台灣股票市場流動性與價格發現

Liquidity and Price Discovery on Taiwan’s Stock Market

傅家音(Chia-Yin Fu)

指導教授 ： 林秋發

國立虎尾科技大學/管理學院/財務金融研究所/碩士(2014年)

https://doi.org/10.6827/NFU.2014.00062

摘要

本文以台灣股票市場為討論對象，利用買賣價差與市場深度等不同的流動性衡量指標，以及Hasbrouck提出的訊息比例模型分析其流動性與價格發現。實證結果發現大規模公司群組相較於小規模公司群組流動性較佳，不同規模群組間其價格發現並無顯著差異。

關鍵字

流動性 ； 買賣價差 ； 價格發現

並列摘要

This paper examines the liquidity and price discovery on Taiwan’s stock market. We use bid-ask spreads and market depth to measure the liquidity of stock market and then use message scale model, which extends the impact model of Hasbrouck(1988) to analyze the price discovery. The empirical results confirm that most of the liquidity of smaller firms better than those of larger firms, although the firms of size of the price discovery are not significant different.

並列關鍵字

Liquidity ； Bid-Ask Spreads ； Price Discovery

參考文獻

[1]Demsetz, H., 1968, “The Costs of Transacting”, Ouarterly Journal Economics,82, 33-53.

[2]Lee, C. M. C., B. Mucklow, and M. J. Ready., 1993, “Spreads, depths, and impact of information: An intraday analysis”, Review of Financial Studies,6, 345-374.

[3]Biais, B., P. Hillion, and C. Spatt., 1995, “An empirical analysis of the limit order book and the order flow in Paris Bourse”, Journal of Finance,50, 1655-1689.

[4]Ahn, H. J., and Y. L. Cheung., 1999, “The intraday patterns of spread and depth in a market without market maker: The stock exchange of Hong Kong”, Pacific Basin Finance Journal ,7, 539-556.

[5]Ahn, H. J., K. H. Base, and K. Chan., 2001, “Limit orders, depth, and volatility: Evidence from Stock Exchange of Hong Kong”, Journal of Finance,56(2), 767-788.