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題名 The Price Impact Cost in Taiwan Stock Market
台灣股市價格衝擊成本之研究作者 錢邦彥 貢獻者 郭維裕
錢邦彥關鍵詞 Price Impact
Liquidity
Panel Data日期 2004 上傳時間 6-May-2016 14:48:11 (UTC+8) 摘要 This paper investigates the price impact cost for MSCI constituents on the Taiwan Stock Exchange (TSE) from Jan. 2001 to Dec. 2004. While the behavior of price impact cost in U.S. security markets has been extensively analyzed, there are few studies about it in the pure limit-order markets. Unlike Breen, Hodrick, and Korajczyk (2002), a panel data model is applied to fit our cross-sectional and time series data. We find that the price impact cost is well predicted by predetermined firm characteristics and exhibits a Ushaped pattern over the trading day. Furthermore, the evidence suggests that the reformations of trading regulations and the improvements of information disclosures would have a significant effect on the price impact cost for overall stocks. 參考文獻 Amihud, Y., H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 15, 223-249. Bagwell, L. S., 1992, Dutch auction repurchases: An analysis of shareholder heterogeneity, Journal of Finance 47, 71-105. Breen, W. J., L. S. Hodrick, R. A. Korajczk, 2002, Predicting Equity Liquidity, Management Science 48, 470-483. Brennan, M. J., A. Subrahmanyam, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 47, 71-105. Chan, L., J. Lakonishok, 1993, Institutional trades and intraday stock price behavior, Journal of Financial Economics 33, 173-179. Easely, D., M. O’Hara, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics 19, 69-90. Foster, F. D., S. Viswanathan, 1995, Can speculative trading explain the volume-volatility relation, Journal of Business and Economic Statistics 13, 379-396. Glosten, L. R., 1987, Components of the bid/ask spread and equilibrium: Empirical tests, Journal of Finance 42, 1293-1307. Glosten, L. R., L. E. Harries, 1988, Estimating the components of the bid/ask spread, Journal of Financail Economics 21, 123-142. GLosten, L. R., P. R. Milgrom, 1985, Bid, ask and transection prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 14, 71-100. Hasbrouck, J., 1991a, Measuring the information content of stock trades, Journal of Finance 46, 179-207. Hasbrouck, J., 1991b, The summary informativeness of stock trades: An econometric analysis, Review of Financial Studies Hasbrouck, J., R. A. Schwartz, 1988, Liquidity and execution costs in equity markets, Journal of Portfolio Management 14, 10-16. Hee-Joon Ahn, Jun Cai, Yasushi Hamao, Richard Y. K. Ho, 2002, The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange, Journal of Empirical Finance 9, 399-430. Hodrick, L. S., 1999, Does stock price elasticity affect corporate financial decisions, Journal of Financial Economics 52, 225-256. Keim, D. B., A. Madhavan, 1995, Anatomy of the trading process: Empirical evidence on the behavior of institutional traders, Journal of Financial Economics 37, 371-398. Keim, D. B., A. Madhavan, 1996, The upstairs market for large-block transactions: Analysis and measurement of price effects, Review of Financial Studies 9, 1-36. Knez, P. J., M. J. Ready, 1996, Estimating the profits from trading strategies, Review of Financial Studies 9, 1121-1163. Kyle, A. S., 1985, Continuous auctions and insider trading, Econometrica 53, 1315-1335. Lee, C. M. C., M. J. Ready, 1991, Inferring trade direction from intraday data, Journal of Finance 46, 733-754. Madhavan, A., 2000, Market microstructure: A survey, Journal of Financial Markets 3, 205-258. Odean, T., 1998, Are investors reluctant to realize their losses, Journal of Finance 53, 1775-1798. Spierdijk, L., T. E. Nijman, A. H. O. van Soest, 2002, The price impact of trades in illiquid stocks in periods of high and low market activity, Tilburg University, Center for Economic Research, Discussion Paper 29. Stoll, H. R.,1978, The supply of dealer services in securities markets, Journal of Finance 33, 1133-1151. Stoll, H. R., 2001, Market microstructure, Working Paper, Nr. 01-16. Yue-cheong Chan, 2000, The price impact of trading on the stock exchange of Hong Kong, Journal of Financial Markets 3, 1-16. Zhiwu Chen, W. Stanzl, M. Watanabe, 2003, Price impact costs and the limit of arbitrage, Yale School of Management Working Papers, ysm251. 描述 碩士
國立政治大學
國際經營與貿易學系
