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題名 資訊揭露對股票市場的波動性與流動性之影響
The Impacts of Market Transparency on Volatility and Liquidity
作者 張景婷
貢獻者 陳樹衡<br>馬文忠
張景婷
關鍵詞 資訊揭露
市場透明度
有限理性
人工股票市場
代理人基建模
遺傳規劃
Information Disclosure
Market Transparency
Bounded Rationality
Agent-Based Modeling
Artificial Stock Market
Genetic Programming
日期 2012
上傳時間 1-十一月-2012 13:58:46 (UTC+8)
摘要 知訊者與非知訊者資訊不對稱之議題在學術殿堂一直廣為學者所研究討論，且各國證管機關為了維持證券市場公平性、保護非知訊者權益並且維持股票市場的穩定運作，適度的資訊揭露以維持證券市場的公平性一直都是各國證券交易所重視的政策目標。
是故，本研究利用代理人基人工股票市場來探討資訊揭露對於金融市場之影響。在此架構下之交易者皆已有限理性方式來呈現。他們是以遺傳規劃(genetic programming)之方式來學習並修正他們對於未來之金融市場之預期。在透過即時的模擬價格之資訊揭露，我們嘗試探討此資訊揭露之金融政策措施對於市場之波動性、市場之流動性之影響。
The topic of asymmetric information between the informed traders and uninformed traders has been widely discussed by researchers in academics. To maintain the fairness of securities market, an appropriate information disclosure is quite important for authorities of securities regulation to protect the rights and interests of uninformed traders, and to maintain the operations of securities market stable. Based on these reasons, we construct an agent-based artificial stock market to investigate how information disclosure affects a financial market. In this framework of artificial stock market, all traders are characterized by bounded rationality. The traders are able to learn and adjust their predictions of financial market by means of a genetic programming algorithm. We try to understand how market transparency affects the volatility and the liquidity of a securities market.
參考文獻 柯美珠與黃彥聖，2006，「資訊揭露對日內市場流動性之影響：台灣股票市場之實證研究」，國立台灣科技大學 2006 年管理新思維學術研討會。

Ahn, H. -J., and Cheung, Y. -L., 1999, "The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong", Pacific-Basin Finance Journal 7, 539–556

Amihud, Y., and Mendelson, H., 1987, "Trading Mechanisms and Stock Returns: An Empirical Investigation", Journal of Finance 42, 3, 533-553.

Amihud, Y., and Mendelson, H., 1991, " Liquidity, Maturity, and the Yields on U.S. Treasury Securities", Journal of Finance 46, 4, 1411-1425.

Arthur, W. B., Holland, J., LeBaron, B., Palmer, R., and Tayler, P., 1997, "Asset pricing under endogenous expectations in an artificial stock market. In: W. B. Arthur, S. Durlauf & D. Lane (Eds.)", The Economy as an Evolving Complex System II. Addison-Wesley, 15-44.

Baruch, S., 2005, "Who Benefits from an Open Limit-Order Book?", Journal of Business, Vol. 78, No. 4, 1267-1306.

Biais, B., 1993, "Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets", Journal of Finance 48, 157-185.

Biais, B., and P. Hillion, C. Spatt, 1999, “Price Discovery and Learning during the Preopening Period in the Paris Bourse”, Journal of Political Economy 107, 1218-1248.

Bloomfield, R., and M. O`Hara, 1999, "Market Transparency: Who Wins and Who Loses?", The review of Financial Studies 12, 5-35.

Bloomfield, R., and M. O`Hara, 2000, "Can transparent markets survive?", Journal of Financial Economics 55, 425-429.

Boehmer, E., Saar, G., and Yu, L., 2005, "Lifting the Veil: An Analysis of Pre-trade Transparency at the NYSE", Journal of Finance, 60, 783–815.

Brock, W., Dechert, W., J. Scheinkman, and Lebaron, B., 1996, "A Test for Independence Based on the Correlation Dimension", Econometric Reviews 15, 197-235

Brock, W., and Hommes, C., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model.", Journal of Economic Dynamics and Control 22, 1235-1274.

