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 U0002-2006201216042100
中文論文名稱 大額委託對市場流動性的影響
英文論文名稱 How Do Large Orders Affect Market Liquidity
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 100
學期 2
出版年 101
研究生中文姓名 陳美文
研究生英文姓名 Mei-Wen Chen
學號 699530506
學位類別 碩士
語文別 中文
口試日期 2012-05-19
論文頁數 63頁
口試委員 指導教授-林蒼祥
共同指導教授-孫效孔
委員-林蒼祥
委員-孫效孔
委員-涂登才
委員-邱建良
委員-蔡蒔銓
中文關鍵字 大額委託  流動性 
英文關鍵字 Large orders  Liquidity 
學科別分類 學科別社會科學商學
中文摘要 本研究利用日內高頻資料,使用Kang and Yeo (2008)所提出限價委託單衡量寬度、深度的兩種流動性變數,探討台灣集中市場大額委託單對流動性造成影響。之後將再依交易人身分,分為散戶、外資、自營商、其他國內法人,可更細部觀察不同投資人在流動性扮演的角色,及其大額委託對流動性影響有何差異。
實證結果發現,大額委託會使市場寬度增加及深度減少,導致市場流動性降低。在做投資人分群後,在寬度的衡量上,散戶及自營商下單後皆使委託簿離散程度變大;在深度的衡量,各類投資人下單皆會使市場深度減少,降低流動性。若近一步將大額委託單區分大、次大單後,不論在寬度或深度,各類投資人在次大單對流動性造成影響皆較大單強,顯示大額委託單若為資訊交易者,有拆單交易的現象。
英文摘要 I use high frequency intraday data of Taiwan stock market to analyze the influence of large orders on width and depth of liquidity proposed by Kang and Yeo (2008). I divide investors into foreign investors, proprietary dealers, individual investors and other institutional investors to see how investor type affects my results.
I find large orders tend to cause a significant increase on market width while a decrease on market depth, which indicates poorer liquidity. In terms of width, both individual investors and proprietary dealers cause a significant increase in the dispersion of limit order book after they submit orders. In terms of depth, investors always cause a significant decrease in depth regardless of their types. If I divide large orders further into two groups. The one with the smaller orders are found to cause wider width and lower depth for all investors. This suggests that order splitting makes a difference.
論文目次 目錄
目錄 iii
圖表目錄 iv
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究架構與流程 6
第四節 研究流程圖 7
第二章 理論與文獻探討 8
第一節 相關理論基礎 8
第二節 大額委託相關文獻 10
第三節 流動性相關文獻 13
第四節 不同類型投資人的交易行為 17
第三章 研究方法 20
第一節 樣本選取及資料來源 20
第二節 資料格式 21
第三節 變數的衡量及檢定 24
第四節 模型設定 29
第四章 實證結果 32
第一節 樣本敘述統計 32
第二節 大額交易前後成交量的變動情形 37
第三節 大額交易對流動性的影響 39
第四節 各類投資人大額交易對流動性的影響 43
第五節 穩健性檢定(robustness test)之分析結果 51
第五章 結論 55
參考文獻 58
附 錄一 63



圖表目錄
【表1-1】集中交易市場成交金額投資人類別比例表 3
【表1-2】集中交易市場投資法人交易概況表 3
【表3-1】成交檔資料格式 20
【表3-2】委託檔資料格式 21
【表3-3】揭示檔資料格式 21
【表3-4】模型之Hausman test結果 31
【表4-1】平均交易量在特定比例下一檔之內消化掉及超過五檔之外消化掉 的比例 33
【表4-2】各投資人委託股數敘述統計 34
【表4-3】各投資人限價委託簿流動性變數的敘述統計 34
【表4-4】大額委託單在各市值委託股數敘述統計 36
【圖4-1】各類投資人分市值占投資人本身委託數比例 36
【圖4-2】每分鐘平均異常成交量的變動量 37
【表4-5】異常成交量t檢定 38
【表4-6】不分投資人大額委託對流動性影響的迴歸模型 41
【表4-7】各類投資人大額委託對流動性之OPD影響的迴歸模型 44
【表4-8】各類投資人大額委託對流動性之CTT影響的迴歸模型 46
【表4-9】各類投資人大額委託分大、次大單對流動性之OPD影響迴歸模型 49
【表4-10】各類投資人大額委託分大、次大單對流動性之CTT影響迴歸模型 50
【表4-11】不分投資人大額委託對流動性影響的迴歸模型 53
【表4-12】不分投資人大額委託對流動性影響的迴歸模型 54
參考文獻 參考文獻

1.胡星陽(1998)流動性對臺灣股市報酬率的影響,中國財務學刊,5(4),頁1-19。
2.詹場、胡星陽,(2000),流動性衡量方法之綜合評論,國家科學委員會研究刊: 人文及社會科學,十一卷三期,頁205-221。
