidity: Evidence from the Sydney Futures Exchange. Jmynal of Futures Markets, 26, 1147-1167.
Demos, A.A, Goodhart, C.A.E., 1996. The Interaction Betien the Frequency of Market Quotations, Spread and Volatility in the Foreign Exchange Market. Applied Economics 28, 377-386.
Easley, D., Engle, D., O’Hara, M., Wu, L., 2001. Time-varying Arrival Rates of Informed and Uninformed Trades. Jmynal of Financial Econometrics, 6, 171-207.
Easley, D., Hendershott, T., Ramadorai, T., 2009. Levelling the Trading Field. Working paper.
Eom, K., S., Ok, J., Park, J., H., 2007. Pre-trade Transparency and Market Quality. Jmynal of Financial Markets, 10, 319-341.
Flood, M.D., Huisman R., Koedijk, K.G., Mahieu, R., Röell, A., 1997. Post-Trade Transparency in Multiple Dealer Financial Markets. LIFE, working paper.
Flood, M.D., Huisman R., Koedijk, K.G., Lyons, R.K., 1999. Quote Disclosure and Price Discovery in Multiple-dealer Financial Markets. Review of Financial Studies, 12, 37-59.
Garvey, R., Wu, F., 2009. Intraday Time and Order Execution Quality Dimension. Jmynal of Financial Markets 12, 203-228.
Garvey, R., Wu, F., 2010. Speed, Distance, and Electronic Trading: New Evidence on Why Location Matters. Jmynal of Financial Markets 13, 367-396.
Gemmill, G., 1996. Transparency and liquidity: A study of Block Trades on The London Stock Exchange under Different Publication Rules. The Jmynal of Finance,51, 1765-1790.
Hasbrouck, J., Saar, G., Low-Latency Trading, 2011. Working paper.
Hasbrouck, J., Schwartz, R.A., 1988. Liquidity and Execution Costs in Equity Markets. Jmynal of Portfolio Management, 14, 10-16.
Hendershott, T., Moulton, P.C., 2011, Automation, Speed, and Stock Market Quality: The NYSE's Hybrid. Jmynal of financial markets, doi:10.1016/j.finmar.2011.02.003
Kyle, A.S., 1985. Continuous Auctions and In- sider Trading, Econometrica 15, p.1315-1335.
Lee, C., Ready, M., 1991. Inferring Trade Direction from Intraday Data. Jmynal of Finance, 46, 733-746.
Ma, T., 2004. Transparency, Trading Strategies and Market Performance: Theoretical Model and High Frequency Data Analysis. NSC Project NSC92-2416-H-110-026.
Madhavan, A., 2000. Market Microstructure: A survey. Jmynal of Financial Markets, 3, 205-258.
Madhavan, A., Porter, D., Iaver, D., 2005. Should Securities Markets be Transparent? Jmynal of financial markets 8, 266-288.
Nguyen, V., Van Ness, B.F., Van Ness, R.A., 2007. Short- and Long-Term Effects of Multimarket Trading. Financial Review, 42, 349-372.
Porter, D., Iaver, D., 1998. Post-trade Transparency on Nasdaq’s National Market System. Jmynal of Financial Economics, 50, 231-252.
Riordan, R., Storkenmaier, A., 2011. Latency, Liquidity and Price Discovery, 21st Australasian Finance and Banking Conference 2008 Paper.
Scalia, A. and Vacca, V., 1999, Does Market Transparency Matter? A Case Study. Bank for International Settlements.
Visaltanachoti, N., Yang, t., 2010. Speed of Convergence to Market Efficiency for NYSE-Listed Foreign Stocks. Jmynal of Banking and Finance, 34, 594-60.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