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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/31338


    Title: 新興國家股票市場市場微結構之探討─以巴拿馬股市為例
    Microstructure of Emerging Stock Markets: An Explorary Study of Panama Stock Exchange
    Authors: 陶俐安
    Contributors: 郭維裕
    陶俐安
    Keywords: 巴拿馬股市
    Date: 2006
    Issue Date: 2009-09-14 09:49:23 (UTC+8)
    Abstract: 新興國家股票市場市場微結構之探討
    Emerging markets has being more attractive for investors recently. Moreover, information on these markets is limited especially in the case of Panama. In order to provide investors with information on how to trade in this market, we introduce the trading and communication system of Bolsa de Valores de Panamá. By analyzing the volatility and trading volume of stocks during a period of three months, we conclude that the continuous market might not be suitable for this stock exchange and that government and the private sector should work strategically to increase the liquidity and participants within this market.
    ABSTRACT I
    ACKNOWLEDGEMENTS II
    CHAPTER 1 1
    1.1 INTRODUCTION 1
    1.2 LITERATURE REVIEW 3
    CHAPTER 2 6
    2.1 TRADING 6
    2.1.1 THE BUY AND SELLING SIDE OF THE MARKET 6
    2.1.2 ORDER TYPE 6
    2.2 MICROSTRUCTURE OF MARKETS 7
    2.2.1 CALL VERSUS CONTINUOUS MARKET 9
    2.2.2 EXECUTION SYSTEMS 9
    2.2.3 COMMUNICATION SYSTEMS 10
    2.2.4 CLEARING, SETTLEMENT, AND PAYMENT 12
    2.2.4.1 ORGANIZATIONAL FORM 14
    2.2.4.2 RELATIONSHIP WITH PARTICIPANTS 14
    2.2.4.3 IMMOBILIZED OR DEMATERIALIZED SECURITIES 15
    2.2.4.4 COMPANY OWNERSHIP 15
    2.2.4.5 BALANCE SHEET STRENGTH 16
    2.2.4.6 PRODUCTS AND SERVICES 17
    2.2.4.7 PROCESS AND TECHNOLOGY 17
    2.3 FACTORS AFFECTING THE MICROSTRUCTURE OF MARKETS 18
    2.3.1 REASONS FOR PEOPLE TO TRADE 19
    2.3.3 TRANSACTION COSTS 22
    2.3.4 TYPE OF RISKS 23
    2.3.5 INSTITUTIONALIZATION 25
    2.3.6 COMPETITION 25
    2.3.7 INFORMED TRADERS 26
    2.4 TRANSPARENCY 26
    2.5 POLICY 27
    3.1 COUNTRY PROFILE 29
    3.3 MICROSTRUCTURE OF PANAMA STOCK MARKET (BOLSA DE VALORES DE PANAMA) 35
    3.3.1 MARKET SIZE AND TRADING VOLUME 36
    3.3.2 TRADING HOURS AND TRADING DAYS 37
    3.3.3 TRANSACTION FEES (BROKERAGES FEES AND OTHER TRANSACTION COSTS) 38
    3.4 METHODOLOGY AND DESCRIPTION OF THE DATA 48
    CHAPTER 4 50
    4.1 RESULTS 50
    4.2 DISCUSSION 53
    4.3 CONCLUSION AND SUGGESTIONS 59
    REFERENCES 61
    APPENDIX 1 66



    LIST OF TABLES

    Table 1 Advantages and disadvantages of types of company ownership 16
    Table 2 Degree of Automation in the Price Discovery Process 22
    Table 3 Panama Data Profile 29
    Table 4 Panama Data Profile (II part) 30
    Table 5 Market Size (as of December 2005) 36
    Table 6 Market Size – Part II (as of December 2005) 37
    Table 7 Trading hours and trading days 38
    Table 8 BVP Brokerage fees and other costs 39
    Table 9 Types of orders in BVP 40
    Table 10 Comparison of the Panamanian Clearing and Settlement System to US 47
    Table 11 Standard Deviation of the Sample 50



