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    题名: 資訊揭露前後交易者交易行為與流動性之研究:以台灣股市為例
    其它题名: Trading Behavior and Liquidity around Information Disclosure: The Case of Taiwan Stock Market
    作者: 李志宏
    关键词: 交易行為;流動性;資訊揭露;資訊不對稱
    Trading Behavior;Liquidity;Information Disclosure;Information Asymmetry
    日期: 2002
    上传时间: 2007-04-18 16:41:50 (UTC+8)
    出版者: 臺北市:國立政治大學財務管理學系
    摘要: 本研究的主要目的乃以台灣股市為例,探討資訊揭露前後不同類型的交易者之交易行為,及其對市場流動性的影響及可能扮演的角色。由實證的觀察發現,外資不管在平日或事件日前後,下單積極性在開收盤期間相較盤中呈現較為積極之形態,然國內法人及自然人則在平日與事件日前後則無一致性之下單積極性之趨勢。而值得注意者,三種交易者由平日至事件日前二日、至事件日、再至事件日後二日,呈現下單積極性遞增之現象,似乎在事件日前後有下單愈益積極之趨勢。就市場流動性而言,可觀察到買賣價差呈現倒 J 型之形態,開收盤較高盤中較低,但流動性比率則隨交易時間而遞減,開盤期間依交易成本流動性及深度流動性間呈現較低之現象,此可能與開盤期間資訊不對稱有關。另外,買賣價差在事件日前後較平日為低,但流動性比率則在事件前二日有上升趨勢,但事件日及其後二日,則又呈現下降趨勢。似乎市場流動性在事件日前後並不比平日差。再就三種交易者在提供有效流動性而言,外資扮演最主要的提供者,國內法人次之,而自然人則最低。
    This study examines the trading behavior of three groups of traders including foreign traders, domestic institutional traders, and individual traders before and after information revelation. The evidence shows that foreign traders tend to trade more actively during the open and close periods. Domestic traders and individual traders do not exhibit a consistent trading pattern among event and nonevent periods. Moreover, the evidence also shows that three groups of traders tend to trade more actively around the event days. Observing bid-ask spread and liquidity ratio, we can see that bid-ask spread exhibits a reverse J pattern, highest at the open, the second at the close. Liquidity ratio tends to decrease with trading time, lowest at the close. The evidence seems to show that market liquidity is lowest at the open. Furthermore, Bid-ask spread tends to decrease around event days, comparing with nonevent days. However, liquidity ratio tends to increase right before event days but then decrease at and after event days. The evidence seems to imply market liquidity around event days is not lower than during nonevent periods. Based on the effective liquidity measure, foreign traders are the most important liquidity providers and domestic traders the second. Individual traders play the lowest role in providing liquidity.
    描述: 核定金額:708600元
    数据类型: report
    显示于类别:[財務管理學系] 國科會研究計畫

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