Market Return and Liquidity Provision:Evidence from the Taiwan Stock Exchange

碩士 === 國立東華大學 === 國際經濟研究所 === 97 === Applying order-level data to reconstruct the limit order book, this paper examines the relationship between market return and liquidity provision in the Taiwan Stock Exchange. We investigate that liquidity levels respond asymmetrically to positive and negative ma...

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Bibliographic Details
Main Authors: Wei-Shan Chen, 陳葦珊
Other Authors: Chao-Shin Chiao
Format: Others
Language:zh-TW
Published: 2009
Online Access:http://ndltd.ncl.edu.tw/handle/35024164628190179362