買賣單不均衡與價差形態之實證研究

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姓名

陳美(Mei Chen ) 查詢紙本館藏

畢業系所

財務管理研究所

論文名稱

買賣單不均衡與價差形態之實證研究
(Order Imbalance and Spread Patterns: An Empirical Investigation of ECNs and Market Makers)

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摘要(英)

We use Nasdaq stocks to examine the spread patterns of Electronic Communication Networks (ECNs) and market maker markets under order imbalances. ECNs are order-driven markets while market maker markets are dealer-driven markets. After adopting Order Handling Rules in 1997, the Nasdaq Stock Market has become a hybrid market with quote-driven (market makers) and order-driven (ECNs) trading systems.
We find interesting results. Spreads are smaller in ECNs than those in market maker markets. Spreads decrease as the participation rate of ECNs increases. The participation rate of ECNs is measured as accumulated quotes from ECNs over total quotes from both market makers and ECNs. We also find that the spread patterns are near flat regardless of the order imbalance conditions in ECNs. However, in the market maker markets, the spreads are maximized when orders are balanced and minimized when orders are imbalanc

關鍵字(中)

★ 價差
★ 市場創造者
★ 買賣單不均衡
★ 電子化交易

關鍵字(英)

★ ECNs
★ market maker
★ order imbalance
★ spread

論文目次

1. Introduction1
2. Overview of trading mechanisms in Nasdaq5
2.1 Trade execution in Nasdaq5
2.2 Nasdaq market makers6
2.3 Electronic communication networks (ECNs)7
2.3.1 Introduction7
2.3.2 Limit orders 10
2.3.3 Advantages of ECNs 11
2.3.4 Risks of ECNs 12
2.3.5 Future development 13
2.4 Order handling rule (ORH) 15
3. Order imbalance and spread patterns 19
3.1 Quote-driven and order-driven markets under order imbalances 19
3.2 The HST limit order driven market model 21
3.3 Data and research methodology 22
4. Empirical findings 25
5. Summary and conclusion 29
AppendixThe HST Limit Order Driven Market Model 31
References 34
Table 1Selected Samples: 150 Stocks 37
Table 2Comparison the Mean Participation Rate of ECNs 38
Table 3Mean Percentage Spread in ECNs and Market Makers 39
Table 4Mean Total Size in ECNs and Market Makers 40
Table 5GLM Test Results for ECNs and Market Makers in Each Group 41
Figure 1ECNs Current and Projected Market Share 42
Figure 2Quote-Driven Market vs. Order-Driven Market 43
Figure 3The Relation Between Total Quote Amount and Participation rate
of ECNs 44
Figure 4ECNs vs. Market Makers: Mean Dollar Spread and Order Imbalance
Factor k in Intel, Cisco, and Yahoo 45
Figure 5Spread Comparison of ECNs and Market Makers 46
Figure 6ECNs vs. Market Makers: Mean Percentage Spread and k 47
Figure 7Total Size Comparison of ECNs and Market Makers 48

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指導教授

史綱(Gang Shyy)

審核日期

2001-6-26

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