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題名 A Bird`s-eye View of Order Flow Dependence: Evidences in Taiwan Stock Exchange
作者 陳思蓉
Tan, Su-Iong
貢獻者 劉玉珍<br>李怡宗
Liu, Yu-Jane<br>Lee, Yi-Tsung
陳思蓉
Tan, Su-Iong
關鍵詞 order flow
market microstructure
Taiwan Stock Exchange
日期 2001
上傳時間 18-Apr-2016 16:26:14 (UTC+8)
摘要 本論文研究目標為：1. 描述台灣股票市場中訂單簿（order book）的若干特徵。2. 分析訂單流 (order flow) 與訂單簿間交互作用的均衡關係。 3. 探討流動性消耗者與流動性提供者如何進出市場而維持市場機能。
參考文獻 Ahn, Hee-Joon, Bae, Kee-Hong and Chan, Kalok, 2000, Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong, The Journal of Finance, Forthcoming 2000.
     Al-Suhaibani, Mohammed and Kryzanowski, Lawrence 2000, An Exploratory Analysis of the Order Book, and Order Flow and Execution on the Saudi Stock Market, Journal of Banking and Finance 24, 1323-1357.
     Biais, Bruno, Hillion, Pierre and Spatt, Chester, 1995, An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, The Journal of Finance 50, Number 5, 1655-1689.
     Brockman, Paul and Chung, Dennis Y. 1999, An Analysis of Depth Behavior in an Electronic Order-driven Environment, Journal of Banking and Finance 23, 1861-1886.
     Brown, Philip, Walsh, David, and Yuen Andrea, 1997, The Interaction between Order Imbalance and Stock Price, Pacifi-Basin Finance Journal 5, 539-557.
     Chan, Kolok, and Fong Wai-Ming, 2000, Trade Size, Order Imbalance and the Volatility-volume Relation, Journal of Financial Economics 57, 247-273.
     Chou, Robin K, and Handa, Puneet, 2000, The Response of Security Markets to Order Imbalance: NYSE vs. Nasdaq, Working Paper.
     Chung, Kee H., Van Ness, Bonnie F. and Van Ness, Robert A. 1999, Limit Orders and the Bid-ask Spread, Journal of Financial Economics 53, 255-287.
     Easley, Kiefer, and O’Hara, 1997, One Day in the Life of a Very Common Stock, The Review of Financial Studies 10-3, 805-835.
     Foucault, Thierry, 1999, Order Flow Composition and Trading Costs in a Dynamic Limit Order Market, Journal of Financial Markets 2, 99-134.
     Hedvall, Kaj and Niemeyer, Jonas 1997, Order Flow Dynamics: Evidence form the Helsinky Stock Exchange, Working Paper.
     Handa, Puneet, and Schwartz, Robert, 1996, How Best to Supply Liquidity to A Securities Market, The Journal of Portfolio Management, Winter, 44-51.
     Hanada, Puneet, Schwartz, Robert A. and Tiwari, Ashish, 1998, The Ecology of an Order-driven Market, Journal of Portfolio Management 24, Issue 2, 47-55.
     Niemeyer, Jonas and Sandas, Patrik, 1993, An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange, Journal of Multinational Financial Management 3, 63-101.
     Seppi, Duane J., 1997, Liquidity Provision with Limit Orders and a Strategic Specialist, The Review of Financial Studies 10, Number 1, 103-150.
