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題名：實施造市機制對臺灣權證市場品質之影響
書刊名：證券市場發展季刊
作者：詹場 引用關係／胡星陽 引用關係／池祥麟 引用關係／葉鴻志／徐崇閔
作者(外文)：Chan, Chang／Hu, Shing-yang／Chih, Hsiang-lin／Yeh, Hung-chih／Hsu, Chung-min
出版日期：2013
卷期：25:4=100
頁次：頁1-66
主題關鍵詞：造市機制；市場品質；價差；深度；臺灣權證市場；Market maker mechanism；Market quality；Spread；Depth；Taiwan warrant market
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(4) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:50
  • 點閱點閱:129
期刊論文
1.黃玉娟、陳嘉琳(20040100)。買賣價差之分解-TAIFEX與SGX-DT之比較。管理評論，23(1)，49-72。new window  延伸查詢new window
2.Barclay, M.(1997)。Bid-Ask Spreads and the Avoidance of Odd-Eighth Quotes on NASDAQ: An Examination of Exchange Listings。Journal of Financial Economics，45(1)，35-60。  new window
3.李志宏(19990900)。交易制度對價格執行及資訊解析之影響：以SIMEX及OSE為例。證券市場發展季刊，11(1)=41，1-24。new window  延伸查詢new window
4.胡德中、詹傑仲、馬黛(20050700)。政府干預股市的影響：市場品質變化的觀點。企銀季刊，28(3)，33-56。  延伸查詢new window
5.黃玉娟(1999)。報酬與波動性動態關連之研究--摩根臺股指數與指數期貨之探討。國科會研究彙刊，9(1)，153-162。  延伸查詢new window
6.蕭朝興、王子湄、尤靜華、薛立欣(20100600)。臺灣股市調降升降單位對投資人委託策略、流動性供給與執行品質的影響。臺大管理論叢，20(2)，273-305。new window  延伸查詢new window
7.蕭朝興、王子湄、蘇建豐(20100100)。臺灣股市縮小升降單位對價格群聚與市場流動性的影響。管理與系統，17(1)，75-106。new window  延伸查詢new window
8.Anand, A.、Weaver, D. G.(2006)。The Value of the Specialist: Empirical Evidence from the CBOE。Journal of Financial Markets，9(2)，100-118。  new window
9.Anand, Amber、Tanggaard, Carsten、Weaver, Daniel G.(2009)。Paying for Market Quality。Journal of Financial and Quantitative Analysis，44(6)，1427-1457。  new window
10.Battalio, R.、Hatch, B.、Jennings, R.(2004)。Does a National Market System Exist for U.S. Exchange-Listed Equity Options? An Analysis of Multiple-Traded Equity Options。Journal of Finance，59，933-962。  new window
11.Benston, G. J.、Wood, R. A.(2008)。Why Effective Spreads on NASDAQ Were Higher than on the New York Stock Exchange in the 1990s?。Journal of Empirical Finance，15，17-40。  new window
12.Benveniste, L. M.、Marcus, A. J.、Wilhelm, W. J.(1992)。What's Special About the Specialist?。Journal of Financial Economics，32，61-86。  new window
13.Besembinder, H.(1999)。Trade Execution Costs on NASDAQ and the NYSE: A Post-reform Comparison。Journal of Financial and Quantitative Analysis，34，387-407。  new window
14.Boulatov, A.、Hatch, B. C.、Johnson, S. A.、Lei, A. Y. C.(2009)。Dealer Attention, the Speed of Quote Adjustment to Information, and Net Dealer Revenue。Journal of Banking and Finance，33，1531-1542。  new window
15.Cao, C.、Choe, H.、Hatheway, F.(1997)。Does the Specialist Matter? Differential Execution Costs and Intersecurity subsidation on the NYSE。Journal of Finance，52，1615-1640。  new window
16.Chacko, G. C.、Jurek, J. W.、Stafford, E.(2008)。The Price of Immediacy。Journal of Finance，63，1253-1290。  new window
17.Chang, M. C.、Wong, W. K.(2008)。The Role of Market Makers on the Taiwan Options Markets。International Research Journal of Finance and Economics，22，122-134。  new window
18.Christie, W. G.、Schultz, P.(1994)。Why do NASDAQ Market Makersavoid Odd-eighth Quotes。Journal of Finance，9，1813-1840。  new window