Chen, S.-H, Chang, C.-L., and Du, Y-.R. 2012, “Agent-Based Economic Models and Econometrics.” , Knowledge Engineering Review, forthcoming.

Chen, S.-H., and Yeh, C.-H., 2001, "Evolving traders and the business school with genetic programming: a new architecture of the agent-based artificial stock market.", Journal of Economic Dynamics and Control 25, 363-393.

Chen, S.-H., and Yeh, C.-H., 2002, "On the emergent properties of artificial stock markets: the efficient market hypothesis and the rational expectations hypothesis.", Journal of Economic Behavior and Organization 49, 217-239.

Chiarella, C., Dieci, R., and He, X.-Z., 2007, "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework.", Journal of Economic Behavior and Organization 62, 408-427.

Chiarella, C., and He, X.-Z., 2001, "Asset pricing and wealth dynamics under heterogeneous expectations.", Quantitative Finance 1, 509-526.


Chiarella, C., and He, X.-Z., 2002, "Heterogeneous beliefs, risk and learning in a simple asset pricing model.", Computational Economics 19, 95-132.

Chiarella, C., and He, X.-Z., 2003, "Heterogeneous beliefs, risk and learning in a simple asset pricing model with a market maker.", Macroeconomic Dynamics 7, 503-536.

Chiarella, C., He, X.-Z., and Hommes, C., 2006, "A dynamic analysis of moving average rules.", Journal of Economic Dynamics and Control 30, 1729-1753.

Eom, K.-S., Ok, J., and Park, J. -H., 2007, "Pre-trade transparency and market quality", Journal of Financial Markets 10, 319–341.

Flood, M. D., Huisman, R., Koedijk, K. G., and Mahieu, R. J.,1999, "Quote disclosure and price discovery in multiple-dealer financial markets", The Review of Financial Studies 12(1), 37-59.

Frutos, M. Angeles de, and Manzano, C., 2002, "Risk Aversion, Transparency, and Market Performance", Journal of Finance 57(2), 959-984.

He, X.-Z., and Li, Y., 2007, "Power-law behaviour, heterogeneity, and trend chasing.", Journal of Economic Dynamics and Control 31, 3396-3426.

He, X.-Z., and Li, Y., 2008, "Heterogeneity, convergence, and autocorrelations. " Quantitative Finance 8, 59-79.

Hendershott, T., and Jones, C. M., 2005, "Island Goes Dark: Transparency, Fragmentation, and Regulation" , The Review of Financial Studies 18(3), 743-793.

Kang, J., and Lee, D., 2007, "The Effects of a Transparency Change in the Pre-opening Session on Price discovery", (Working paper of Korean Securities Association).

Kirman, A., 2006, "Heterogeneity in economics.", Journal of Economic Interaction and Coordination 1, 89-117.

Koza, J. R., 1992, "Genetic Programming: On the Programming of Computers by Means of Natural Selection.", Cambridge: MIT Press.

LeBaron, B., Arthur, W. B., and Palmer, R., 1999, "Time series properties of an artificial stock market.", Journal of Economic Dynamics and Control 23, 1487-1516.

LeBaron, B., 2006, "Agent-based computational finance. In: L. Tesfatsion and K. L. Judd (Eds.)", Handbook of Computational Economics, vol. 2. Amsterdam: Elsevier, 1187-1233.

Lux, T., 1995, "Herd behavior, bubbles and crashes.", The Economic Journal 105, 881-896.

Lux, T., 1997, "Time variation of second moments from a noise trader/infection
model.", Journal of Economic Dynamics and Control 22, 1-38.

Lux, T., 1998, "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions.", Journal of Economic Behavior and Organization 33, 143-165.

Lux, T., and Marchesi, M., 1999, "Scaling and criticality in a stochastic multi-agent model of a financial market.", Nature 397, 498-500.

