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引文資料
題名:
臺灣券商發行之權證市場品質及造市績效評比
書刊名:
臺大管理論叢
作者:
詹場
/
池祥麟
作者(外文):
Chan, Chang
/
Chih, Hsiang-lin
出版日期:
2014
卷期:
24:S1
頁次:
頁29-59
主題關鍵詞:
市場品質
;
買賣價差
;
權證
;
Market quality
;
Bid-ask spread
;
Warrants
原始連結:
連回原系統網址
相關次數:
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:
1
共同引用:
3
點閱:126
本研究針對台灣各券商發行之權證的市場品質、造市機制實施後各券商發行權證之價差及深度進步幅度、以及各券商造市成效進行評比。由一年半樣本期間、20家券商、8千3百檔權證,共1千2百萬筆日內交易資料所得之評比結果為:1.發行權證之市場品質最佳的5家券商為寶來、凱基、元大、群益及統一;2.造市機制實施後價差及深度進步幅度最大的5家券商為日盛、工銀、元富、統一及兆豐;3.造市成效最佳的5家券商為寶來、工銀、元大、統一及凱基。綜合而言,實施造市機制使得台灣權證市場價差下降2/3,深度提升3倍,平均每年為權證投資人節省63億之交易成本。投資人選擇價差最高的5家券商發行之權證,其交易成本是價差最低的5家券商發行之權證的3.6倍,致使其報酬率減少11%;深度最高的5家券商發行之權證深度是深度最低的5家券商發行權證的6.5倍。
以文找文
In order to improve the liquidity of the warrant market, Taiwan Stock Exchange announced operation directions, requiring the issuer (Securities Firm) of the warrants to perform the market making obligations after 1st January, 2009, i.e., to provide liquidity for the warrants that it issues. The aim of the paper is to evaluate the issuers of the warrants. We explore the following three questions. First, we ask how the market quality of the warrants varies across issuers for our overall sample period between 1st July, 2008 and 31st December, 2009. Second, we compare the market quality of the warrants before and after 1st January, 2009 across issuers, i.e., to examine whether or not the market quality is improved due to the operation directions, and if so, to what extent this goes on across issuers. Third, we examine the performance of the market making across issuers after 1st January, 2009. Our samples consist of twenty securities firms, 8,300 warrants, and about 12,000,000 intraday transaction data. The findings show that the top five issuers with the best market quality for the overall sample period are Polaris, KGI, Yuanta, Capital, and President, respectively; the top five issuers with the biggest improvement in market quality due to the operation directions are Jihsun, IBT, Masterlink, President, and Mega, respectively; the top five issuers with the best market making performance after 1st January, 2009 are Polaris, IBT, Yuanta, President, KGI. In summary, the market making mechanism amazingly reduced the bid-ask spread of the warrant market by nearly two-thirds, increase the depth by three times, and thus save investors the transaction cost about 6.3 billions on average. The transaction cost of the top five issuers with highest bid-ask spread is 3.6 times as high as that of the top five issuers with lowest bid-ask spread. The depth of the top five issuers with highest depth is 6.5 times as high as that of the top five issuers with lowest depth.
以文找文
期刊論文
1.
Braunstein, S.、Welch, C.(2002)。Financial literacy: An overview of practice, research, and policy。Federal Reserve Bulletin,88(11),445-457。
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。
3.
Anand, A.、Weaver, D. G.(2006)。The Value of the Specialist: Empirical Evidence from the CBOE。Journal of Financial Markets,9(2),100-118。
4.
Anand, Amber、Tanggaard, Carsten、Weaver, Daniel G.(2009)。Paying for Market Quality。Journal of Financial and Quantitative Analysis,44(6),1427-1457。
5.
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。
6.
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。
7.
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。
8.
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。
9.
Kedia, S.、Zhou, X.(2011)。Local Market Makers, Liquidity and Market Quality。Journal of Financial Markets,14(4),540-567。
10.
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。
11.
Nimalendran, M.、Petrella, G.(2003)。Do 'Thinly-traded' Stocks Benefit from Specialist Intervention?。Journal of Banking and Finance,27(9),1823-1854。
12.
Venkataraman, K.、Waisburd, A. C.(2007)。The Value of the Designated Market Maker。Journal of Financial and Quantitative Analysis,42(3),735-758。
13.
彭杏珠(2010)。權證投資正熱門:快進快出以小博大。遠見雜誌,293,312-313。
延伸查詢
14.
詹場、胡星陽、池祥麟、葉鴻志、徐崇閔(20131200)。實施造市機制對臺灣權證市場品質之影響。證券市場發展,25(4)=100,1-66。
延伸查詢
15.
Willis, L. E.(2006)。Decision making and the limits of disclosure: The problems of predatory lending price。Maryland Law Review,65(3),707-840。
16.
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。
17.
Christie, William G.、Schultz, Paul H.(1994)。Why Do NASDAQ Market Makers Avoid Odd-eighth Quotes?。The Journal of Finance,49(5),1813-1840。
18.
Glosten, L. R.(1994)。Is the Electronic Open Limit Order Book Inevitable。Journal of Finance,49(4),1127-1162。
19.
Shen, C. H.、Chih, H. L.(2009)。Conflicts of interest in the stock recommendations of investment banks and their determinants。Journal of Financial and Quantitative Analysis,44(5),1149-1171。
20.
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。
21.
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。
22.
Grossman, Sanford J.、Miller, Merton H.(1988)。Liquidity and market structure。Journal of Finance,43(3),617-633。
23.
Barber, Brad M.、Lee, Yi-Tsung、Liu, Yu-Jane、Odean, Terrance(2009)。Just How Much Do Individual Investors Lose by Trading?。The Review of Financial Studies,22(2),609-632。
24.
Demsetz, Harold(1968)。The cost of Transacting。Quarterly Journal of Economics,82(1),33-53。
25.
Leuz, Christian、Nanda, Dhananjay、Wysocki, Peter D.(2003)。Earnings management and investor protection: An international comparison。Journal of Financial Economics,69(3),505-527。
26.
Huang, Y. C.(2004)。The Market Microstructure and Relative Performance of Taiwan Stock Index Futures: A Comparison of the Singapore Exchange and the Taiwan Futures Exchange。Journal of Financial Market,7(3),335-350。
27.
Chou, R. K.、Chung, H.(2006)。Decimalization, Trading Costs, and Information Transmission between ETFs and Index Futures。Journal of Futures Markets,26(2),131-151。
研究報告
1.
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
2.
Lusardi, A.、Mitchell, O. S.、Curto, V.(2009)。Financial literacy and financial sophistication among older consumers。Cambridge, U.S.A:National Bureau of Economic Research。
圖書
1.
Acharya, V. V.、Cooley, T. F.、Richardson, M.、Walter, I.(2011)。Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance。New York, NY:John Wiley & Sons, Inc。
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