市場透明度與流動性

Market Transparency and Liquidity

廖文瑄(Wen-Xuan Liao)

指導教授 ： 林秋發

國立虎尾科技大學/管理學院/經營管理研究所/碩士(2011年)

摘要

本研究主要探討的是在台灣證券交易所於民國92年1月2日實施揭露未成交上下五檔買賣量價資訊後對於市場結構的影響為何。其標的是以台灣期貨交易所 (TAIFEX) 與新加坡衍生性商品交易所 (SGX-DT) 為研究的對象，而在本文中是以事件研究法 (event study) 來檢定證交所增加市場透明度，對兩個在不同的交易體制之下的市場所提供的流動性是否會產生影響。其檢測流動性的方法，本文是採用買賣價差與市場深度來進行衡量；最後結果顯示，在TAIFEX方面，此新措施使得買賣價差變大與深度變小，故市場流動性因而減小；SGX-DT方面則是因為資料取得有缺漏，故只對價差作分析，其結果顯示，台灣實施新措施對SGX-DT並未造成明顯的影響。

關鍵字

流動性 ； 買賣價差 ； 市場深度 ； 交易制度

並列摘要

Since January 2nd, 2003, the Taiwan Stock Exchange Corporation (TSEC) started to disclose the information of the best five bids/asks and volumes with why affect market structure. Our object of study Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGX-DT) , and in this paper is based on event study methodology (event study) to test Stock Exchange, increase market transparency, on two different trading systems in the market under the liquidity provided will have an impact. The detection method of mobility, this is the use of bid-ask spread and market depth to be measured; final results show that in TAIFEX side, the new measures to make larger bid-ask spread and depth become smaller, so the market liquidity and thus reduce; SGX- DT area is because there are gaps in the information obtained, it is spread only for analysis, the results show that Taiwan's implementation of new measures on the SGX-DT did not cause significant impact.

並列關鍵字

Liquidity ； Bid-Ask Spread ； Market Depth ； Trading Mechanism

參考文獻

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