延長交易時間對台灣股市之日內影響

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：71

、訪客IP：3.16.130.96

姓名

范喻茹(Yu-Ju Fan) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

延長交易時間對台灣股市之日內影響
(The Intraday Effect of the Extension of Trading Hours for Taiwanese Securities)

相關論文

★ 買賣價差之拆解－以台灣加權指數期貨與新加坡摩根台股指數期貨為例	★ 在不同模型、分組方式以及貝他估計情況下之Fama和French三因子模型表現
★ 法人日內投資行為及跟隨法人投資策略	★ 結算制度與到期日效應
★ 台灣股市系統性風險之檢定	★ 提前平倉與轉倉策略對股價指數期貨到期日效應之實證:以台灣股票市場為例
★ 指數期貨操縱模型--以台灣股價指數為例	★ 台灣股市日內效果之研究
★ 從日、美看台灣股市的資產定價實證研究	★ 選擇權交易獲利性之分析：以交易資料為例
★ 資訊不對稱與公司特徵:市場微結構觀點	★ 企業商業模式及品牌價值創造—以宏達電為例
★ 企業商業模式及品牌價值創造—以宏碁集團為例	★ 法人期貨與選擇權交易量對市場報酬的影響
★ 台灣市場的關係公司與內部人交易	★ 為什麼台灣公司的現金比率逐年增加?

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本篇論文使用四百二十九家台灣上市公司檢驗二００一年一月一日延長交易時間前後交易量、報酬波動性、買賣價差與價格發現的日內變化，結果發現，交易量與報酬波動性的日內型態在延長交易時間前後皆為典型的U型，在價格發現方面，資訊交易者傾向在開盤交易，尤其在二００一年，實證結果顯示，台灣日內型態開盤是起因 Admati and Peiderer (1988) 的資訊不對稱模型，產生高交易量與低買賣價差，收盤則是起因於 Brock and Kleidon (1992) 模型的隔夜風險，產生高交易量與高買賣價差，然而，延長交易時間並未降低日內型態產生的原因，延長交易時間前後日內型態未改變。

摘要(英)

This paper examines the intraday variation in the trading volume, return volatility, and bid-ask spread for a sample of 429 stocks traded on the Taiwan Stock Exchange during 2000 and 2001. Our purpose is to nd the e ect of the extension of trading hours on January 1, 2001. We nd that intraday trading volume and return volatility are highest at the market open, fall gradually through the day, and widen again at the close in both 2000 and 2001. We also discover that informative trades are more obvious in the beginning of the trading day. The intraday pattern of the Grade, which we rede ne as the bid-ask spread, is lower in the beginning of the
trading day, especially in 2001. The evidence in favor of the two major models of Admati and Peiderer (1988) and Brock and Kleidon (1992) is mixed. We find that the reason for the beginning of the intraday pattern is due to the information asymmetry modeled by Admati and Peiderer (1988) and the reason for the end of the intraday pattern is due to the overnight risk modeled by Brock and Kleidon(1992). However, the patterns show no change after the extension of trading hours, and the reasons for the intraday pattern do not disappear. The extension of trading by 1.5 trading hours does not lower the overnight risk and does not reduce the information asymmetry.

關鍵字(中)

★ 日內型態
★ 交易量
★ 報酬波動性
★ 賣賣價差
★ 價格發現

關鍵字(英)

★ Bid-Ask Spread
★ Intraday Pattern
★ Trading Volume
★ Return Volatility

論文目次

1 Introduction ...............................................................1
2 Institutional Background and Hypothesis.................................... 2
2.1 Institutional background................................................. 2
2.2Hypothesis.................................................................3
3 The Data Set and Methodology................................................6
3.1 The Data Set..............................................................6
3.2 The Methodology...........................................................6
4 Empirical Results..........................................................10
4.1 Intraday Patterns........................................................10
4.2 Intraday Patterns for Size...............................................13
4.3 Robustness...............................................................16
5 Conclusion.................................................................17

