淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-1606200912385600
中文論文名稱 台灣股票市場委託單不均衡與流動性共變關係之分析
英文論文名稱 The Relationship between Order Imbalance and Liquidity Commonality in Taiwan Stock Market.
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 97
學期 2
出版年 98
研究生中文姓名 陳永盛
研究生英文姓名 Yung-Sheng Chen
學號 696530897
學位類別 碩士
語文別 中文
口試日期 2009-05-29
論文頁數 63頁
口試委員 指導教授-謝文良
共同指導教授-林允永
委員-李進生
委員-陳達新
委員-邱忠榮
中文關鍵字 流動性  流動性共變  委託單不均衡  委託單不均衡共變 
英文關鍵字 Liquidity  Commonality in Liquidity  Order Imbalance  Order Imbalance Commonality 
學科別分類 學科別社會科學商學
中文摘要 自從Chordia, et al. (2000)提出存在流動性共同因素而造成市場流動性共同變異的觀念之後,已有不少文獻針對不同國家或不同的市場機制,研究是否與NYSE同樣存在流動性共變現象。本研究利用2007年台灣上市股票的日內交易資料,同樣以市場模型實證流動性共變現象。由於台灣的市場機制是委託單驅動市場 (order-driven market),市場的流動是藉由提交委託單撮合價格完成交易,本研究藉由探討委託單不均衡與流動性之間的關係結果,來解釋委託單不均衡如何影響流動性而造成市場共同變異,並同時實證台灣股票市場的委託單不均衡共變現象。
實證結果發現台灣股票市場確實存在流動性共變現象。委託單不均衡與流動性變數的迴歸分析結果與Shen and Starr (2002)一致,價差與委託單不均衡呈現正向關係,而深度與委託單不均衡大致呈負向關係。由於市場出現委託單不均衡時,超額流量的一方皆會藉由擴大價差、降低深度來因應自己部位,在群聚效果下造成流動性共變。台灣股票市場亦存在委託單不均衡共變,而且台灣股票市場受委託單不均衡共變的影響較流動性共變來的敏感。小規模公司及台灣產業的股票投資組合,委託單不均衡共變程度較為嚴重。
英文摘要 After Chordia, et al. (2000) brought up the idea that commonality in liquidity was caused by existing liquidity common factors, several studies have been devoted to investigate if commonality in liquidity in NYSE also exists across different countries and different market mechanism. This study examines commonality in liquidity in Taiwan stock market by market model, using intraday data of the trading stock of listed company in 2007. Taiwan stock market is an order-driven market, which by submitting and matching orders to supply the liquidity. We investigate the relationship between order imbalance and the liquidity, based on the outcome to explain how order imbalance affects the market liquidity and results in commonality, and also providing empirical evidence for the existence of order imbalance commonality in Taiwan stock market.
  Our empirical results show that liquidity in commonality does exist in Taiwan stock market. The regression results are consistent with Shen and Starr (2002) that order imbalance has positive impact on spread and negative impact on depth. When order imbalance is in the market, the excessive will protect their position by increasing the spread and reduce the depth, resulting in commonality in liquidity under the clustering effect. Order imbalance commonality also exists in Taiwan stock market, and the market is more sensitive to order imbalance commonality than commonality in liquidity. The co-movement in order imbalance is much stronger in small firm and industry-specific portfolio.
論文目次 目錄
中文摘要 I
英文摘要 II
目錄 III
表目錄 V
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 5
第二章 基礎理論與文獻探討 6
第一節 流動性的衡量與觀念 6
第二節 流動性共變相關研究 9
第三節 委託單不均衡和流動性之關聯 12
第四節 委託單不均衡共變相關研究 15
第三章 研究方法 17
第一節 流動性衡量變數設定 17
第二節 委託買賣交易方向判斷法則 20
第三節 委託單不均衡衡量變數設定 21
第四節 模型設立 23
第五節 委託單不均衡共變的規模效果和產業效果實證 26
第四章 資料來源與處理 27
第一節 台灣股票市場日內資料分析 27
第二節 流動性和委託單不均衡變數分析 33
第五章 實證結果與分析 38
第一節 流動性共變現象 38
第二節 委託單不均衡與流動性共變關係之探討 41
第三節 實證委託單不均衡共變現象 47
第四節 實證委託單不均衡共變現象的規模和產業效果 51
第六章 結論與建議 58
第一節 研究結論 58
第二節 研究建議 60
參考文獻 61

表目錄
表4-1 上市公司資料敘述統計 29
表4-2 公司規模敘述統計 31
表4-3 公司產業敘述統計 32
表4-4 變數定義一欄表 36
表4-5 衡量變數敘述統計 37
表5-1 流動性共變之迴歸係數 40
表5-2 流動性衡量變數 (價差)與委託單不均衡之迴歸係數 43
表5-3 流動性衡量變數 (深度)與委託單不均衡之迴歸係數 44
表5-4 委託單不均衡共變 (只考慮當期) 48
表5-5 委託單不均衡共變 (考慮當期、領先和落後期) 50
表5-6 委託單不均衡共變規模效果 (只考慮當期) 53
表5-7 委託單不均衡共變規模效果 (考慮當期、領先和落後期) 54
表5-8 委託單不均衡共變產業效果 (只考慮當期) 56
表5-9 委託單不均衡共變產業效果 (考慮當期、領先和落後期) 57
參考文獻 中文部份
1.黃玉娟、林明白,「買賣單不平衡、價差和報酬之探討:以台指期貨在台灣期貨交易所及新加坡交易所為例」,財務金融學刊,第十一卷第二期,71-98 頁,民國九十二年。

英文部份
1.Ahn, H. and Cheung Y. (1999). The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong. Pacific-Basin Finance Journal 7, 539-556.
