臺灣博碩士論文加值系統

本文以台灣股票市場為主要研究對象，研究期間取自2005年03月01日至2006年12月31日止，利用Rakowski and Beardsley (2008)所研究出測量流動性的方式，可以將流動性拆解成資訊與非資訊兩個部分，探討累積深度對其的影響，並進一步的分析這個方式的結果，不同投資人間是否存在著差異性。藉著限價委託簿，以GMM估計法，估算出兩個流動性的組成要素，再分別對其進行分析並探討族群間存在的差異。再以成本的角度分析結果，不論哪個身分，當累積深度增加時，兩種成本都會下降。投信基金受因買賣雙方對標的資產認知不同所產生的資訊不對稱的成本相較於其他族群相對較高，而散戶則會受到累積深度的影響，累積深度越深，資訊部分的成本下降速率都相較於其他族群快，顯示散戶會隨著累積深度改變，散戶的買賣方的認知會趨於一致。至於非資訊成本的部分，散戶也有類似的現象。投資人會為了避免因成交在累積深度較深的委託簿而承擔價格上的損失，同時又承受時間價值的風險，因此降低委託處理的成本，下降速度也是散戶為最，顯示散戶相較其他族群對這種現象更為敏感，更不願意承擔這方面的成本。由此分析可知不同族群間所估算出來的兩個部分的成本確實具有顯著差異。進而明白累積深度是如何影響流動性，係影響這兩塊成本所造成。

This study based on rearranging intraday order book and transaction data from Taiwan Stock Exchange(TSE) from 2005/3/1 to 2006/12/31.By the method Rakowski and Beardsley (2008) developed, we could divided market liquidity into two parts: information component and non-information component. Our target is to figure out how cumulative depth affect these two parts and find out the difference between different kinds of investors.
By using our rearranging and grouping limit order book data, we can estimate these two parts by GMM methods. To the cost points of view, no matter whose group you are, these two costs decrease when cumulative depth increases. In information asymmetry parts between buyers and sellers, Investment Trust Fund needs more costs than other groups. But the individuals’ rate of decreasing is the most rapid. The result reports the information from individuals’ buyers and sellers will be getting the same faster than others while cumulative depth increases. In the other parts, there is a similar situation. To avoiding the losses of price and time when cumulative depth increases, investors will decrease the order processing costs and individuals’ decreasing rate is the most rapid too. The results reports individuals are more sensitive to this phenomenon.
Following our study, we would know the difference between different kinds of investors and realize how cumulative depth affect these two parts and affect the market liquidity indirectly.

目錄
中文摘要 I
英文摘要 II
表目錄 IV
圖目錄 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 5
第四節 研究流程 6
第二章 文獻回顧 7
第一節 限價委託簿與流動性 7
第二節 限價委託簿市場中的資訊交易者以及價差分解模型 9
第三節 投資人分群 12
第三章 資料處理與研究方法 15
第一節 資料處理 15
第二節 研究方法 32
第四章 實證分析 36
第一節 實際分群資料的基本統計量 36
第二節 參數的估計與檢定 44
第五章 結論 58
附錄:論文模型的推導 62
參考文獻 67


表目錄
【表 3-1】委託檔資料格式 ........................................ 16
【表 3-2】成交檔資料格式 ........................................ 17
【表 3-3】揭示檔資料格式 ........................................ 19
【表 3-4】股價升價單位 .......................................... 23
【表 3-5】重建之限價委託簿 ...................................... 25
【表 4-1】不同投資人依市場累積深度累積至委託簿各檔次橫斷面資料 .... 37
【表 4-2.1】不同投資人之限價委託簿各檔次的價格高度 ................ 38
【表 4-2.2】不同投資人之限價委託簿各檔次的價格高度 ................ 39
【表 4-3】沿著限價委託簿的流動性 ................................ 43
【表 4-4】各股票之累積深度 ...................................... 45
【表 4-5】不同投資人限價委託簿中各股票各時點累積檔次 .............. 46
【表 4-6】不同投資人限價委託簿中各群各股票各時點買賣方判定 ....... 47
【表 4-7】不同投資人限價委託簿中各群各股票各時點之流動性 .......... 48
【表 4-8】不同投資人限價委託簿中各群各股票各時點之加權價格 ....... 48
【表 4-9】加權價格差值 .......................................... 49
【表 4-10】工具變數一覽 ......................................... 51
【表 4-11】GMM估算出來的主要變數-委託處理成本( )、資訊成本( . 52
【表 4-12】單位總成本所含各參數之比例 ............................ 54



圖目錄
【圖 4-1】外資的限價委託簿 ....................................... 40
【圖 4-2】散戶的限價委託簿 ...................................... 41
【圖 4-3】投信基金的限價委託簿 .................................. 41
【圖 4-4】自營商的限價委託簿 .................................... 42
【圖 4-5】單位總成本所含委託處理成本之比例與深度趨勢圖 ........... 55
【圖 4-6】單位總成本所含資訊成本之比例與深度趨勢圖 ............... 55

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