Market Transparency Effect on Liquidity, Volatility and Trading Cost: Empirical on Limited Order Book
碩士 === 淡江大學 === 財務金融學系碩士班 === 96 === In order to elevate market transparency of the information, Taiwan Stock Exchange Corporation (TSEC) started to disclose the best five bids and asks quotations in January 2, 2003. We apply the structural model of Sandas (2001) and use the data of limit order book...
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ndltd-TW-096TKU052140622015-10-13T13:48:18Z http://ndltd.ncl.edu.tw/handle/45792605758520769105 Market Transparency Effect on Liquidity, Volatility and Trading Cost: Empirical on Limited Order Book 市場透明度對流動性、波動性與交易成本的影響:限價委託簿實證 Ya-Chu Yang 楊雅筑 碩士 淡江大學 財務金融學系碩士班 96 In order to elevate market transparency of the information, Taiwan Stock Exchange Corporation (TSEC) started to disclose the best five bids and asks quotations in January 2, 2003. We apply the structural model of Sandas (2001) and use the data of limit order book from TSEC. The empirical mothodology is based on GMM method and the research sample is divided into two different periods. Finally, we also use Panel Data model to observe the relationship between estimated parameter, volatility and liquidity. The empirical results represent that market order flow characterizing the distribution of market buy/sell order quantities. The estimated order processing cost is negative, but this could reflect rational behavior of orders by traders. We also find that the price impact of market orders is positive, presents adverse selection cost is positive. Furthermore, we show that the improvement of market transparency not only decreases the order submission and adverse selection costs but also reduces the level of information asymmetry. When traders submitted the order of Taiwan top 50 constituent stocks, the monitor cost of limit order book is higher. Finally, the results of empirical study on Panel Data model, we find that the individual stock liquidity impact on order submission cost is negative. Then, the market volatility impact on order submission cost is positive. However, the stock volatility impact on adverse selection cost is negative. Chang-Wen Duan 段昌文 2008 學位論文 ; thesis 96 zh-TW |
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NDLTD |
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zh-TW |
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Others
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NDLTD |
description |
碩士 === 淡江大學 === 財務金融學系碩士班 === 96 === In order to elevate market transparency of the information, Taiwan Stock Exchange Corporation (TSEC) started to disclose the best five bids and asks quotations in January 2, 2003. We apply the structural model of Sandas (2001) and use the data of limit order book from TSEC. The empirical mothodology is based on GMM method and the research sample is divided into two different periods. Finally, we also use Panel Data model to observe the relationship between estimated parameter, volatility and liquidity.
The empirical results represent that market order flow characterizing the distribution of market buy/sell order quantities. The estimated order processing cost is negative, but this could reflect rational behavior of orders by traders. We also find that the price impact of market orders is positive, presents adverse selection cost is positive.
Furthermore, we show that the improvement of market transparency not only decreases the order submission and adverse selection costs but also reduces the level of information asymmetry. When traders submitted the order of Taiwan top 50 constituent stocks, the monitor cost of limit order book is higher.
Finally, the results of empirical study on Panel Data model, we find that the individual stock liquidity impact on order submission cost is negative. Then, the market volatility impact on order submission cost is positive. However, the stock volatility impact on adverse selection cost is negative.
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author2 |
Chang-Wen Duan |
author_facet |
Chang-Wen Duan Ya-Chu Yang 楊雅筑 |
author |
Ya-Chu Yang 楊雅筑 |
spellingShingle |
Ya-Chu Yang 楊雅筑 Market Transparency Effect on Liquidity, Volatility and Trading Cost: Empirical on Limited Order Book |
author_sort |
Ya-Chu Yang |
title |
Market Transparency Effect on Liquidity, Volatility and Trading Cost: Empirical on Limited Order Book |
title_short |
Market Transparency Effect on Liquidity, Volatility and Trading Cost: Empirical on Limited Order Book |
title_full |
Market Transparency Effect on Liquidity, Volatility and Trading Cost: Empirical on Limited Order Book |
title_fullStr |
Market Transparency Effect on Liquidity, Volatility and Trading Cost: Empirical on Limited Order Book |
title_full_unstemmed |
Market Transparency Effect on Liquidity, Volatility and Trading Cost: Empirical on Limited Order Book |
title_sort |
market transparency effect on liquidity, volatility and trading cost: empirical on limited order book |
publishDate |
2008 |
url |
http://ndltd.ncl.edu.tw/handle/45792605758520769105 |
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