19.Christie, W. G.、Huang, R. D.(1993)。Market Structures and Liquidity: a Transactions Data Study of Exchange Listings。Journal of Financial Intermediation，3，300-326。  new window
20.Comerton-forde, C.、Hendershott T.、Jones, C. M.、Moulton, P. C.、Seasholes, M. S.(2010)。Time Variation in Liquidity The Role of Market-Maker Inventories and Revenues。Journal of Finance，65(1)，295-331。  new window
21.De Fontnouvelle, P.、Fishe, R.、Harris, J.(2003)。The Behavior of Bid-ask Spreads and Volume in Options Markets During the Competition for Listings in 1999。Journal of Finance，58，2437-2464。  new window
22.Diether, K. B.、Lee, K. H.、Werner, I. M.(2009)。Short-Selling Strategies and Return Predictability。Review of Finance Studies，22(2)，575-607。  new window
23.Dutta, P.、Madhavan, A.(1997)。Competition and Collusion in Dealer Markets。Journal of Finance，52，245-276。  new window
24.Eldor, R.、Hauser, S.、Pilo, B.、Shurki, I.(2006)。The Contribution of Market Makers to Liquidity and Efficiency of Options Trading in Electronic Markets。Journal of Banking and Finance，30(7)，2025-2040。  new window
25.Frino, A.、Gerace, D.、Lepone, A.(2008)。Liquidity in Auction and Specialist Market Structures: Evidence from the Italian Bourse。Journal of Banking and Finance，32(12)，2581-2588。  new window
26.Glosten, L.(1994)。Is the Electronic Open Limit Order Book Inevitable?。Journal of Finance，49，1127-1161。  new window
27.Godek, P. E.(1996)。Why Nasdaq Market Makers Avoid Odd-eighth Quotes。Journal of Financial Economics，41，465-474。  new window
28.Ho, T. S. Y.、Maoris, R. G.(1984)。Dealer Bid-Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options。Journal of Finance，39，23-45。  new window
29.Huang, Y. C.(2004)。The Components of Bid-Ask Spread and their Determinants: TAIFEX versus SGX-DT。Journal of Futures Markets，24(9)，835-860。  new window
30.Huang, Y. C.、Chou, J. H.(2007)。Order Imbalance and Its Impact on Market Performance: Order-driven vs. Quote-driven Markets。Journal of Business Finance and Accounting，34，1596-1614。  new window
31.Huang, Y. C.、Tsai, P. L.(2008)。Effectiveness of Closing Call Auctions: Evidence from the Taiwan Stock Exchange。Emerging Markets Finance and Trade，44，5-20。  new window
32.Kedia, S.、Zhou, X.(2011)。Local Market Makers, Liquidity and Market Quality。Journal of Financial Markets，14(4)，540-567。  new window
33.Khwaja, A. I.、Mian, A.(2005)。Unchecked Intermediaries: Price Manipulation in an Emerging Stock Market。Journal of Financial Economics，78，203-241。  new window
34.Lai, H. N.(2007)。The Market Quality of Dealer Versus Hybrid Markets The Case of Moderately Liquid Securities。Journal of Business Finance and Accounting，34(1-2)，349-373。  new window
35.Lee, H. C.、Chien, C. Y.、Hsieh, Y. F.、Huang, Y. S.(2009)。Auction Designs and Futures Price Behavior: Evidence from the Taiwan Futures Market。Review of Futures Markets，3，295-316。  new window
36.Lee, J. H.、Chon, R. K.(2004)。The Intraday Stock Return Characteristics Surrounding Price Limit Hits。Journal of Multinational Financial Management，14，485-501。  new window
37.Lee, J. H.(2000)。The Effects of Price Limits on Overreaction and Information asymmetry: Evidence from the Taiwan Stock Market。Advances in Pacific Basin Financial Markets，6，57-69。  new window
