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系統識別號 U0002-0408201004450000
中文論文名稱 市場透明度與價格發現之研究
英文論文名稱 Essays on Market Transparency and Price Discovery
校院名稱 淡江大學
系所名稱(中) 財務金融學系博士班
系所名稱(英) Department of Banking and Finance
學年度 98
學期 2
出版年 99
研究生中文姓名 邱奇珍
研究生英文姓名 Chi-Chen Chiu
學號 894490076
學位類別 博士
語文別 英文
口試日期 2010-07-02
論文頁數 75頁
口試委員 指導教授-聶建中
指導教授-蔡蒔銓
委員-林建甫
委員-唐代彪
委員-聶建中
委員-盧陽正
委員-陳達新
委員-何宗武
委員-姚蕙芸
委員-李沃牆
中文關鍵字 流動性  訊息不對稱  價格效率  開盤前時段 
英文關鍵字 Liquidity  Asymmetric Information  Price Efficiency  Preopening 
學科別分類 學科別社會科學商學
中文摘要 香港證券交易所於2002年3月25日,制定開盤前時段的新交易安排,目的是為了提高市場運作效率。本文之目的,為檢驗開盤前委託簿資訊透明度增加後,對於市場流動性及價格效率的影響。
市場流動性方面,是以價差和市場深度來衡量。實證結果首先指出日內價差型態為J型,深度則為反J型;其次,在市場透明度提高後,整體價差顯著地變寬,同時也發現價差會隨著交易活動程度的增加而變窄;進一步從價差分解的結果得知,交易活動程度高的組合樣本,其不對稱訊息成本佔隱含價差的比例顯著減少,表示在揭露開盤前時段委託簿的資訊後,活動程度高的投資者更願意下單,而交易活動程度低的交易者,因為透明度增加後,更不容易成交,使得流動性成本顯著增加,進而加大了價差寬度。
價格發現方面,是以買賣價中點報酬所反映的資訊量來衡量,實證結果指出,報酬中所包含的資訊會隨著交易過程的進行而逐漸增加,雜訊則會逐漸減少,所以在價格發現的過程中,均衡價格具有學習效果,價格效率在新的交易機制下可以充份發揮。
英文摘要 On March 25, 2002, Stock Exchange of Hong Kong introduces a new arrangement of extending trading session before open. The purpose of this study is to examine the impact of increasing transparency on bid-ask spreads, market depth, and price efficiency. The empirical results suggest that the intraday variations in spread display similarly J-shaped patterns, but the market depth shows a reverse J-shaped pattern. We also find that dollar and percentage quoted spread significant decrease as the trading activity increases. With the finding that wider spread after the new introduction, we suggest the asymmetric information component of spread may increase significantly following the open limit book of preopening trading session. The measurement of the amount of price discovery during preopening increases as the trading activity increases. Final, we also show in the context of price discovery process that the continuously increasing of the estimated slope of unbiasedness regression consists with more information incorporated into the price through the trading process.
論文目次 Abstract in Chinese: i
Abstract in English: ii
List of Tables iv
List of Figures v
Chapter 1 Introduction 1
Chapter 2 Market Structure 8
2.1. Trading mechanism 8
2.2. Data 10
2.3. Descriptive statistics 12
Chapter 3 Liquidity and Transparency 19
3.1 Introduction 19
3.2 Liquidity measurements 24
3.3 Hypotheses framework 30
3.4 Components of spread 44
Chapter 4 Price Discovery During the Preopening Period 51
4.1 Introduction 51
4.2 Descriptive statistics 54
4.3 Price discovery 57
Chapter 5 Conclusions 66
Reference 69

List of Tables

Table 2.1 Descriptive statistics 14
Table 3.1 Descriptive statistics 28
Table 3.2 Regression models for the relationship between depth and spread 36
Table 3.3 Changes in spread surrounding the event date 39
Table 3.4 Regression models for spreads 42
Table 3.5 Transition cost component of spread 50
Table 4.1: Weighted price contribution from open to close 61

List of Figures

Figure 1.1 Layout of the thesis 7
Figure 2.1 Distribution of volume and return volatility 16
Figure 2.2 Distribution of number of trades 17
Figure 2.3 Distribution of trading volume 18
Figure 3.1 Time of day for the spread and depth 31
Figure 3.2 Time of day for the percentage of spread and depth 32
Figure 3.3 Time of day for the standardized variation 33
Figure 4.1 Time of day for the volume and volatility 55
Figure 4.2 Time of day for the percentage volume and trades 56
Figure 4.3 Time of day for the spreads 57
Figure 4.4 Time of day for the weighted price contribution 59
Figure 4.5 Distribution of WPC 62
Figure 4.6 Unbiasedness regressions 64
Figure 4.7 RMSE of the unbiasedness regression 65



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