Lux, T., and Marchesi, M., 2000, "Volatility clustering in financial markets: a microsimulation of interacting agents.", International Journal of Theoretical and Applied Finance 3, 675-702.

Lyons, R. K., 1996, "Optimal transparency in a dealership market with an application to foreign market", Journal of Finance 45, 2, 591-601.

Ma, T., Lin, Y., and Chen, H. -K., 2008, "Are Investors more Aggressive in Transparent Markets?" , Asia-Pacific Journal of Financial Studies 37, No.2, 343-380

Madhavan, A., 1992, "Trading Mechanisms in Securities Markets", The Journal of Finance 47,2, 607-641.

Madhaven, A., 1996, "Securities Prices and Market Transparency", Journal of Financial Intermediation 5, 255-283.

Madhavan, A., and Panchapagesan, V., 2000, "Price Discovery in Auction Markets: A Look Inside the Black Box", Review of Financial Studies 13(3), 627~658

Madhavan A., Porter, D., and Weaver, D. , 2005, "Should Securities Markets be Transparent? ", Journal of Financial Markets 8, 266-288.

McInish, T. H., and Wood, R. A., 1995, "Hidden limit orders on the NYSE", Journal of Portfolio Management 21, 3, 19-26.

Pagano, M., Roell, A. , 1996, "Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading", The Journal of Finance, 51(2), 579-611.

Palmer R., Arthur, W. B., Holland, J. H., LeBaron, B., and Tayler, P., 1994, "Artificial economic life: a simple model of a stock market.", Physica D 75, 264-274.

Chen, S.-H, Lux, T., and Marchesi, M., 2001, "Testing for non-linear structure in an artificial stock market", Journal of Economic Behavior & Organization 46,327-342.

Yamamoto, R., 2011, " Order aggressiveness, pre-trade transparency, and long memory in an order-driven market ", Journal of Economic Dynamics & Control 35, 1938-1963.



Yeh, C.-H., 2007, "The role of intelligence in time series properties.", Computational Economics 30, 95-123.

Yeh, C.-H., 2008, "The effects of intelligence on price discovery and market efficiency.", Journal of Economic Behavior and Organization 68, 613-625.

Yeh, C.-H., and Yang, C.-Y., 2010, "Examining the effectiveness of price limits in an artificial stock market.", Journal of Economic Dynamics and Control 34, 2089-2108.
描述 碩士
國立政治大學
應用物理研究所
99755004
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099755004
資料類型 thesis
dc.contributor.advisor 陳樹衡<br>馬文忠zh_TW
dc.contributor.author (作者) 張景婷zh_TW
dc.creator (作者) 張景婷zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 1-十一月-2012 13:58:46 (UTC+8)-
dc.date.available 1-十一月-2012 13:58:46 (UTC+8)-
dc.date.issued (上傳時間) 1-十一月-2012 13:58:46 (UTC+8)-
dc.identifier (其他 識別碼) G0099755004en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/55137-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 應用物理研究所zh_TW
dc.description (描述) 99755004zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 知訊者與非知訊者資訊不對稱之議題在學術殿堂一直廣為學者所研究討論，且各國證管機關為了維持證券市場公平性、保護非知訊者權益並且維持股票市場的穩定運作，適度的資訊揭露以維持證券市場的公平性一直都是各國證券交易所重視的政策目標。
是故，本研究利用代理人基人工股票市場來探討資訊揭露對於金融市場之影響。在此架構下之交易者皆已有限理性方式來呈現。他們是以遺傳規劃(genetic programming)之方式來學習並修正他們對於未來之金融市場之預期。在透過即時的模擬價格之資訊揭露，我們嘗試探討此資訊揭露之金融政策措施對於市場之波動性、市場之流動性之影響。		zh_TW
dc.description.abstract (摘要) The topic of asymmetric information between the informed traders and uninformed traders has been widely discussed by researchers in academics. To maintain the fairness of securities market, an appropriate information disclosure is quite important for authorities of securities regulation to protect the rights and interests of uninformed traders, and to maintain the operations of securities market stable. Based on these reasons, we construct an agent-based artificial stock market to investigate how information disclosure affects a financial market. In this framework of artificial stock market, all traders are characterized by bounded rationality. The traders are able to learn and adjust their predictions of financial market by means of a genetic programming algorithm. We try to understand how market transparency affects the volatility and the liquidity of a securities market.en_US
dc.description.tableofcontents 謝辭 I
摘要： II
Abstract III
Chapter 1. 緒論 1
1.1 研究動機及目的 1
1.2 研究架構 2
Chapter 2. 文獻探討 3
2.1 市場架構 3
2.1.1 價格發現主導：報價驅動市場以及委託單驅動市場 3
2.1.2 價格發現是否連續：連續競價市場以及分盤競價市場 3
2.2 資訊透明度對證券市場之影響 4
2.3 代理人基股票市場 10
Chapter 3. 模型簡介及參數設定 14
3.1 代理人基股票市場結構 14
3.2 預期之形成 15
3.3 交易者學習模式 16
3.4 代理人基股票市場之資訊揭露 17
3.5 市場機制 17
3.5.1 連續競價市場 17
3.5.2 集中交易方式 19
3.6 模型參數設定 21
Chapter 4. 結果及分析 23
4.1 各項參考指標 23
4.1.1 波動性(volatility)指標 23
4.1.2 流動性(liquidity)指標 23
4.2 開收盤資訊揭露之範圍 23
4.2.1 波動性指標 24
4.2.2 流動性指標 26
4.3 開收盤資訊揭露之頻率 30
4.3.1 波動性指標 31
4.3.2 流動性指標 32
Chapter 5. 結論 36
參考文獻 39
附錄 45