2.Ahn, H., Bae, K., and Chan, K. (2001). Limit orders,depth, and volatility:Evidence from the stock exchange of hong kong. The Journal of Finance, 56 (2),
767-778.
3.Amihud, Y., and Mendelson, H. (1989). The effect of computer base trading on volatility and liquidity. In: H.C. Lucas & R.A. Schwartz (Eds.), The challenge of
information technology for the securities markets, liquidity, volatility, and global trading (pp. 59-85). Homewood, IL: Dow Jones and Company, Inc.
4.Bailey, W., Cai, J., Cheung, Y. L., and Wang, F. (2009). Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in china. Journal of Banking and Finance, 33(1), 9.
5.Brockman, P., and Chung, D. Y. (1999). Bid-ask spread components in an order driven environment. The Journal of Financial Research, 22 (2):227-246.
6.Brockman, P., and Chung, D.Y. (2002). Commonality in liquidity: Evidence from an order-driven market structure, The Journal of Financial Research 25,521-539.
7.Brockman, P., and Chung, D. Y. (2008). Commonality under market stress:Evidence from an order-driven market.International Review of Economics and Finance, 17 (2), 179.
8.Chordia, T., Roll, R., and Subrahmanyam, A. (2000). Commonality in liquidity,Journal of Financial Economics 56, 3-28.
9.Chordia, T., Roll, R. and Subrahmanyam, A. (2002). Order imbalance, liquidity and market returns, Journal of Financial Economics 65, 111-130.
10.Corwin, S. A., and Lipson, M. L. (2008). Order Characteristics and the Sources of Commonality in Prices and Liquidity, Working paper.
11.Coughenour, J. F., and Saad, M. M. (2004). Common market makers and commonality in liquidity. Journal of Financial Economics, 73 (1), 37.
12.Demsetz, H. (1968). The Cost of Transacting, Quarterly Journal of Economics,LXXXII, 156-168.
13.Dubofsky, D. A., and Groth, J. C. (1984). Exchange listing and stock liquidity, Journal of Financial Research, Vol. VII, No. 4, 291-302.
14.Fabre, J. and Frino, A. (2004). Commonality in Liquidity: Evidence from the Australian Stock Exchange, Accounting and Finance, 44, 357-368.
15.Foucault, T. (1999). Order Flow Composition and Trading Cost in a Dynamic Limit Order Market, Journal of Financial Markets, 2, 99-134.
16.Handa, P., Schwartz, R. A., and Tiwari, A. (1998). The ecology of an order-driven market. Journal of Portfolio Management, 24(2), 47.
17.Handa, P., Schwartz, R. A., and Tiwari, A. (2003). Quote setting and price formation in an order driven market, Journal of Financial Markets, 6, 461-489.
18.Hasbrouck, J. (1991). Measuring the Information Content of Stock Trades, The Journal of Finance, 41, 179-207.
19.Hasbrouck, J. and Seppi, D. (2001). Common factors in prices, order flows, and liquidity, Journal of Financial Economics 59, 383-411.
20.Kyle, A. S. (1985). Continuous Auctions and Insider Trading, Econometrica,Vol.53, No. 6, 1315-1335
21.Lee, C. M. C., Mucklow, B., and Ready, M. J. (1993). Spreads, depths, and the impact of earnings information: An intraday analysis. The Review of Financial
Studies (1986-1998), 6 (2), 345-374.
22.Lee, J., Lin, S., Leec, W., and Tsao, C. (2006). Common factors in liquidity: Evidence from taiwan's OTC stock market. International Review of Financial Analysis, 15 (4/5), 306.
23.Omura, K., Tanigawa, Y., and Uno, J. (2000). Execution Probability of Limit Orders on the Tokyo Stock Exchange. Working paper. Waseda University.
24.Pukthuanthong-Le, K., and Visaltanachoti, N. (2008). Commonality in liquidity: Evidence from the Stock Exchange of Thailand. Pacific-Basin Finance Journal.
25.Shen, P., and Starr, R. M. (2002). Market makers supply and pricing of financial market liquidity. Economics Letters, 76:53-58.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2010-06-18公開。
  • 同意授權瀏覽/列印電子全文服務,於2010-06-18起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信