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來源文獻資料
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外文摘要
引文資料
題名:
The Impacts of Tick Size Reduction in a Market with Multiple Tick Sizes
書刊名:
證券市場發展季刊
作者:
陳鴻崑
/
謝文良
作者(外文):
Chen, Hung-kun
/
Hsieh, Gideon Wen-liang
出版日期:
2017
卷期:
29:3=115
頁次:
頁39-82
主題關鍵詞:
升降單位
;
買賣價差
;
報價深度
;
限價單委託簿
;
Tick size
;
Bid-ask spread
;
Quote depth
;
Entire limit order book
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:6
本文探討縮小股票價格升降單位對臺灣上市公司的市場品質之影響。我們特別檢驗在多級距升降單位的制度下,流動性是否較不受升降單位改變的衝擊。為此,我們重建限價單委託簿的資料,檢視該研究問題。實證結果顯示:縮小股價升降單位將導致買賣價差、報價深度、市場深度大幅下降;但卻對於交易量和股價波動性沒有顯著的影響。就同一升降單位級距內的股票而言,低股價、高市值、和交易頻率較高的個股,其買賣價差、報價深度,以及市場深度受到縮小股價升降單位的影響較為劇烈。比較升降單位不同的個股,原升降單位相對股價較寬的個股和股價升降單位下降程度比較大的個股,在縮減價格升降單位後,流動性減低的現象較明顯。因此,多級距升降單位的制度似乎未能消弭個股市場品質在同級距內或跨級距的差異。整體而言,縮小股價升降單位一方面降低小額交易的成本,但另一方面有損市場流動性提供,對於大型股和交易頻繁的股票損害尤大,其對整體市場的正面效益並不明確。
以文找文
We analyze the impact of tick size reduction on market quality, placing particular focus on whether a multiple tick rule helps to mitigate the impact of a tick rule size reduction in purely order-driven markets. Using a novel dataset covering an entire limit order book, our results suggest that the tick size reduction resulted in substantial declines in effective spread, quote depth, and market depth throughout the limit order book, whereas no significant effects on either trading volume or volatility are discernible. The multiple tick schedule does not eliminate divergence in the market quality for stocks in the same tick size group or across tick size groups. Within the same tick size group, spread and depth are reduced more for those stocks with lower prices, larger capitalization levels, and higher trading frequency. Across tick size groups, the impact of the tick size reduction is found to be stronger for groups where the original tick size was more of a binding constraint and for those groups which experienced a larger (relative) tick size reduction. Overall, our results suggest that a smaller tick size has reduced transaction costs for small trades yet impaired the provision of liquidity, particularly for large trades in high capitalization and more frequently-traded stocks. As a result, the net benefit of the new tick size schedule cannot be confirmed with certainty.
以文找文
期刊論文
1.
Chung, K. H.、Chuwonganant, C.(2002)。Tick Size and Quote Revisions on the NYSE。Journal of Financial Markets,5(4),391-410。
2.
Chung, K. H.、Kim, K. A.、Kitsabunnarat, P.(2005)。Liquidity and Quote Clustering in a Market with Multiple Tick Sizes。Journal of Financial Research,28(2),177-195。
3.
Bessembinder, H.(2000)。Tick size, spreads, and liquidity: An analysis of Nasdaq Securities trading near ten dollars。Journal of Financial Intermediation,9(3),213-239。
4.
Harris, L. E.(1994)。Minimum price variations, discrete bid-ask spreads, and quotation sizes。Review of Financial Studies,7(1),149-178。
5.
Van Ness, R. A.、Van Ness, B. F.、Pruitt, S. W.(2000)。The impact of the reduction in tick increments in major U. S. markets on spreads, depth, and volatility。Review of Quantitative Finance and Accounting,15(2),153-169。
6.
Bourghelle, D.、Declerck, F.(2004)。Why markets should not necessarily reduce the tick size。Journal of Banking & Finance,28(2),373-398。
7.
Lau, S. T.、Mclnish, T. H.(1995)。Reducing tick size on the Stock Exchange of Singapore。Pacific-Basin Finance Journal,3(4),485-496。
8.
Kim, Kenneth A.、Rhee, S. Ghon(1997)。Price Limit Performance: Evidence From the Tokyo Stock Exchange。Journal of Finance,52(2),885-901。
9.
Aitken, M.、Comerton-Forde, C.(2005)。Do Reductions in Tick Sizes Influence Liquidity?。Accounting and Finance,45(2),171-184。
10.
Bacidore, J. M.(1997)。The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange。Journal of Financial Intermediation,6,92-120。
11.
Bollen, Nicolas P. B.、Whaley, Robert E.(1998)。Are "Teenies" Better?。Journal of Portfolio Management,25(1),10-24。
12.
Ahn, H. J.、Cai, J.、Chan, K.、Hamao, Y.(2007)。Tick Size Change and Liquidity Provision on the Tokyo Stock Exchange。Journal of The Japanese and International Economies,21(2),173-194。
13.
