台灣股票市場的交易成本

Transaction Cost in Taiwan's Stock Market

楊婷雯(Ting-Wen Yang)

指導教授 ： 林秋發

國立虎尾科技大學/管理學院/財務金融系碩士班/碩士(2016年)

摘要

本文探討以台灣股票市場為研究討論的對象，在台灣的股票市場中以交易成本的流動性為中心，以台灣證券交易所的股票市場交易時間做區分，利用公司基本資訊對買賣價差、實現價差，並以實證的方式加以檢測對市場的反應之影響。實證結果發現規模較小的公司群組與規模較大的公司群組相比交易成本比較高，不同時段的群組其價差並無太大差距。

關鍵字

交易成本 ； 買賣價差 ； 實現價差

並列摘要

This thesis focuses on the Taiwan Stock Market as the object aiming at discussing the impacts corporate basic information exerting on the bid-ask spread, realized spread and examining the effects the corporate basic information having on the market responses by the empirical researches under the conditions that centers on the liquidity of transaction costs, being divided by the stock market exchange hours in Taiwan Stock Exchange, taking advantages of corporate basic information. According to the empirical research results, the relative small-sized companies bear higher transaction costs compared with those larger ones and there are no significant differences with respect to spread during different corporate stages.

並列關鍵字

transaction costs ； bid-ask spread ； realized spread

參考文獻

[ 15 ] 傅家音（2014） 台灣股票市場流動性與價格發現

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