38.Liu, Y. J.(1995)。The Impact of Trading Mechanisms on the Transmission of Information Across International Stock Markets。Research in International Business and Finance，12，203-227。  new window
39.Lius, Y. J.(1996)。Auction Mechanisms and Information Structure: An Experimental Study of Information Aggregation in Securities Markets。Research in Experimental Economics，6，165-212。  new window
40.Liu, Y. J.、Liu, V. W.、Wu, C. S.(1997)。The Impact of Information Diffusion on Comparisons among Various Trading Mechanisms。Review of Quantitative Finance and Accounting，9，301-326。  new window
41.Ma, T.(1993)。Price Limits, Margin Requirements and Stock Market Volatility。Research in International Business and Finance，5，229-252。  new window
42.Mayhew, S.(2002)。Competition, Market Structure and Bid-ask Spreads in Stock Options Markets。Journal of Finance，57，931-958。  new window
43.Neal, R.(1992)。A Comparison of Transaction Costs Between Competitive Market Maker and Specialist Market Structures。The Journal of Business，65(3)，317-334。  new window
44.Nimalendran, M.、Petrella, G.(2003)。Do 'Thinly-traded' Stocks Benefit from Specialist Intervention?。Journal of Banking and Finance，27(9)，1823-1854。  new window
45.Pagano, Marco、Röell, Ailsa(1992)。Auction and Dealership Markets: What is the difference?。European Economic Review，36(2/3)，613-623。  new window
46.Parlour, C. A.、Seppi, D. J.(2003)。Liquidity-Based Competition for Order Flow。Review of Financial Studies，16(2)，301-343。  new window
47.Seppi, D.(1997)。Liquidity Provision with Limit Orders and a Strategic Specialist。Review of Financial Studies，10，103-150。  new window
48.Theissen, E.(2000)。Market Structure, Informational Efficiency and Liquidity: An Experimental Comparison of Auction and Dealer Markets。Journal of Financial Markets，3，333-363。  new window
49.Venkataraman, K.、Waisburd, A. C.(2007)。The Value of the Designated Market Maker。Journal of Financial and Quantitative Analysis，42(3)，735-758。  new window
50.Viswanathan, S.、Wang, J. J. D.(2002)。Market Architecture: Limit-order Books Versus Dealership Markets。Journal of Financial Markets，5，127-167。  new window
51.邱正仁、詹場(19920400)。資訊科技對臺灣證券市場變動性之影響。會計評論，26，24-46。new window  延伸查詢new window
52.黃玉娟、陳培林、鄭堯任(20070400)。交易機制改變對市場績效之影響：透明度與撮合頻率之探討。證券市場發展，19(1)=73，133-158。new window  延伸查詢new window
53.Lang, L. H. P.、Lee, Y. T.(1999)。Performance of various transaction frequencies under call markets: The case of Taiwan。Pacific-Basin Finance Journal，7(1)，23-39。  new window
54.Huang, Y. Sheng、Fu, T. W.、Ke, M. C.(2001)。Daily Price Limits and Stock Price Behavior: Evidence from the Taiwan Stock Exchange。International Review of Economics and Finance，10(3)，263-288。  new window
55.Bloomfield, R.、O'Hara, M.、Saar, G.(2005)。The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity。Journal of Financial Economics，75(1)，165-199。  new window
56.Kandel, E.、Marx, L.(1997)。NASDAQ Market Structure and Spread Patterns。Journal of Financial Economics，45，61-89。  new window