Porter, D. C.、Weaver, D. G.(1997)。Tick Size and Market Quality。Financial Management,26(4),5-26。
14.
Bessembinder, H.(1997)。The Degree of Price Resolution and Equity Trading Costs。Journal of Financial Economics,45(1),9-34。
15.
Ke, M. C.、Jiang, C. H.、Huang, Y. S.(2004)。The Impact of Tick Size on Intraday Stock Price Behavior: Evidence from the Taiwan Stock Exchange。Pacific-Basin Finance Journal,12(1),19-39。
16.
Bessembinder, H.(2003)。Trade Execution Costs and Market Quality after Decimalization。Journal of Financial and Quantitative Analysis,38(4),747-777。
17.
White, Halbert(1980)。A Heteroskedastic-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica,48,817-838。
18.
Chan, S. H.、Kim, K. A.、Rhee, S. G.(2005)。Price limit performance: Evidence from transactions data and the limit order book。Journal of Empirical Finance,12(2),269-290。
19.
Ahn, H. J.、Cao, C. Q.、Choe, H.(1996)。Tick size, spread and volume。Journal of Financial Intermediation,5(1),2-22。
20.
Chung, K. H.、Charoenwong, C.、Ding, David K.(2004)。Penny pricing and the components of spread and depth changes。Journal of Banking and Finance,28(12),2981-3007。
21.
Rhee, S. G.、Wang, C. J.(1997)。The bid-ask bounce effect and the spread size effect: Evidence from the Taiwan stock market。Pacific-Basin Finance Journal,5(2),231-258。
22.
Ronen, T.、Weaver, D. G.(2001)。Teenies anyone?。Journal of Financial Markets,4(3),231-260。
23.
Smith, B. F.、Turnbull, D. A. S.、White, R. W.(2006)。The impact of pennies on the market quality of the Toronto stock exchange。The Financial Review,41(2),273-288。
24.
Aitken, M.、Frino, A.(1996)。The Determinants of Market Bid Ask Spreads on the Australian Stock Exchange: Cross-sectional Analysis。Accounting & Finance,36(1),51-63。
25.
Chordia, T.、Subrahmanyam, A.(1995)。Market Making, the Tick Size and Payment-for-order Flow: Theory and Evidence。Journal of Business,68(4),543-575。
26.
Chung, K. H.、Chuwonganant, C.(2004)。Tick Size, Order Handling Rules and Trading Costs。Financial Management,33(1),47-62。
27.
Chung, K. H.、Chuwonganant, C.、Jiang, J.(2008)。The Dynamics of Quote Adjustments。Journal of Banking and Finance,32(11),2390-2400。
28.
Goldstein, M. A.、Kavajecz, K. A.(2000)。Eighths, Sixteenths and Market Depth: Changes in Tick Size on Liquidity Provision on the NYSE。Journal of Financial Economics,56(1),125-149。
29.
Grossman, S. J.、Miller, M. H.(1988)。Liquidity and Ma rket Structure。Journal of Finance,43(3),617-633。
30.
Hsieh, T. Y.、Chuang, S. S.、Lin, C. C.(2008)。The Impact of Tick-size Reduction on Market Liquidity: Evidence from an Emerging Order-driving Market。Review of Pacific Basin Financial Markets and Policies,11(4),591-616。
31.
Jones, C. M.、Lipson, M. L.(2001)。Sixteenths: Direct Evidence on Institutional Execution Costs。Journal of Financial Economics,59(2),253-278。
32.
Seppi, Duane J.(1997)。Liquidity Provision with Limit Orders and Strategic Specialists。Review of Financial Studies,10(1),103-150。
33.
Ahn, Hee-Joon、Bae, Kee-Hong、Chan, Kalok(2001)。Limit Orders, Depth and Volatility: Evidence from the Stock Exchange of Hong Kong。Journal of Finance,56(2),767-788。
34.
Handa, Puneet、Schwartz, Robert A.(1996)。Limit Order Trading。Journal of Finance,51(5),1835-1861。
35.
Copeland, Thomas E.、Galai, Dan(1983)。Information Effects on the Bid-ask Spread。The Journal of Finance,38(5),1457-1469。
36.
Bacidore, J. M.、Battalio, R. H.、Jennings, R. H.(2003)。Order Submission Strategies, Liquidity Supply, and Trading in Pennies on the New York Stock Exchange。Journal of Futures Markets,6(3),337-362。
研究報告
1.
Chan, K. C.、Hwang, C. Y.(2001)。The impact of tick size on the quality of a pure order-driven market: Evidence from the Stock Exchange of Hong Kong。Hong Kong University of Science & Technology。
2.
Ricker, J. P.(1998)。Breaking the Eighth: Sixteenths on the New York Stock Exchange。
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