流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究
The purpose of this paper is to compare the liquidity and the components of the bid-ask spread for thinly traded firms switching from a dealer market (Emerging Stock Market (ESM)) to an order driven market (Taiwan Stock Exchanges (TSE) or GreTai Securities Market (GTSM)). Firstly, we follow Christie...
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國立政治大學
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ndltd-CHENGCHI-G00913510342013-01-07T19:27:49Z 流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究 吳佩玟 Wu,Pei-wen 流動性 價差因子分解 Liquidity Bid ask spread spread components The purpose of this paper is to compare the liquidity and the components of the bid-ask spread for thinly traded firms switching from a dealer market (Emerging Stock Market (ESM)) to an order driven market (Taiwan Stock Exchanges (TSE) or GreTai Securities Market (GTSM)). Firstly, we follow Christie and Huang’s (1994) method to measure the liquidity performance. Our finding shows that thinly traded firms could improve their liquidity by switching from a dealer market to an order driven market. Secondly, we apply Huang and Stoll’s (1997) and Lin et al.’s (1995) model to estimate the bid-ask spread components. Our results show that the adverse selection cost is significantly smaller on ESM than TSE or GTSM using both Huang and Stoll’s (1997) and Lin et al.’s (1995) model. The inventory holding cost is lower on ESM than TSE or GTSM estimated by Huang and Stoll’s (1997) model. However, the estimates of order processing cost and the probability of trade reversal do not produce consistent results by applying Huang and Stoll’s (1997) and Lin et al.’s (1995) model. 國立政治大學 http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0091351034%22. text 英文 Copyright © nccu library on behalf of the copyright holders |
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英文 |
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流動性 價差因子分解 Liquidity Bid ask spread spread components |
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流動性 價差因子分解 Liquidity Bid ask spread spread components 吳佩玟 Wu,Pei-wen 流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究 |
description |
The purpose of this paper is to compare the liquidity and the components of the bid-ask spread for thinly traded firms switching from a dealer market (Emerging Stock Market (ESM)) to an order driven market (Taiwan Stock Exchanges (TSE) or GreTai Securities Market (GTSM)). Firstly, we follow Christie and Huang’s (1994) method to measure the liquidity performance. Our finding shows that thinly traded firms could improve their liquidity by switching from a dealer market to an order driven market. Secondly, we apply Huang and Stoll’s (1997) and Lin et al.’s (1995) model to estimate the bid-ask spread components. Our results show that the adverse selection cost is significantly smaller on ESM than TSE or GTSM using both Huang and Stoll’s (1997) and Lin et al.’s (1995) model. The inventory holding cost is lower on ESM than TSE or GTSM estimated by Huang and Stoll’s (1997) model. However, the estimates of order processing cost and the probability of trade reversal do not produce consistent results by applying Huang and Stoll’s (1997) and Lin et al.’s (1995) model. |
author |
吳佩玟 Wu,Pei-wen |
author_facet |
吳佩玟 Wu,Pei-wen |
author_sort |
吳佩玟 |
title |
流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究 |
title_short |
流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究 |
title_full |
流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究 |
title_fullStr |
流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究 |
title_full_unstemmed |
流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究 |
title_sort |
流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究 |
publisher |
國立政治大學 |
url |
http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0091351034%22. |
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