延長交易時間對台灣股市之日內影響

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姓名

范喻茹(Yu-Ju Fan) 查詢紙本館藏

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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)

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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

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指導教授

賴弘能(Hung-Neng Lai)

審核日期

2004-6-29

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