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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/35107


    Title: The Intraday Trading Behavior of TAIEX Option in Taiwan Futures Exchange
    台指選擇權日內交易型態分析
    Authors: 張嘉華
    Chang, Chia-Hua
    Contributors: 郭維裕
    Kuo, Weiyu
    張嘉華
    Chang, Chia-Hua
    Keywords: TAIEX option
    bid-ask spread
    market maker
    quotation quality
    market making
    Date: 2005
    Issue Date: 2009-09-18 14:10:52 (UTC+8)
    Abstract: We study the intraday behavior of bid-ask spreads for actively traded TAIEX option in Taiwan. A study of quality of price quotation offered by market makers is important because the market makers have the responsibilities to keep trading costs low and promote price discovery. Due to the observed wider price quotation from market makers, we find that market makers offer inefficient price quotations to fulfill their obligations under requirement of market making. Moreover, ways of quotation market makers choose, indeed, affect the price quotation of market makers. We also find foreign institutional investors (QFIIs) and market makers bear lower execution cost when they deal on TAIEX option market. Overall, despite the large trading volume and increasing liquidity in TAIEX option, our results suggest that market makers do not play an important role to the market liquidity of TAIEX option market as we thought previously.
    We study the intraday behavior of bid-ask spreads for actively traded TAIEX option in Taiwan. A study of quality of price quotation offered by market makers is important because the market makers have the responsibilities to keep trading costs low and promote price discovery. Due to the observed wider price quotation from market makers, we find that market makers offer inefficient price quotations to fulfill their obligations under requirement of market making. Moreover, ways of quotation market makers choose, indeed, affect the price quotation of market makers. We also find foreign institutional investors (QFIIs) and market makers bear lower execution cost when they deal on TAIEX option market. Overall, despite the large trading volume and increasing liquidity in TAIEX option, our results suggest that market makers do not play an important role to the market liquidity of TAIEX option market as we thought previously.
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    93351023
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093351023
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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