92351006資料來源 http://thesis.lib.nccu.edu.tw/record/#G0923510061 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.author (Authors) 錢邦彥 zh_TW dc.creator (作者) 錢邦彥 zh_TW dc.date (日期) 2004 en_US dc.date.accessioned 6-May-2016 14:48:11 (UTC+8) - dc.date.available 6-May-2016 14:48:11 (UTC+8) - dc.date.issued (上傳時間) 6-May-2016 14:48:11 (UTC+8) - dc.identifier (Other Identifiers) G0923510061 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94088 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 92351006 zh_TW dc.description.abstract (摘要) This paper investigates the price impact cost for MSCI constituents on the Taiwan Stock Exchange (TSE) from Jan. 2001 to Dec. 2004. While the behavior of price impact cost in U.S. security markets has been extensively analyzed, there are few studies about it in the pure limit-order markets. Unlike Breen, Hodrick, and Korajczyk (2002), a panel data model is applied to fit our cross-sectional and time series data. We find that the price impact cost is well predicted by predetermined firm characteristics and exhibits a Ushaped pattern over the trading day. Furthermore, the evidence suggests that the reformations of trading regulations and the improvements of information disclosures would have a significant effect on the price impact cost for overall stocks. en_US dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0923510061 en_US dc.subject (關鍵詞) Price Impact en_US dc.subject (關鍵詞) Liquidity en_US dc.subject (關鍵詞) Panel Data en_US dc.title (題名) The Price Impact Cost in Taiwan Stock Market zh_TW dc.title (題名) 台灣股市價格衝擊成本之研究 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Amihud, Y., H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 15, 223-249. Bagwell, L. S., 1992, Dutch auction repurchases: An analysis of shareholder heterogeneity, Journal of Finance 47, 71-105. Breen, W. J., L. S. Hodrick, R. A. Korajczk, 2002, Predicting Equity Liquidity, Management Science 48, 470-483. Brennan, M. J., A. Subrahmanyam, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 47, 71-105. Chan, L., J. Lakonishok, 1993, Institutional trades and intraday stock price behavior, Journal of Financial Economics 33, 173-179. Easely, D., M. O’Hara, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics 19, 69-90. Foster, F. D., S. Viswanathan, 1995, Can speculative trading explain the volume-volatility relation, Journal of Business and Economic Statistics 13, 379-396. Glosten, L. R., 1987, Components of the bid/ask spread and equilibrium: Empirical tests, Journal of Finance 42, 1293-1307. Glosten, L. R., L. E. Harries, 1988, Estimating the components of the bid/ask spread, Journal of Financail Economics 21, 123-142. GLosten, L. R., P. R. Milgrom, 1985, Bid, ask and transection prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 14, 71-100. Hasbrouck, J., 1991a, Measuring the information content of stock trades, Journal of Finance 46, 179-207. Hasbrouck, J., 1991b, The summary informativeness of stock trades: An econometric analysis, Review of Financial Studies Hasbrouck, J., R. A. Schwartz, 1988, Liquidity and execution costs in equity markets, Journal of Portfolio Management 14, 10-16. Hee-Joon Ahn, Jun Cai, Yasushi Hamao, Richard Y. K. Ho, 2002, The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange, Journal of Empirical Finance 9, 399-430. Hodrick, L. S., 1999, Does stock price elasticity affect corporate financial decisions, Journal of Financial Economics 52, 225-256. Keim, D. B., A. Madhavan, 1995, Anatomy of the trading process: Empirical evidence on the behavior of institutional traders, Journal of Financial Economics 37, 371-398. Keim, D. B., A. Madhavan, 1996, The upstairs market for large-block transactions: Analysis and measurement of price effects, Review of Financial Studies 9, 1-36. Knez, P. J., M. J. Ready, 1996, Estimating the profits from trading strategies, Review of Financial Studies 9, 1121-1163. Kyle, A. S., 1985, Continuous auctions and insider trading, Econometrica 53, 1315-1335. Lee, C. M. C., M. J. Ready, 1991, Inferring trade direction from intraday data, Journal of Finance 46, 733-754. Madhavan, A., 2000, Market microstructure: A survey, Journal of Financial Markets 3, 205-258. Odean, T., 1998, Are investors reluctant to realize their losses, Journal of Finance 53, 1775-1798. Spierdijk, L., T. E. Nijman, A. H. O. van Soest, 2002, The price impact of trades in illiquid stocks in periods of high and low market activity, Tilburg University, Center for Economic Research, Discussion Paper 29. Stoll, H. R.,1978, The supply of dealer services in securities markets, Journal of Finance 33, 1133-1151. Stoll, H. R., 2001, Market microstructure, Working Paper, Nr. 01-16. Yue-cheong Chan, 2000, The price impact of trading on the stock exchange of Hong Kong, Journal of Financial Markets 3, 1-16. Zhiwu Chen, W. Stanzl, M. Watanabe, 2003, Price impact costs and the limit of arbitrage, Yale School of Management Working Papers, ysm251. zh_TW