3.陳秀桂、馬黛、劉佳奇,(2010),「大額委託交易管道與執行成本:TWSE鉅額新舊制之實證研究」,證券市場發展,22:3,頁137-180。
4.林雅玲、馬黛,(2011),「透明度、資訊內涵及下單策略之實證研究」,財務金融學刊,十九卷一期,頁1-32。
5.Amihud, Y., and H. Mendelson, (1986), "Asset pricing and the bid-ask spread", Journal of Financial Economics, Vol. 17, no. 2, pp. 223-249.
6.Amihud, Y., and H. Mendelson, (1988), " Liquidity and Asset Prices: Financial Management Implications", Financial Management, Vol. 17, No. 1,pp.5-15.
7.Amihud, Y., and H. Mendelson, (1989) , " The effect of computer base trading on volatility and liquidity", Jpn. World Econ., Vol. 1, pp.341–370.
8.Aitken, M. J., and A. Frino, (1996), "Asymmetry in stock returns following block trades on the Australian stock exchange: A note", Abacus, Vol. 32, pp.54-61.
9.Alzahrani, A., (2011), "Liquidity Determinants in an Order-Driven Market : Using High Frequency Data from the Saudi Market ",International Conference on Economics, Vol.7,pp.54-59.
10.Aitken, M., and C. Comerton-Forde, ( 2003), "How should liquidity be measured? ", Pacific-Basin Finance Journal, vol. 11, no. 1, pp. 45-59.
11.Bagehot, W., (1971), " The only game in town", Financial Analysts Journal, Vol. 27, pp.12–14.
12.Black, F., (1971), "Toward a Fully Automated Exchange", Financial Analysts Journal, Vol. 27, pp. 29-35.
13.Barclay, M. J., and J.B. Warner, (1993), "Stealth and Volatility: Which Trades Move Prices ? ", Journal of Financial Economics, Vol.34,pp.281-306.
14.Blume, L., D. Easley, and M. O’ Hara, (1994), "Market Statistics and Technical
Analysis: The Role of Volume", Journal of Finance, Vol.1, pp153-181.
15.Biais,B., P. Hillion, and C. Spatt, (1995), "An empirical analysis of the limit order book and the order flow in the Paris Bourse", Journal of Finance, Vol.50,no.5, pp.1655–1689.
16.Baker, H. K., (1996), "Trading location and liquidity: An analysis of U.S. dealer and agency markets for common stocks," Financial Markets, Institution and Instrument, Vol.5, pp.1-51.
17.Benston, G. , P. Irvine, and E. Kandel, (2002), Emory University and Hebrew working paper, .
18.Bloomfield, R., M. O’Hara, and G. Saar, (2005), "The ”make or take” decision in an electronic market: Evidence on the evolution of liquidity ", Journal of Financial Economics, Vol.75,pp.165-199.
19.Copeland, T. E., and D. Galai, (1983), "Information effects on the bid–ask spread ", Journal of Finance, Vol.38, pp.1457-1469.
20.Choe, H., T.H. McInish, and R.A. Wood, (1992), " Market microstructure effects on the measurement of the impact of block trades" , Working Paper. University of Memphis,.
21.Chan, L.K.C., and J. Lakonishok, (1993), "Institutional trades and intraday stock price behavior", Journal of Financial Economics, Vol. 33, pp.173-199.
22.Chan, L. K.C., and J. Lakonishok, (1995), "The behavior of stock prices aroundinstitutional trades", Journal of Finance, Vol.50, No.4, pp.1147-1174.
