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Title臺灣股市流動性提供者之研究
Creator左昭信
Tso, Ivan
Contributor周行一<br>陳威光
左昭信
Ivan Tso
Key Words股市
流動性
流動性提供者
stock market
liquidity
liquidity provider
Date2000
Date Issued31-Mar-2016 16:36:10 (UTC+8)
Summary本研究係探討台灣股市流動性的提供者，研究樣本係台灣證券交易所四支流動性大小不同的標的個股，而樣本期間橫跨民國八十五一至五月及民國八十六年全年，分別代表證券市場的盤整期間，大多頭及大多頭。
參考文獻 中文部份
     1.馬黛,各國證券交易資訊系統之比較與交易資訊透明化之探討,證交資料,第409期,民國85年5月日,第1~9頁。
     2.陳春山,我國證券市場之現況、特徵及發展趨勢─證券市場發展對券商業務之影響(上),證券櫃檯,第十八期,民國86年12月,第1~21頁。
     3.陳春山,我國證券市場之現況、特徵及發展趨勢─證券市場發展對券商業務之影響(下),證券櫃檯,第十九期,民國87年1月,第1~17頁。
     4.曾耀輝,世界主要證券交易所交易撮合制度之比較與一探討(一),證交資料,第397期,民國84年5月,第13~28頁。
     5.曾耀輝,世界主要證券交易所交易撮合制度之比較與一探討(二),證交資料,第398期,民國84年6月日,第17~35頁。
     6.蔡世賢,美國證券業之經營與管理(上),產業金融,第八十一期,民國82年12月,第53~56頁。
     7.蔡世賢,美國證券業之經營與管理(中),產業金融,第八十二期,民國83年3月,第56~62頁。
     8.蔡世賢,美國證券業之經營與管理(下),產業金融,第八十三期,民國83年6月,第53~58頁。
     9.劉玉珍,台灣股票市場交易制度,證券市場,華泰書局?民國88年,第90~101頁。
     英文部份
     1.Amihud, Y., H. Mendelson and B. Lauterbach, 1997, Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange. Journal of financial Economics 45, 365-390.
     2.Benston, G.J. and R.L. Hagerman, 1978, Risk, Volume and Spread. Financial Analysts Journal Jan-Feb, 46-49.
     3.Berkman, H. and V.R. Eleswarapu, 1998, Short-term traders and liquidity: a test using Bombay Stock Exchange data. Journal of financial Economics 47, 339-355.
     4.Bernstein, P.L., 1987, Liquidity, Stock Markets, and Market Makers. Financial Management Summer, 54-62.
     5.Cason, T.N. and D. Friedman, 1997, Price Formation in Single Call Markets. Economertrica Vol 65 No 2, 311-345.
     6.Chui, C.W. and K.C. Wei, 1997, Liquidity Premium and the Catching-up Effect in a Market without Market Makers: Evidence from the Japanese Stock Market. Working Paper.
     7.Cohen, L.M., Kalman, S. Maier, R.A. Schwartz and D. Whitcomb, 1981, Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread. Journal of Political Economy April, 287-305.
     8.Cooper, K., J.C. Groth and W.E. Avera, 1985, Liquidity, Exchange Listing, and common Stock Performance. Journal of Economics and Business Feberury, 19-33.
     9.Demesetz, H., 1968, The Costs of Transacting. Quarterly Journal of Economics Vol 82, 33-53.
     10.Domowitz, I., 1992, Automating the Price Discovery Process: Some International Comparisons and Regulatory Implications. Journal of Financial Services Research, 305-326.
     11.Economides, N. and R.A. Schwartz, 1995, Electronic Call Market Trading. The Journal of Portfolio Management Spring, 11-18.
     12.Elyasiani, E., H. Hauser, B. Lauterbach, , 2000, Market Response to Liquidity Improvements:Evidence from Exchange Listings. The financial Review 41, 1-14.
     13.Epstein, G., 1996, A New ‘Exchange’ in Arizona Brings an Old Twist to Stock Trading. BARRON’S December, 26.
     14.Friedman, D., 1993, Privileged Traders and Asset Market Efficiency:A Laboratory Study. Journal of financial and Quantitative Analysis Vol 28 No 4, 515-534.
     15.Groth, J.C. and D.A. Dubofsky, 1984, Exchange Listing and Stock Liquidity. Journal of financial Research, 291-302.
     16.Handa, P. and R.A. Schwartz, 1996, How Best to Supply Liquidity to a Securities Market. The Journal of Portfolio Management Winter, 44-51.
     17.Handa, P. and R.A. Schwartz, 1996, Limit Order Trading. The Journal of Finance December, 1835-1861.
     18.Handa, P., R.A. Schwartz and A. Tiwari, 1998, The Ecology of an Order-Driven Market. The Journal of Portfolio Management Winter, 47-55.
     19.Harris, L. and J. Hasbrouch, June 1996, Market vs. Limit Orders: The SuperDot Evidence on Order Submission Strategy. Journal of Financial and Quantitative analysis Vol 31 No 2, 213-231.
