The Impact of Liquidity Provider on Market Performance in the Taiwan Warrant Market

• Main Authors: Hung-Chih Yeh, 葉鴻志
• Other Authors: Chang Chan
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/18390344063428421682

碩士 === 國立臺北大學 === 合作經濟學系 === 98 === Taiwan warrant market was an order driven market before January 5 2009, Taiwan Stock Exchange decided to implement liquidity provider system to improve the market performance on January 5 2009, the main objective of this article is to understand whether the market performance is significant better or not. The sample is the warrant in the Taiwan stock exchange that exist between July 1 2008 and December 31 2009, there are 110,988,155 order and 13,886,383 transaction data. First, we investigate the market performance with and without the liquidity provider, and we investigate the difference in the market performance between the warrant and the underlie stock, if the former is better than the later, implied that the whole market performance is progressing, but the improvement in the warrant market is larger than underlie stock, and the contribution is liquidity provider. Finally, we use multiple regression to control the related market factors, and add the liquidity provider dummy variable, if the coefficient of the dummy variable is significant, than the liquidity provider can actually improve the market performance. The conclusion is that in the beginning, the pre and post, or the whole sample period, the liquidity, volatility and the efficiency of the warrant market improve significantly due to liquidity provider.