參考文獻

Lin, Bing-Ron (2002), "週休二日暨延長股市交易時間對台灣股市之影響", 碩士論文, 中山大學財務管理研究所
Abhyankar, A., D. Ghosh, E. Levin, and R.J. Limmack (1997), "Bid-Ask Spreads,
Trading Volume and Volatility: Intra-day Evidence from the Lodon Stock Ex-
change", Journal of Business Finance and Accounting, 24(3 and 4), 343-362.
Admati, Anat R. and Paul Peiderer (1988), "A Theroy of Intraday Patterns: Volume and Price Variability", The Review of Financial Studies, 1(1), 3-40.
Barclay, Michael J.and Warner Jerold B. (1993), "Stealth trading and Volatility: Which Trades Move Prices?", Journal of Financial Economics, 34(3), 281-305.
Brock, William A. and Allan W. Kleidon (1992), "Periodic Market Closure and Trading Volume: a Model of Intraday Bids and Asks", Journal of Economic Dynamics and Control, 16(3), 451-489.
Cao, Charles, Eric Ghysels, and Frank Hatheway (2000), "Price Discovery without
Trading: Evidence from the Nasdaq Preopening", Journal of Finance, 56(3), 1339-
1365.
Chan, Y. Peter Chung and Herb Johnson (1995), "The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options", Journal of Financial and
Quantitative Analysis, 30(3), 329-346.
Chan K.C., William G. Christie and Paul H. Schultz (1995), "Market Structure and the Intraday Pattern of Bid-Ask Spreads of NASDAQ Securities", Journal of Business, 68(1), 36-60.
Cohen, K., S. Maier, R. Schwartz, and D. Withcomb (1981), "Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread", Journal of Political Economy, 89(2), 287-305.
Gerety, Mason and J. Harold Mulherin (1992), "Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close", Journal of Finance, 47(5), 1765-1811.
Glosten, Lawrence R. (1994), "Is the Electronic Open Limit Order Book Inevitable?", Journal of Finance, 49(4), 1127-1161.
Hamao, Yasushi and Joel Hasbrouck (1995), "Securities Trading in the Absence of
Dealers: Trades and Quotes on the Tokyo Stock Exchange", Review of Financial
Studies, 8(3), 849-878.
Hansen, Lars Peter (1982), "Large Sample Properties of Generalized Method of Moments Estimators", Econometrica, 50(4), 1029-1054.
Harris, L. (1986), "A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns", Journal of Financial Economics, 16, 99-118.
Houstion, Joel F. and Michael D. Ryngaert (1992), "The Links Between Trading
Time and Market Volatility", The Journal of Financial Research, 15(2), 91-100.
Huang, Yen-Sheng (1997), "The Size Anomaly on the Taiwan Stock Exchange", Applied Economics Letters, 4(1), 7-12.
Huang, Yen-Sheng, Dih-Young Liu, and Tze-Wei Fu (2000), "Stock Price Behavior over Trading and Non-trading Periods: Evidence from the Taiwan Stock Exchange", Journal of Business Finance and Accounting, 27(5 and 6), 575-602.
Jain, Prem C. and Gun-Ho Joh (1988), "The Dependence between Hourly Price and
Trading Volume", Journal of Financial and Quantitive Analysis, 23(3).
Ma, Tai and I-Ling Liao (2000), "Trading Time, Informaiton Trading and Stock
Market Performance: Empirical Evidence of Exchange Holidays in Taiwan Stock
Market", Journal of Financial Studies, 8(3), 79-105.
Madhavan, Ananth (1992), "Trading Mechanisms in Security Markets", Journal of
Finance, 47(2), 607-642.
McInish, Thomas H. and Robert A. Wood (1992), "An Analysis of Intraday Patterns
in Bid/Ask Spreads for NYSE Stocks", Journal of Finance, 47(2), 753-764.
Newey, W. and K. West (1987), "A Simple Positive Semi-Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55, 703-708.
Rhee, S. Ghon and Chi-Jeng Wang (1997), "The Bid-Ask Bounce E ect and The
Spread Size E ect: Evidence from the Taiwan Stock Market", Pacific-Basin Finance Journal, 5(2), 231-258.
Slezak, Steve L. (1994), "A Theory of the Dynamics of Security Returns Around
Market Closures", Journal of Finance, 49(4), 1163-1211.
Wood, Robert A., Thomas H. McInish, and J. Keith Ord (1985), "An Investigation
of Transactions Data for NYSE", Journal of Finance, 40(3), 723-739.

指導教授

賴弘能(Hung-Neng Lai)

審核日期

2004-6-29

推文