57.Huang, R. D.、Stoll, H. R.(1996)。Dealer Versus Auction Markets: a Paired Comparison of Execution on NASDAQ and the NYSE。Journal of Financial Economics，41(3)，313-357。  new window
58.Keim, D.、Madhavan, A.(1997)。Transactions Costs and Investment Style: An Inter-Exchange Analysis of Institutional Equity Trades。Journal of Financial Economics，46(3)，265-292。  new window
59.黃玉娟、黃珮鈴、梁心怡、黃詩雅(20040300)。臺灣股價指數現貨與期貨價格領先落後關係之探討--以TAIFEX與SGX-DT為例。輔仁管理評論，11(1)，125-152。new window  延伸查詢new window
60.Grossman, Sanford J.、Miller, Merton H.(1988)。Liquidity and market structure。Journal of Finance，43(3)，617-633。  new window
61.丘駿飛、劉維琪、吳欽杉(19950300)。臺灣證券交易所交易機制對股價之影響。中山管理評論，3(1)，51-79。new window  延伸查詢new window
62.黃彥聖、姜清海、柯美珠(19991200)。漲跌幅限制下均衡價格的估計與過度反應假說之檢定。中國財務學刊，7(3)，27-59。new window  延伸查詢new window
63.黃玉娟、林明白(20030800)。買賣單不平衡、價差和報酬之探討：以臺指期貨在臺灣期貨交易所及新加坡交易所為例。財務金融學刊，11(2)，71-98。new window  延伸查詢new window
64.Chang, R. P.、Hsu, S. T.、Huang, N. K.、Rhee, S. G.(1999)。The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange。Journal of Business Finance and Accounting，26(1/2)，137-170。  new window
65.Chow, Edward H.、Lee, Jie-Haun、Shyy, Gang(1996)。Trading mechanisms and trading preferences on a 24-hour futures market: A case study of the Floor/GLOBEX switch on MATIF。Journal of Banking & Finance，20(10)，1695-1713。  new window
66.劉玉珍、周行一、潘璟靜(19961000)。臺灣股市價格限制與交易行為。中國財務學刊，4(2)，41-60。new window  延伸查詢new window
67.劉維琪、吳欽杉、劉玉珍(19900400)。競價制度對股市變現能力影響之模擬研究。社會科學論叢，38，107-129。  延伸查詢new window
68.馬黛、廖怡玲(20001200)。交易時間、交易行為與股市績效：臺灣股市隔週休二日之實證。中國財務學刊，8(3)，79-105。new window  延伸查詢new window
69.Affleck-Graves, John、Hedge, Shantaram P.、Miller, Robert E.(1994)。Trading mechanisms and the components of the bid-ask spread。The Journal of Finance，49，1471-1488。  new window
70.Chou, R. K.、Lee, J.-H.(2002)。The Relative Efficiencies of Price Execution Between the Singapore Exchange and the Taiwan Futures Exchange。Journal of Futures Markets，22(2)，173-196。  new window
71.Garbade, Kenneth D.、Silber, William L.(1979)。Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk。Journal of Finance，34(3)，577-593。  new window
72.Domowitz, I.、Glen, J.、Madhavan, A.(2001)。Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time。International Finance，4(2)，221-255。  new window
73.Bessembinder, Hendrik、Kaufman, Herbert M.(1997)。A comparison of trade execution costs for NYSE and NASDAQ-listed stocks。Journal of Financial and Quantitative Analysis，32，287-310。  new window
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75.邱正仁、詹場(19930400)。資訊科技對臺灣證券市場流動性之影響。會計評論，27，25-46。new window  延伸查詢new window
76.詹場、池祥麟(20140900)。臺灣券商發行之權證市場品質及造市績效評比。臺大管理論叢，24(S1)，29-59。new window  延伸查詢new window
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研究報告
1.李志宏、周行一、詹場(2008)。我國期貨交易撮合制度之變革對市場效率性與投資人委託交易之影響。  延伸查詢new window
2.李志宏、詹場(2008)。我國市場盤中個股競價究應採集合競價或逐筆交易暨不同競價方式最適引進委託種類之建議。  延伸查詢new window
3.李志宏、詹場(2011)。臺灣權證商品交易由集合競價改為逐筆交易之成效評估。  延伸查詢new window
4.周行一、劉玉珍、李志宏、李怡宗(2000)。我國集中市場採行集合競價與逐筆競價兩種制度之比較及對證券市場之影響。  延伸查詢new window
5.劉玉珍、李怡宗、李翎竹、林劭杰(2004)。造市者制度效益評估與檢討。台北。  延伸查詢new window
 
 
 
 
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