表目錄
表2-1文獻整理―資訊透明度對證券市場的影響 9
表3-1校準後模型產生的典型事實 21
表3-2人工股票市場模擬之參數設定 22
表4-1 Market A Series 24
表4-2 Market A series GP參數調整 24
表4-3 Market A Series 波動性之基礎統計結果 25
表4-4 Market A Series 波動性指標比較之統計分析 25
表4-5 Market A Series流動性之基礎統計結果 27
表4-6 Market A Series 流動性指標比較之統計分析 28
表4-7 Market B Series 30
表4-8 Market B series參數調整 30
表4-9 Market B Series 波動性之基礎統計結果 31
表4-10 Market B Series 波動性指標比較之統計分析 31
表4-11 Market B Series流動性之基礎統計結果 33
表4-12 Market B Series 流動性指標比較之統計分析 34
表5-1 模擬結果摘要 36
附表1 Market A1 v.s. Market A2波動性指標 之基礎統計分析 45
附表2 Market A1 v.s. Market A3波動性指標 之基礎統計分析 46
附表3 Market A2 v.s. Market A3波動性指標 之基礎統計分析 47
附表4 Market B1 v.s. Market B2波動性指標 之基礎統計分析 48
附表5 Market B1 v.s. Market B3波動性指標 之基礎統計分析 49
附表6 Market B2 v.s. Market B3波動性指標 之基礎統計分析 50
附表7 Market A1 v.s. Market A2開盤流動性指標 之基礎統計分析 51
附表8 Market A1 v.s. Market A3開盤流動性指標 之基礎統計分析 52
附表9 Market A2 v.s. Market A3開盤流動性指標 之基礎統計分析 53
附表10 Market B1 v.s. Market B2開盤流動性指標 之基礎統計分析 54
附表11 Market B1 v.s. Market B3開盤流動性指標 之基礎統計分析 55
附表12 Market B2 v.s. Market B3開盤流動性指標 之基礎統計分析 56
附表13 Market A1 v.s. Market A2收盤流動性指標 之基礎統計分析 57
附表14 Market A1 v.s. Market A3收盤流動性指標 之基礎統計分析 58
附表15 Market A2 v.s. Market A3收盤流動性指標 之基礎統計分析 59
附表16 Market B1 v.s. Market B2收盤流動性指標 之基礎統計分析 60
附表17 Market B1 v.s. Market B3收盤流動性指標 之基礎統計分析 61
附表18 Market B2 v.s. Market B3收盤流動性指標 之基礎統計分析 62


