The Impact of Liquidity Provider on Market Performance in the Taiwan Warrant Market
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...
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ndltd-TW-098NTPU01310122015-10-13T19:06:45Z http://ndltd.ncl.edu.tw/handle/18390344063428421682 The Impact of Liquidity Provider on Market Performance in the Taiwan Warrant Market 臺灣權證市場流動性供給者對市場績效之影響 Hung-Chih Yeh 葉鴻志 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. Chang Chan 詹場 2010 學位論文 ; thesis 100 zh-TW |
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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.
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author2 |
Chang Chan |
author_facet |
Chang Chan Hung-Chih Yeh 葉鴻志 |
author |
Hung-Chih Yeh 葉鴻志 |
spellingShingle |
Hung-Chih Yeh 葉鴻志 The Impact of Liquidity Provider on Market Performance in the Taiwan Warrant Market |
author_sort |
Hung-Chih Yeh |
title |
The Impact of Liquidity Provider on Market Performance in the Taiwan Warrant Market |
title_short |
The Impact of Liquidity Provider on Market Performance in the Taiwan Warrant Market |
title_full |
The Impact of Liquidity Provider on Market Performance in the Taiwan Warrant Market |
title_fullStr |
The Impact of Liquidity Provider on Market Performance in the Taiwan Warrant Market |
title_full_unstemmed |
The Impact of Liquidity Provider on Market Performance in the Taiwan Warrant Market |
title_sort |
impact of liquidity provider on market performance in the taiwan warrant market |
publishDate |
2010 |
url |
http://ndltd.ncl.edu.tw/handle/18390344063428421682 |
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