描述 碩士
國立政治大學
財務管理研究所
88357004
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001562
資料類型 thesis
dc.contributor.advisor 劉玉珍<br>李怡宗zh_TW
dc.contributor.advisor Liu, Yu-Jane<br>Lee, Yi-Tsungen_US
dc.contributor.author (Authors) 陳思蓉zh_TW
dc.contributor.author (Authors) Tan, Su-Iongen_US
dc.creator (作者) 陳思蓉zh_TW
dc.creator (作者) Tan, Su-Iongen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:26:14 (UTC+8)-
dc.date.available 18-Apr-2016 16:26:14 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:26:14 (UTC+8)-
dc.identifier (Other Identifiers) A2002001562en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85352-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 88357004zh_TW
dc.description.abstract (摘要) 本論文研究目標為：1. 描述台灣股票市場中訂單簿（order book）的若干特徵。2. 分析訂單流 (order flow) 與訂單簿間交互作用的均衡關係。 3. 探討流動性消耗者與流動性提供者如何進出市場而維持市場機能。zh_TW
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     1. Introduction
     2. The Trading Process in Taiwan Stock Exchange
     3. Market Conditions, Descriptions of Data, Empirical Design
     4. Empirical Results
     4.1. Trades and Transitory Price Return
     4.2. Order Book before Execution
     4.3. Order Book after Execution
     4.4. New Orders and Executed Orders
     4.5. The Interactions between State of Order Book and Order Flows
     5. Conclusions
     Reference
     Figure & Table
     Appendix		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001562en_US
dc.subject (關鍵詞) order flowen_US
dc.subject (關鍵詞) market microstructureen_US
dc.subject (關鍵詞) Taiwan Stock Exchangeen_US
dc.title (題名) A Bird`s-eye View of Order Flow Dependence: Evidences in Taiwan Stock Exchangeen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ahn, Hee-Joon, Bae, Kee-Hong and Chan, Kalok, 2000, Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong, The Journal of Finance, Forthcoming 2000.
     Al-Suhaibani, Mohammed and Kryzanowski, Lawrence 2000, An Exploratory Analysis of the Order Book, and Order Flow and Execution on the Saudi Stock Market, Journal of Banking and Finance 24, 1323-1357.
     Biais, Bruno, Hillion, Pierre and Spatt, Chester, 1995, An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, The Journal of Finance 50, Number 5, 1655-1689.
     Brockman, Paul and Chung, Dennis Y. 1999, An Analysis of Depth Behavior in an Electronic Order-driven Environment, Journal of Banking and Finance 23, 1861-1886.
     Brown, Philip, Walsh, David, and Yuen Andrea, 1997, The Interaction between Order Imbalance and Stock Price, Pacifi-Basin Finance Journal 5, 539-557.
     Chan, Kolok, and Fong Wai-Ming, 2000, Trade Size, Order Imbalance and the Volatility-volume Relation, Journal of Financial Economics 57, 247-273.
     Chou, Robin K, and Handa, Puneet, 2000, The Response of Security Markets to Order Imbalance: NYSE vs. Nasdaq, Working Paper.
     Chung, Kee H., Van Ness, Bonnie F. and Van Ness, Robert A. 1999, Limit Orders and the Bid-ask Spread, Journal of Financial Economics 53, 255-287.
     Easley, Kiefer, and O’Hara, 1997, One Day in the Life of a Very Common Stock, The Review of Financial Studies 10-3, 805-835.
     Foucault, Thierry, 1999, Order Flow Composition and Trading Costs in a Dynamic Limit Order Market, Journal of Financial Markets 2, 99-134.
     Hedvall, Kaj and Niemeyer, Jonas 1997, Order Flow Dynamics: Evidence form the Helsinky Stock Exchange, Working Paper.
     Handa, Puneet, and Schwartz, Robert, 1996, How Best to Supply Liquidity to A Securities Market, The Journal of Portfolio Management, Winter, 44-51.
     Hanada, Puneet, Schwartz, Robert A. and Tiwari, Ashish, 1998, The Ecology of an Order-driven Market, Journal of Portfolio Management 24, Issue 2, 47-55.
     Niemeyer, Jonas and Sandas, Patrik, 1993, An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange, Journal of Multinational Financial Management 3, 63-101.
     Seppi, Duane J., 1997, Liquidity Provision with Limit Orders and a Strategic Specialist, The Review of Financial Studies 10, Number 1, 103-150.		zh_TW