23.Chan, L. K. C., and J. Lakonishok, (1997), " Institutional equity trading costs: NYSE versus Nasdaq", Journal of Finance, Vol. 52, pp.713–735.
24.Close, N., (1975), "Price reaction to large transaction in the Canadian equity markets" ,Financial Analysts Journal, Vol. 31, No. 6 ,pp.50-57.
25.Chakravarty, S.,( 2001), "Stealth trading: Which traders’ trades move stock prices? ", Journal of Financial Economics, Vol. 61,pp. 289–307.
26.Chiyachantana, C. N., P. K. Jain, C. Jiang, and R. A. Wood, (2004), "International evidence on institutional trading behavior and price impact ", Journal of Finance, Vol.59, pp.869–898.
27.Chordiaa, T. and A. Subrahmanyam, (2004), "Order imbalance and individual stock returns:Theory and evidence", Journal of Financial Economics, Vol.72, pp. 485-518.
28.Dubofsky, D.A., and J.C. Growth, (1984), " Exchange Listing and Stock Liquidity ", Journal of Financial Research , Vol.7,no.4, pp.291-302.
29.Easley, D., and M. O’Hara, (1987), "Price, trade size, and information in securities markets", Journal of Financial Economics, Vol.19, pp.69-90.
30.Fama, E. F., (1976), " Foundation of finance", New York: Basic books, pp.45-48.
31.Frino, A., E. Jarnecic, D. Johnstone, and A. Lepone, (2005), " Bid-ask bounce and the measurement of price behavior around block trades on the Australian stock exchange " , Pacific-Basin Finance Journal, Vol.13, pp.247–262.
32.Frino, A., E. Jarnecic, and A. Lepone, (2009), "An event time study of the price reaction to large retail trades",Quarterly Review of Economics and Finance, Vol.49, pp.617–632.
33.Glosten, L., and P. Milgrom, (1985), "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders", Journal of Financial Economics, Vol.14, pp.71-100.
34.Grossman,S.J.,( 1992), " The informational role of upstairs and downstairs trading ",Journal of Business,Vol.65,no.4,pp.509-528.
35.Glosten, L.R.,( 1994), "Is the electronic open limit order book inevitable?", Journal of Finance, vol. 49, no. 4, pp. 1127-1161.
36.Gemmill, G.,( 1996), "Transparency and liquidity: a study of block trades on the London Stock Exchange under different publication rules", Journal of Finance, Vol.51,No.5.,pp. 1765-1790.
37.Gervais, S., R. Kaniel and D. Mingelgrin, (2001), "The high-volume return premium", Journal of Finance , Vol.56,pp. 877-919.
38.Ho,T and H.R. Stoll, (1981), "Optimal dealer pricing under transactions and return uncertainty ", Journal of Financial economics, Vol. 9,pp.47-73.
39.Holthausen, R., R. Leftwich, and D. Mayers, (1987), " The effect of large block transactions on security prices", Journal of Financial Economics, Vol. 19, pp.237–267.
40.Hasbrouck, J.,(1988), "Trades, Quotes, Inventories and Information", Journal of Financial Economics, Vol.22, pp.229-252.
41.Hasbrouck, J. and R.A. Schwartz,(1988),"Liquidity and execution costs in equity markets",Journal of Portfolio Management, Vol. 14, No. 3,pp.10-16.
42.Holthausen, R., R. Leftwich, and D. Mayers, (1990) , "Large block transactions, the speed of response, and temporary and permanent stock-price effects", Journal of Financial Economics, Vol. 26, pp. 71–95.
43.Hasbrouck, J.,(1991), "Measuring the information content of stock trades ", Journal of Finance, Vol.46,pp.179-207.
44.Kraus, A. and H. Stoll, (1972), "Price impacts of block trading on the New York Stock Exchange", Journal of Finance, Vol. 27,pp. 569–588.
45.Kumar, R., A. Sarin, and K. Shastri, (1992), "The Behavior of Option Price Around Large Block Transactions in the Underlying Security", Journal of Finance, Vol. 47, no. 3, pp.879-889.
