臺灣地區上市公司股票最後進出喊價價差的決定因子之實證研究

The Determinants of Bid-Ask Spreads in the Taiwan Security Exchange

吳欽杉(Chin-Shun Wu) ； 劉玉珍(Yu-Jane Liu)

《管理科學學報》 6卷1期 (1989/05) Pp. 1-16

https://doi.org/10.6504/JOMS.1989.06.01.01

摘要

股票差價是衡量市場交易活絡程度及變現能力的良好指標，也是投資人為求立即變現所付得代價。本研究檢定證卷商角色並不積極的臺灣股市中，價差的決定因子。為了便於分析，將影響價差的變數分為三類，包括交易頻率、風險及股價。所得到的結果大致與國外研究類似：(1)股票價格與平均價差呈顯著正相關，而與價差百分比呈負相關但不顯著。(2)交易量較大的股票價差較小。(3)風險與價差顯著正相關。(4)以上結果在多頭市場或空頭市場中並無太大差異。

並列摘要

A bid-ask spread is good measure of marketability and liquidity, and the price investors pay for immediate tradings. The determinantr of spreads ere examined for Taiwan Security Exchange, in which the dealers play negligible roles. For purposes of analysis, the variables influencing the bid-ask spread are divided into three catergories: the trading frequency, the risk, and the price. Most of the findings are consistent with previous researches: (1)There is a significantly positive relationship between the stock prices and average spreads, while a negative but insignificant relationship between the stock price and the percentage spreads. (2)The spreads are narrower for actively traded issues or more continuously traded stocks. (3)The relationship between the risk and the bid-ask spreads is positive. (4) There is little difference between bull maket and bear market.