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題 名 | 具報價導向交易機制的市場流動性測量--美國NYSE和Nasdaq股市的實證分析=Liquidity Measurement for Markets with Quote-Driven Trading Mechanism: An Empirical Analysis Using Intraday Data of NYSE and Nasdaq |
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作 者 | 劉曦敏; 曾文杰; 陳孝琪; | 書刊名 | 經濟研究. 臺北大學經濟學系 |
卷 期 | 37:2 2001.07[民90.07] |
頁 次 | 頁1-39 |
分類號 | 563.652 |
關鍵詞 | 市場流動性; 報價導向的交易系統; 買賣價差; 深度; Market liquidity; Quote-driven trading system; Bid-ask spread; Depth; |
語 文 | 中文(Chinese) |
中文摘要 | 在報價導向的交易小統中,市場中介人係流動性的提供者,其依據交易環境的變化對隨時調整自己的買方、賣方報價、和願意交易的數量,買賣價差和深度因此會同時影響市場的流動性。但當二者呈同方向變動時,市場流動性的變化方向是無法確定的,流動緎測量的問題故極待解決。Chen et al.(2001)的模型對買賣價差和深度可能同向變動提供了理論上的解釋,我們則順勢建議了以深度深買賣價差的綜合流動性指標。本文利用美國NYSE和Nasdaq股市日內資料,實際驗證了Chen et al.的理論發現,並以所提出的指標來測量市場的流動性。 |
英文摘要 | Market intermediaries are providers of market liquidity in quote-driven trading systems. They quote different bid and ask prices, as well as desired trading quantities according to changing environments of trading. Thus, market liquidity is influenced by the bid-ask spread and depth simultaneously. Since the increase or decrease of market liquidity cannot be sure if the bid-ask spread and depth move in the same direction, the measurement of market liquidity is a problem that needs to be solved. Chen et al.'s (2001) model gives a theoretical explanation about the same-direction spread and depth. We propose a synthetic liquidity index using depth divided by spread accordingly. This article thus examines Chen et al.'s theoretical findings empirically and measures market liquidity based on the proposed index by employing intraday stock data traded in NYSE and Nasdaq. |
本系統中英文摘要資訊取自各篇刊載內容。