46.Keim, D.B. and A. Madhavan, (1996), "The Upstairs Market for Large-Block Transactions:Analysis and Measurement of Price Effects", Review of Financial Studies, Vol.9, No.1, pp.1-36.
47.Kang, J.K. and R.M. Stulz, (1997), "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan ", Journal of Financial Economics, Vol.46,pp.3-28.
48.Koski, J.L. and R. Michaely, (2000), "Prices,Liquidity,and the Information Content of Trades", Review of Financial Studies, Vol.13, No.3, pp.659-696.
49.Kim,W.,(2002), "Do foreign investor perform better than locals? Information asymmetry,investor sophistication,and market liquidity ",KDI School of Pub Policy &Management ,Working Paper Series.
50.Kang, W., and W.Y. Yeo, (2008), "Liquidity Beyond the Best Quote: A Study of the NYSE Limit Order Book", National University of Singapore working paper, .
51.Lippman, S.A. and J.J. McCall, (1986), "An operational measure of liquidity", American Economic Review, Vol. 76, no. 1, pp. 43-55.
52.Lee, C., B. Mucklow, and M. Ready, (1993), "Spreads,depths and the impact of earnings information: an intraday analysis", Review of Financial Studies, Vol.6 ,pp.345–374.
53.Lee, Y.T., J.C. Lin, and Y.J. Liu, (1999), "Trading patterns of big versus small players in an emerging market: An empirical analysis", Journal of Banking and Finance, Vol. 23, no. 5, pp. 701-725.
54.Lee, Y.T., Y.J. Liu, R. Roll, and A. Subrahmanyam, (2004), "Order imbalances and market efficiency: Evidence from the Taiwan Stock Exchange", Journal of Financial and Quantitative Analysis, Vol. 39, no. 02, pp. 327-341.
55.Lin, W.T., S.C. Tsai, and D. S. Sun,(2011), "Search Costs and Investor Trading Activity: Evidences from limit order book", Emerging Markets Finance and Trade, Vol. 47.
56.Mundlak, Y., (1978), "On the pooling of time series and cross section data", Econometrica , Vol.46,pp.69-85.
57.Moulton, J. S., (1998), "The dynamics of quoted liquidity around large trades on the NYSE", Journal of Financial Research , Vol. 21, pp.355-71
58.Massimb, M.N., B.D. Phelps, (1994), " Electronic trading, market structure and liquidity", Financial Analysts Journal, Vol. 50, pp.39–50.
59.Martinez,M.A., M. Tapia, and J. Yzaguirre, (2005) " Information transmission around block trades on the Spanish stock exchange", Applied Financial Economics, Vol. 15,no 3, p. 173-186.
60.O’Hara, M., and G. Oldfield, ( 1986), " The microeconomics of market makine", Journal of Financial and Quantitative Analysis , Vol.21, pp.361-376.
61.O'hara, M., (1995), Market microstructure theory, Blackwell.
62.Reilly, F.K., and D.J. Wright, (1984), "Block trading and aggregate stock price volatility", Financial Analysts Journal, Vol.40,no.2,pp.54–60.
63.Shleifer, A., (1986),"Do Demand Curves for Stocks Slope Down?", Journal of Finance, Vol.41,no.3,pp.579-590.
64.Scholes, M.S., (1972), " The market for securities: Substitution versus price pressure and the effects of information on share prices", Journal of Business, Vol.4,pp.179–211.
65.Stoll, H.R., (1978), " The supply of dealer services in securities markets", Journal of Finance, Vol. 33, No. 4, pp. 1133-1151.
66.Schwartz, R.A., (1988), Equity markets: Structure, trading, and performance, Harper and Row, N.Y.
67.Seasholes, M., (2000),"Smart foreign traders in emerging markets",unpublished Harvard Business School working paper,.
68.Saar, G., (2001), "Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation", Review of Financial Studies, Vol.14,no.4, pp.1153–1181.
69.Welker, M., and H.C. Sparks, (2001), "Individual, institutional, and specialist trade patterns before and after disclosure", Journal of Financial Research, Vol. 24, pp.261-287.
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2012-06-28公開。
  • 同意授權瀏覽/列印電子全文服務,於2012-06-28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