     20.Hasbrouck, J., 1999, The Dynamics of Discrete Bid and Ask Quotes. The Journal of finance Vol LIV No 6, 2109-2142.
     21.ISSA (International Securities Services Association)1999 HandBook.
     22.Lehmann B.N. and D.M. Modest, 1994, Trading and Liquidity on the Tokyo Stock Exchange: A Bird’s Eye View. The Journal of Finance Vol XLIX No 3, pp951-984.
     23.Madhavan, A., 1992,Trading Mechanisms in Securities Markets. The Journal of Finance Vol XLVII No 2, 607-641.
     24.Massimb, M.N. and B.D. Phelps, 1994, Electronic Trading, Market Structure and Liquidity. Financial Analysts Journal January-February, 39-50.
     25.Marsh, T. and K. Rock, 1986, Exchange Listing and Liquidity: A Comparison of the American Stock Exchange with the NASDAQ National Market System.: American Stock Exchange Transactions Data Research Project Report #2.
     26.Martin, P., 1975, Analysis of the Impact of Competitive Rates on the Liquidity of NYSE Stocks. Economic Staff Paper, Securities and Exchange Commission.
     27.Schwartz, R.A. and L.M. Cohen, 1993, Reshaping The Equity Markets: A Guide for the 1990s, Business One Irwin, 126-128.
     28.Tinic, S.M. and R.R. West, 1972, Competition and the Pricing of Dealer Service in the OTC Stock Markets. Journal of Financial and Quantitative Analysis June, 1707-1727.
Description碩士
國立政治大學
金融研究所
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002002078
Typethesis
dc.contributor.advisor 周行一<br>陳威光zh_TW
dc.contributor.author (Authors) 左昭信zh_TW
dc.contributor.author (Authors) Ivan Tsoen_US
dc.creator (作者) 左昭信zh_TW
dc.creator (作者) Tso, Ivanen_US
dc.date (日期) 2000en_US
dc.date.accessioned 31-Mar-2016 16:36:10 (UTC+8)-
dc.date.available 31-Mar-2016 16:36:10 (UTC+8)-
dc.date.issued (上傳時間) 31-Mar-2016 16:36:10 (UTC+8)-
dc.identifier (Other Identifiers) A2002002078en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/83330-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description.abstract (摘要) 本研究係探討台灣股市流動性的提供者，研究樣本係台灣證券交易所四支流動性大小不同的標的個股，而樣本期間橫跨民國八十五一至五月及民國八十六年全年，分別代表證券市場的盤整期間，大多頭及大多頭。zh_TW
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     目錄
     表目錄
     圖目錄
     第一章、前言
     第一節、研究動機與目的
     第二節、研究架構
     第二章、世界各國證券市場交易制度及現況
     第一節、交易制度介紹
     第二節、國際間主要證券市場現況
     第三章、流動性介紹及相關文獻探討
     第一節、流動性的定義
     第二節、流動性的衡量方法
     第三節、流動性提供者之介紹
     第四章、我國證券集中市場現況
     第一節、我國證券集中市場制度及交易規則
     第二節、我國證券集中市場參與者介紹
     第五章、研究方法
     第一節、研究設計
     第二節、指標介紹
     第三節、研究期間及樣本選取
     第六章、研究結果
     第一節、成交資料描述
     第二節、績效指標結果
     第三節、行為指標結果
     第七章、結論與建議
     第一節、結論
     第二節、後續研究建議
     附錄
     附錄一、相關法令規定
     附錄二、參考文獻		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002002078en_US
dc.subject (關鍵詞) 股市zh_TW
dc.subject (關鍵詞) 流動性zh_TW
dc.subject (關鍵詞) 流動性提供者zh_TW
dc.subject (關鍵詞) stock marketen_US
dc.subject (關鍵詞) liquidityen_US
dc.subject (關鍵詞) liquidity provideren_US
dc.title (題名) 臺灣股市流動性提供者之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部份
     1.馬黛,各國證券交易資訊系統之比較與交易資訊透明化之探討,證交資料,第409期,民國85年5月日,第1~9頁。
     2.陳春山,我國證券市場之現況、特徵及發展趨勢─證券市場發展對券商業務之影響(上),證券櫃檯,第十八期,民國86年12月,第1~21頁。
     3.陳春山,我國證券市場之現況、特徵及發展趨勢─證券市場發展對券商業務之影響(下),證券櫃檯,第十九期,民國87年1月,第1~17頁。
     4.曾耀輝,世界主要證券交易所交易撮合制度之比較與一探討(一),證交資料,第397期,民國84年5月,第13~28頁。
     5.曾耀輝,世界主要證券交易所交易撮合制度之比較與一探討(二),證交資料,第398期,民國84年6月日,第17~35頁。
     6.蔡世賢,美國證券業之經營與管理(上),產業金融,第八十一期,民國82年12月,第53~56頁。
     7.蔡世賢,美國證券業之經營與管理(中),產業金融,第八十二期,民國83年3月,第56~62頁。
     8.蔡世賢,美國證券業之經營與管理(下),產業金融,第八十三期,民國83年6月,第53~58頁。
     9.劉玉珍,台灣股票市場交易制度,證券市場,華泰書局?民國88年,第90~101頁。
     英文部份
     1.Amihud, Y., H. Mendelson and B. Lauterbach, 1997, Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange. Journal of financial Economics 45, 365-390.
