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系統識別號 U0002-0507200816131000
中文論文名稱 從市場微結構觀點探討亞洲國家股票市場發展─以中國、印度、韓國、日本、新加坡和泰國為例
英文論文名稱 The Review of Development in Asian Equity Markets from a Microstructure Approach: China, India, Japan, Korea, Singapore and Thailand
校院名稱 淡江大學
系所名稱(中) 國際貿易學系國際企業學碩士班
系所名稱(英) Department of International Trade
學年度 96
學期 2
出版年 97
研究生中文姓名 李俊達
研究生英文姓名 Chun-Ta Lee
學號 695551076
學位類別 碩士
語文別 中文
口試日期 2008-06-25
論文頁數 57頁
口試委員 指導教授-謝志柔
共同指導教授-劉一成
委員-黃哲盛
委員-羅白櫻
中文關鍵字 市場微結構  亞洲  交易機制  股票市場 
英文關鍵字 Market Microstructure  Asia  Trading Mechanisms  Equity Markets 
學科別分類 學科別社會科學商學
中文摘要   近十年來,亞洲股票市場出現持續成長,特別是中國大陸與印度在經濟上的崛起,更是加速近年亞洲股市成長的主要推手。因此本研究以市場微結構探討亞洲六國的股票市場發展,觀察在股市成長的背後是否有完善的市場機制,諸如自動交易系統、結算交割系統等,以及是否擁有妥善的政策工具以防止股市價格出現劇烈波動。

  本論文共分六章,第一章敘述研究動機與目的;第二章為文獻探討;第三章為亞洲六國股票市場概況;第四章為市場機制;第五章為市場波動性控制;第六章結論。

  研究結果顯示,中國出現許多泡沫化的典型警訊,印度的低成交額代表其交易不具效率,交易成本亦最高。亞洲六國證券交易所皆引進最新的風險管理概念與交易技術以改善其營運。韓國與新加坡在各方面都已相當成熟穩定,泰國尚有較大的成長空間。中國與印度在證券借貸與交割保證基金方面仍不及日本來的完善,應更進一步追求並強化本身市場結構的完備,才能在股價出現劇烈波動時能有效處理各式交易與結算風險,以確保股票市場交易的流暢進行。
英文摘要  In recent decade, there are significant growths on Asian equity markets, especially the economic emergence in China and India accelerates this trend. Therefore, this thesis uses market microstructure to review the development in six Asian equity markets, to observe that if they have sound trading mechanisms, such as automated trading systems and clearing and settlement systems, and proper policy tools to avoid stock price volatility behind the fast growths in equity markets.

 This thesis is divided into six chapters. Chapter one is the Research Motivation and Objective. Chapter two is the Literature Review. Chapter three is the Profiles of six Asian Equity Markets. Chapter four is the Market Mechanisms of six Asian Countries. Chapter five is the Controls on Market Volatility. Chapter six is the Conclusions.

 The research results indicated that China’s market is displaying many of the classic warning signs of a bubble, India’s low turnover implies that inefficiencies remain due to the high proportion of untraded companies, and it also has the highest transaction cost within six countries. All six Asian stock exchanges have adopted the latest risk management concepts and trading technique to improve their operations. Equity markets in Singapore and Korea are mature and stable in any dimension, and Thailand has sufficient room to grow. China and India are inferior to Japan in both Securities Borrowing and Lending and Settlement Guarantee Funds. They should strengthen the soundness of market structures, so that they can deal with any different trading and settlement risks efficiently when volatility happens, and to ensure that trading can be done smoothly.
論文目次 目錄...............................................................................................................................i
表目錄...........................................................................................................................ii
圖目錄...........................................................................................................................iii

第一章 緒論...................................................................................................................1
 第一節 研究動機與目的................................................................................................1
 第二節 研究方法與流程................................................................................................2
 第三節 亞洲六國股票市場現況......................................................................................3
第二章 文獻探討...........................................................................................................13
 第一節 市場微結構的定義...........................................................................................13
 第二節 市場微結構的文獻回顧.....................................................................................13
第三章 亞洲六國股票市場概況........................................................................................16
 第一節 市場規模........................................................................................................16
 第二節 市場集中度與成交額........................................................................................22
 第三節 本益比與毛股利收益率.....................................................................................23
 第四節 交易時間與交易日...........................................................................................25
 第五節 手續費及其他交易成本.....................................................................................27
第四章 市場機制............................................................................................................29
 第一節 自動交易系統..................................................................................................29
 第二節 交易方式........................................................................................................32
 第三節 結算與交割系統...............................................................................................34
 第四節 市場機制小結..................................................................................................40
第五章 市場波動性控制..................................................................................................41
 第一節 每日股價限制..................................................................................................41
 第二節 信用交易規範..................................................................................................43
 第三節 市場波動性控制小結........................................................................................47
第六章 結論..................................................................................................................49
 第一節 結論與分析.....................................................................................................49
 第二節 後續研究建議..................................................................................................51
參考文獻......................................................................................................................52

表目錄
表一 2007年全球前十大股票市場......................................................................................4
表二 上海證券交易所與深圳證券交易所規模比較(至2007年底)........................................5
表三 孟買證券交易所與印度國家證券交易所規模比較(至2007年底)..................................8
表四 東京證券交易所規模比較(至2007年底).................................................................11
表五 各國股票交易市場整理...........................................................................................12
表六 市場規模(至2007年底)........................................................................................16
表七 市場集中度、成交額、成交額與市值比(至2007年底).............................................22
表八 本益比與毛股利收益率(至2007年底)....................................................................23
表九 各階段本益比所代表之意義.....................................................................................24
表十 交易時間與交易日(至2008年3月).........................................................................26
表十一 手續費及其他交易成本(至2008年4月)...............................................................28
表十二 自動交易系統(至2008年3月)............................................................................29
表十三 全球主要證券交易所的交易方式...........................................................................34
表十四 結算與交割系統..................................................................................................35
表十五 每日股價限制(至2008年3月)............................................................................42
表十六 亞洲六國信用交易規範彙總..................................................................................48

圖目錄
圖一 亞洲地區股票市場總國內市值及其佔全球比重(1998-2007).......................................2
圖二 WFE亞洲地區會員國2007年國內市值成長率..............................................................4
圖三 中國與印度國內市值(2002-2007).........................................................................17
圖四 孟買證券交易所上市家數(2001-2007)..................................................................18
圖五 孟買證券交易所2004年各月上市家數.......................................................................19
圖六 東京證券交易所國外上市公司數(1973-2007).........................................................21
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