    List of Figures

    Figure 1 Historical Trading Volume 1998-2006 33
    Figure 2 Structure of Trading Volume by Type of Security 2002 - 2005 34
    Figure 3 Stock Exchange Seats from 1998 - 2006 34
    Figure 4 Trading Volume of the Sample 51
    Figure 5 Trading Mechanism 56
    Reference: 1. Amihud, Y., H. Mendelson, and B. Lauterbach, (1997). Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange. Journal of Financial Economics 45: 365-390.
    2. Bekaert, Geert, and Harvey, Campbell R (2002). Research in Emerging Markets Finance: Looking to the Future. Emerging Markets Review 3(4): 429-448.
    3. Bekaert, Geert, Harvey, Campbell R. and Lundblad, Christian T. (2003). Equity Market Liberalization in Emerging Markets. Journal of Financial Research 26(3): 275-299.
    4. Bolsa de Valores de Panamá:
    a. Manual de Sesiones. http://www.panabolsa.com/sys/upload/files/PDFs/pdfs_generales/Manual_Sesiones_aprobado_Res_5_05_14ene05.pdf (viewed 11/05/2007).
    b. Manual de Tarifas. http://www.panabolsa.com/sys/upload/files/PDFs/pdfs_generales/Manual_Tarifas_Aprobado_por_CNV_2ag02modificado13mar06.pdf (viewed 11/05/2007).
    5. Central Intelligence Agency (June 19th, 2007). Panama. Country Fact Book. https://www.cia.gov/library/publications/the-world-factbook/geos/pm.html (viewed 11/05/2007).
    6. de la Torre, Augusto, Gozzi Juan Carlos and Schmukler, Sergio L. (2007). Capital Market Development: Whither Latin America? World Bank Policy Research Working Paper 4156
    7. Domowitz, Ian. (1992).Automating the Price Discovery Process: Some International Comparissons and Regulatory Implications. Journal of Financial Services Research: 305-326.
    8. Domowitz, Ian, Glen, Jack and Madhavant, Ananth (2001). Global Equity Trading Costs.
    9. Eid, Florence (2006). Private Equity Finance as a Growth Engine: What It Means for Emerging Markets. Business Economics 41(3): 7-22.
    10. Emerging Markets Committee of the International Organization of Securities Commissions (1999). Measures to Disseminate Stock Property.
    11. Glen, G (1994). An Introduction to the Microstructure of Emerging Markets. World Bank International Finance Corporation. Series Papers 24: 36 pages.
    12. Guadamillas, Mario and Keppler, Robert (2001). Securities Clearance and Settlement Systems: How to assess securities clearance and settlement systems, based on international standards and best practices. A Guide to Best Practices. The World Bank Latin America and the Caribbean Region Finance Cluster And Financial Sector Development Department Financial Sector Infrastructure. Policy Research Working Paper 2581: 34 pages
    13. Gilson, Ronald J. Transparency (2000). Corporate Governance and Capital Market. The Latin American Corporate Governance Roundtable São Paulo, Brazil, Organisation for Economic Co-operation and Development in Co-operation with The World Bank Group.
    14. Haque, Mahfuzul; Hassan, Kabir and Varela, Oscar (2001). Stability, Volatility, Risk Premiums, and Predictability in Latin American Emerging Stock Markets, Quarterly Journal of Business and Economics. 40, 3 and 4: 23-44.
    15. Harris, Larry (2003). Trading and Exchanges. Market Microstructure for Practitioners. Oxford University Press.
    16. Joel Hasbrouck, George Sofianos. (1993). The Trades of Market Makers: An Empirical Analysis of NYSE Specialists. The Journal of Finance. 48 (5): 1565-1593.
    17. Kehr Heinrich, Carl, Krahnen, Jan P. and Theissen, Erik. (2001). The Anatomy of a Call Market. Journal of Financial Intermediation 10: 249-270.
    18. Landolt, Joseph (2007). Symposium Report Competition Consolidation Cooperation Wolfsberg, Switzerland. International Security Serivices Association.
    19. Monetary and Capital Markets Department (2007). Panama Assessment of Financial Sector Supervision and Regulation. International Monetary Fund Country Report No. 07/66: 62 pages.
    20. Naranjo, Andy and Porter, Burt (2005). Including Emerging Markets in International Momentum Investment Strategies. Emerging Markets Review 8(2): 147 -166
    21. Organization for Economic Co-Operation and Development (2007). The Importance of Financial Education. Financial Education Policy Brief. OECD
    22. Stehm, Jeff (1996). Clearance and Settlement Systems for Securities Critical Design Choices in Emerging Market Economies .World Bank Discussion Papers 321.
    23. Stoll R., Hans. (1992). Principles of Trading Market Structure. Journal of Financial Services Research 6: 75-107.
    24. The World Bank Group. Key Development Data & Statistics: Panama. http://devdata.worldbank.org/external/CPProfile.asp?PTYPE=CP&CCODE=PAN.(viewed 15/6/2007).
    25. Tokat, Wicas, Yesim, Nelson W. (2004). Investing in Emerging Stock Markets. Journal of Wealth Management 6(2): (68-80).
    26. Thomas Murray Securities Market Profiles: Panama (2007): 13 pages.
    27. Vihang R , Errunza, (1994). Emerging markets: Some new concepts. Journal of Portfolio Management; 20( 3): 82-87
    26. Wood, R.A., T.H. McInish, and J.K. Ord (1985). An Investigation of Transactions Data for NYSE Stocks, Journal of Finance 40: 723-241
    27. Yoo, Jae Hoon (2007). How to Build an Efficient Exchange for Small Firms Financing. Public Policy Journal; 315: 4 pages.
    Description: 碩士
    國立政治大學
    國際經營管理碩士班(IMBA)
    94933034
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094933034
    Data Type: thesis
    Appears in Collections:[國際經營管理英語碩士學程IMBA] 學位論文

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