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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 18-四月-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-Tsung en_US dc.contributor.author (作者) 陳思蓉 zh_TW dc.contributor.author (作者) Tan, Su-Iong en_US dc.creator (作者) 陳思蓉 zh_TW dc.creator (作者) Tan, Su-Iong en_US dc.date (日期) 2001 en_US dc.date.accessioned 18-四月-2016 16:26:14 (UTC+8) - dc.date.available 18-四月-2016 16:26:14 (UTC+8) - dc.date.issued (上傳時間) 18-四月-2016 16:26:14 (UTC+8) - dc.identifier (其他 識別碼) A2002001562 en_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) 88357004 zh_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/#A2002001562 en_US dc.subject (關鍵詞) order flow en_US dc.subject (關鍵詞) market microstructure en_US dc.subject (關鍵詞) Taiwan Stock Exchange en_US dc.title (題名) A Bird`s-eye View of Order Flow Dependence: Evidences in Taiwan Stock Exchange en_US dc.type (資料類型) thesis en_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