圖目錄
圖3-1模擬示意圖 20		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099755004en_US
dc.subject (關鍵詞) 資訊揭露zh_TW
dc.subject (關鍵詞) 市場透明度zh_TW
dc.subject (關鍵詞) 有限理性zh_TW
dc.subject (關鍵詞) 人工股票市場zh_TW
dc.subject (關鍵詞) 代理人基建模zh_TW
dc.subject (關鍵詞) 遺傳規劃zh_TW
dc.subject (關鍵詞) Information Disclosureen_US
dc.subject (關鍵詞) Market Transparencyen_US
dc.subject (關鍵詞) Bounded Rationalityen_US
dc.subject (關鍵詞) Agent-Based Modelingen_US
dc.subject (關鍵詞) Artificial Stock Marketen_US
dc.subject (關鍵詞) Genetic Programmingen_US
dc.title (題名) 資訊揭露對股票市場的波動性與流動性之影響zh_TW
dc.title (題名) The Impacts of Market Transparency on Volatility and Liquidityen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 柯美珠與黃彥聖，2006，「資訊揭露對日內市場流動性之影響：台灣股票市場之實證研究」，國立台灣科技大學 2006 年管理新思維學術研討會。

Ahn, H. -J., and Cheung, Y. -L., 1999, "The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong", Pacific-Basin Finance Journal 7, 539–556

Amihud, Y., and Mendelson, H., 1987, "Trading Mechanisms and Stock Returns: An Empirical Investigation", Journal of Finance 42, 3, 533-553.

Amihud, Y., and Mendelson, H., 1991, " Liquidity, Maturity, and the Yields on U.S. Treasury Securities", Journal of Finance 46, 4, 1411-1425.

Arthur, W. B., Holland, J., LeBaron, B., Palmer, R., and Tayler, P., 1997, "Asset pricing under endogenous expectations in an artificial stock market. In: W. B. Arthur, S. Durlauf & D. Lane (Eds.)", The Economy as an Evolving Complex System II. Addison-Wesley, 15-44.

Baruch, S., 2005, "Who Benefits from an Open Limit-Order Book?", Journal of Business, Vol. 78, No. 4, 1267-1306.

Biais, B., 1993, "Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets", Journal of Finance 48, 157-185.

Biais, B., and P. Hillion, C. Spatt, 1999, “Price Discovery and Learning during the Preopening Period in the Paris Bourse”, Journal of Political Economy 107, 1218-1248.

Bloomfield, R., and M. O`Hara, 1999, "Market Transparency: Who Wins and Who Loses?", The review of Financial Studies 12, 5-35.

Bloomfield, R., and M. O`Hara, 2000, "Can transparent markets survive?", Journal of Financial Economics 55, 425-429.

Boehmer, E., Saar, G., and Yu, L., 2005, "Lifting the Veil: An Analysis of Pre-trade Transparency at the NYSE", Journal of Finance, 60, 783–815.

Brock, W., Dechert, W., J. Scheinkman, and Lebaron, B., 1996, "A Test for Independence Based on the Correlation Dimension", Econometric Reviews 15, 197-235

Brock, W., and Hommes, C., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model.", Journal of Economic Dynamics and Control 22, 1235-1274.

Chen, S.-H, Chang, C.-L., and Du, Y-.R. 2012, “Agent-Based Economic Models and Econometrics.” , Knowledge Engineering Review, forthcoming.

Chen, S.-H., and Yeh, C.-H., 2001, "Evolving traders and the business school with genetic programming: a new architecture of the agent-based artificial stock market.", Journal of Economic Dynamics and Control 25, 363-393.

Chen, S.-H., and Yeh, C.-H., 2002, "On the emergent properties of artificial stock markets: the efficient market hypothesis and the rational expectations hypothesis.", Journal of Economic Behavior and Organization 49, 217-239.