     2.Benston, G.J. and R.L. Hagerman, 1978, Risk, Volume and Spread. Financial Analysts Journal Jan-Feb, 46-49.
     3.Berkman, H. and V.R. Eleswarapu, 1998, Short-term traders and liquidity: a test using Bombay Stock Exchange data. Journal of financial Economics 47, 339-355.
     4.Bernstein, P.L., 1987, Liquidity, Stock Markets, and Market Makers. Financial Management Summer, 54-62.
     5.Cason, T.N. and D. Friedman, 1997, Price Formation in Single Call Markets. Economertrica Vol 65 No 2, 311-345.
     6.Chui, C.W. and K.C. Wei, 1997, Liquidity Premium and the Catching-up Effect in a Market without Market Makers: Evidence from the Japanese Stock Market. Working Paper.
     7.Cohen, L.M., Kalman, S. Maier, R.A. Schwartz and D. Whitcomb, 1981, Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread. Journal of Political Economy April, 287-305.
     8.Cooper, K., J.C. Groth and W.E. Avera, 1985, Liquidity, Exchange Listing, and common Stock Performance. Journal of Economics and Business Feberury, 19-33.
     9.Demesetz, H., 1968, The Costs of Transacting. Quarterly Journal of Economics Vol 82, 33-53.
     10.Domowitz, I., 1992, Automating the Price Discovery Process: Some International Comparisons and Regulatory Implications. Journal of Financial Services Research, 305-326.
     11.Economides, N. and R.A. Schwartz, 1995, Electronic Call Market Trading. The Journal of Portfolio Management Spring, 11-18.
     12.Elyasiani, E., H. Hauser, B. Lauterbach, , 2000, Market Response to Liquidity Improvements:Evidence from Exchange Listings. The financial Review 41, 1-14.
     13.Epstein, G., 1996, A New ‘Exchange’ in Arizona Brings an Old Twist to Stock Trading. BARRON’S December, 26.
     14.Friedman, D., 1993, Privileged Traders and Asset Market Efficiency:A Laboratory Study. Journal of financial and Quantitative Analysis Vol 28 No 4, 515-534.
     15.Groth, J.C. and D.A. Dubofsky, 1984, Exchange Listing and Stock Liquidity. Journal of financial Research, 291-302.
     16.Handa, P. and R.A. Schwartz, 1996, How Best to Supply Liquidity to a Securities Market. The Journal of Portfolio Management Winter, 44-51.
     17.Handa, P. and R.A. Schwartz, 1996, Limit Order Trading. The Journal of Finance December, 1835-1861.
     18.Handa, P., R.A. Schwartz and A. Tiwari, 1998, The Ecology of an Order-Driven Market. The Journal of Portfolio Management Winter, 47-55.
     19.Harris, L. and J. Hasbrouch, June 1996, Market vs. Limit Orders: The SuperDot Evidence on Order Submission Strategy. Journal of Financial and Quantitative analysis Vol 31 No 2, 213-231.
     20.Hasbrouck, J., 1999, The Dynamics of Discrete Bid and Ask Quotes. The Journal of finance Vol LIV No 6, 2109-2142.
     21.ISSA (International Securities Services Association)1999 HandBook.
     22.Lehmann B.N. and D.M. Modest, 1994, Trading and Liquidity on the Tokyo Stock Exchange: A Bird’s Eye View. The Journal of Finance Vol XLIX No 3, pp951-984.
     23.Madhavan, A., 1992,Trading Mechanisms in Securities Markets. The Journal of Finance Vol XLVII No 2, 607-641.
     24.Massimb, M.N. and B.D. Phelps, 1994, Electronic Trading, Market Structure and Liquidity. Financial Analysts Journal January-February, 39-50.
     25.Marsh, T. and K. Rock, 1986, Exchange Listing and Liquidity: A Comparison of the American Stock Exchange with the NASDAQ National Market System.: American Stock Exchange Transactions Data Research Project Report #2.
     26.Martin, P., 1975, Analysis of the Impact of Competitive Rates on the Liquidity of NYSE Stocks. Economic Staff Paper, Securities and Exchange Commission.
     27.Schwartz, R.A. and L.M. Cohen, 1993, Reshaping The Equity Markets: A Guide for the 1990s, Business One Irwin, 126-128.
     28.Tinic, S.M. and R.R. West, 1972, Competition and the Pricing of Dealer Service in the OTC Stock Markets. Journal of Financial and Quantitative Analysis June, 1707-1727.		zh_TW