Chiarella, C., Dieci, R., and He, X.-Z., 2007, "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework.", Journal of Economic Behavior and Organization 62, 408-427.

Chiarella, C., and He, X.-Z., 2001, "Asset pricing and wealth dynamics under heterogeneous expectations.", Quantitative Finance 1, 509-526.


Chiarella, C., and He, X.-Z., 2002, "Heterogeneous beliefs, risk and learning in a simple asset pricing model.", Computational Economics 19, 95-132.

Chiarella, C., and He, X.-Z., 2003, "Heterogeneous beliefs, risk and learning in a simple asset pricing model with a market maker.", Macroeconomic Dynamics 7, 503-536.

Chiarella, C., He, X.-Z., and Hommes, C., 2006, "A dynamic analysis of moving average rules.", Journal of Economic Dynamics and Control 30, 1729-1753.

Eom, K.-S., Ok, J., and Park, J. -H., 2007, "Pre-trade transparency and market quality", Journal of Financial Markets 10, 319–341.

Flood, M. D., Huisman, R., Koedijk, K. G., and Mahieu, R. J.,1999, "Quote disclosure and price discovery in multiple-dealer financial markets", The Review of Financial Studies 12(1), 37-59.

Frutos, M. Angeles de, and Manzano, C., 2002, "Risk Aversion, Transparency, and Market Performance", Journal of Finance 57(2), 959-984.

He, X.-Z., and Li, Y., 2007, "Power-law behaviour, heterogeneity, and trend chasing.", Journal of Economic Dynamics and Control 31, 3396-3426.

He, X.-Z., and Li, Y., 2008, "Heterogeneity, convergence, and autocorrelations. " Quantitative Finance 8, 59-79.

Hendershott, T., and Jones, C. M., 2005, "Island Goes Dark: Transparency, Fragmentation, and Regulation" , The Review of Financial Studies 18(3), 743-793.

Kang, J., and Lee, D., 2007, "The Effects of a Transparency Change in the Pre-opening Session on Price discovery", (Working paper of Korean Securities Association).

Kirman, A., 2006, "Heterogeneity in economics.", Journal of Economic Interaction and Coordination 1, 89-117.

Koza, J. R., 1992, "Genetic Programming: On the Programming of Computers by Means of Natural Selection.", Cambridge: MIT Press.

LeBaron, B., Arthur, W. B., and Palmer, R., 1999, "Time series properties of an artificial stock market.", Journal of Economic Dynamics and Control 23, 1487-1516.

LeBaron, B., 2006, "Agent-based computational finance. In: L. Tesfatsion and K. L. Judd (Eds.)", Handbook of Computational Economics, vol. 2. Amsterdam: Elsevier, 1187-1233.

Lux, T., 1995, "Herd behavior, bubbles and crashes.", The Economic Journal 105, 881-896.

Lux, T., 1997, "Time variation of second moments from a noise trader/infection
model.", Journal of Economic Dynamics and Control 22, 1-38.

Lux, T., 1998, "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions.", Journal of Economic Behavior and Organization 33, 143-165.

Lux, T., and Marchesi, M., 1999, "Scaling and criticality in a stochastic multi-agent model of a financial market.", Nature 397, 498-500.

Lux, T., and Marchesi, M., 2000, "Volatility clustering in financial markets: a microsimulation of interacting agents.", International Journal of Theoretical and Applied Finance 3, 675-702.

Lyons, R. K., 1996, "Optimal transparency in a dealership market with an application to foreign market", Journal of Finance 45, 2, 591-601.

Ma, T., Lin, Y., and Chen, H. -K., 2008, "Are Investors more Aggressive in Transparent Markets?" , Asia-Pacific Journal of Financial Studies 37, No.2, 343-380

Madhavan, A., 1992, "Trading Mechanisms in Securities Markets", The Journal of Finance 47,2, 607-641.

Madhaven, A., 1996, "Securities Prices and Market Transparency", Journal of Financial Intermediation 5, 255-283.

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