本論文研究目標為：1. 描述台灣股票市場中訂單簿（order book）的若干特徵。2. 分析訂單流 (order flow) 與訂單簿間交互作用的均衡關係。 3. 探討流動性消耗者與流動性提供者如何進出市場而維持市場機能。 本研究資料來自台灣證券交易所。台灣股市的市場結構迥異於世界其他大部分的市場，採取自動化、間斷時間 (auto-electronic, periodic call) 的撮和方式：單子全部集合在交易所的電腦系統中，依照價格優先、時間優先的原則，每隔45至60秒批次執行撮和。Handa及Schwartz (1996年) 指出，這種市場結構和其他連續撮和的市場有著根本上的不同，尤其是訂單流的匯總方式與市場結清價的形成過程，但目前較少有研究提及。 在過去的文獻中，1995年Biais、Hillion及Spatt以巴黎股市中CAC 40指數的成分股為樣本，首開訂單流與訂單簿間交互作用的研究。他們直接觀察並描繪訂單在各價位的分佈情形，發現當買賣價差 (bid-ask spread) 比較大或訂單簿比較薄（亦即市場流動性較差）時，接下來會有比較多的限價單(limit orders)進場提供流動性；相反地，當spread比較小的時候，接下來會有比較多的市價單(market orders)進場消耗流動性。雖然他們有注意到買賣單、限價單、市價單對價格推升或壓低的作用，但對於引發這些變化的因素卻沒有進一步的闡釋。 1998年，Handa、Schwartz及Tiwari清楚地指出，短暫價格波動 (short-term volatility) 在促進市場達到流動性均衡方面扮演關鍵的角色。由於有基於流動性動機而進場的投資人，此時市價單與限價單成交所造成的短暫價格波動正好補償限價單交易者所面臨的資訊不對稱風險，吸引限價單進場並提供流動性；而有立即性(immediacy)需求的投資人就會下市價單而消耗流動性。1999年，Foucault把Handa等人的推論發展為賽局模型，強化下單決策與價格形成的理論，並建議以訂單流的組成成分進行實證。 這些理論在2000年Ahn、Bae和Chan發表的研究中獲得實證的支持。該文以市場深度差作為市價單限價單組成成分的代理變數，首先驗證短暫價格波動的確是使市場達流動性均衡的重要因素：當價格向上波動，將吸引限價單流入市場提供流動性；而流動性的增加將減緩價格的波動。並進一步分析價格形成過程，發現若價格波動由賣方引發，則限價賣單為流動性提供者；若價格波動來自買方，則限價買單為流動性提供者。 本研究不同於前述研究之處，其一在於台灣股票市場結構的不同。因為所有的單子，不論是新進入或殘留的、不論是買還是賣，全部都集合在電腦系統中等待撮和，因此限價單不見得是流動性提供者，市價單也不見得是流動性消耗者。其二在於直接觀察訂單分佈情形，比Biais等人更深入研究訂單變化、比Ahn等人更清楚地分析變化的過程。 本論文將市場中的單子區分為新委託單(new orders)、殘留單(stale orders)及成交單(executed orders)三大類，取得每個撮和時點前、後買賣雙方在各價位的分佈和變化情形。結果發現，大部分的新委託單並沒有立即成交（約40%沒有立即成交）；成交單中殘留單與新委託單成交的比例在任何時間區間都遠高於新委託單互相成交的比例。也就是說，殘留單對市場流動性的均衡扮演關鍵的角色。

I investigate the trading decisions of a large institutional liquidity trader by using a detailed data set from a transition management firm. The data set contains records for all trades of transitions completed between January 2008 and September 2008. Effective execution involves a trade off between trading patiently over time to minimize price impact costs and trading quickly to avoid opportunity costs due to price volatility. I estimate a model of transition duration that accounts for volatility, an order's percentage of average daily volume, and the bid--ask spread to uncover the firm's strategy of how quicklyto trade. To understand the firm's intermediate trading decisions, I estimate a vector autoregression that summarizes the dynamic relationship of volatility, trading volume, the bid--ask spread, and order type and order duration. My analysis suggests that the firm behaves strategically to minimize the total costs of trading.

In Ni, Pearson and Poteshmans' (2005) Journal of Financial Economics-article, they claim that the expiration-day price-distribution of optionable stocks is subject to inefficiencies caused by stock price manipulation and portfolio rebalancing by delta hedgers. In this thesis, two main shortcomings of Ni et al.'s (2005) study are identified. In particular, they appear to have been ignorant of fundamental microstructure factors, and they did not derive an expression to represent the theoretical price-distribution of the relevant assets. After accounting for essential microstructure variables, and calculating the theoretical distribution, results that contradict Ni et al. (2005) are found. In particular, optionable stocks are found to experience efficiency gains on expiration days, and the distribution of underlying asset prices is closer to its theoretical benchmark on expiration days relative to non-expiration days.

The increase in the number of financial restatements in recent years has resulted in a significant decrease in the amount of market capitalization for restated companies. Prior literature does not differentiate between single and multiple restatements announcements. This research investigates the inter-relationships among multiple financial restatements, corporate governance, market microstructure and the firm's rate of return in the form of three essays by differentiating between single and multiple restatement announcement companies. First essay examines the stock performance of companies announcing the financial restatement multiple times. The postulation is that prior research overestimates the abnormal return by not separating single restatement companies from multiple restatement companies. This study investigates how market penalizes the companies that announce restatement more than once. Differentiating the restatement announcement data based on number of restatement announcements, the results support for non persistence hypothesis that the market has no memory and negative abnormal returns obtained after each of the restatement announcements are completely random. Second essay examines the multiple restatement announcements and its perceived resultant information asymmetry around the announcement day. This study examines the pattern of information asymmetry for these announcements in terms of whether the bid-ask spread widens around the announcement day. The empirical analysis supports the hypotheses that the spread does widen not only around the first restatement announcement day but around every subsequent announcement days as well. The third essay empirically examines the financial and corporate governance characteristics of single and multiple restatement announcements companies. The analysis shows that corporate governance variables influence the occurrence of multiple restatement announcements and can distinguish multiple restatements announcement companies from single restatement announcement companies.

Yes / This paper investigates the influence that information asymmetry may possess upon the future volatility, liquidity, market toxicity and returns within cryptocurrency markets. We use the adverse selection component of the effective spread as a proxy for overall information asymmetry. Using order and trade data from the Bitfinex Exchange, we first document statistically significant adverse selection costs for major cryptocurrencies. Our results also suggest that adverse selection costs, on average, correspond to ten percent of the estimated effective spread, indicating an economically significant impact of adverse selection risk on transaction costs in cryptocurrency markets. We finally document that adverse selection costs are important predictors of intraday volatility, liquidity, market toxicity, and returns. / Türkiye Bilimler Akademisi. Grant Number: Outstanding Young Scientist. / The full-text of this article will be released for public view at the end of the publisher embargo on 11 Jan 2025.

This paper investigates the market microstructure of the Taiwan Stock Exchange Capitalization weighted Stock Index (TX) futures contracts traded on the Taiwan Futures Exchange which quite recently switched from an electronic periodic call auction market to an electronic continuous auction market. No doubt it is a rare opportunity for us to deeply look into market quality under different trading mechanisms. Using time-stamped transaction data of trades and quotes covering the period from January 2001 to September 2002, overall behavior for all TX Futures contracts are explored first—including intraday and daily patterns in the bid-ask spreads, volume, trade size, volatility, liquidity ratio and other characteristics. Next, in order to observe whether long-term contracts and short-term contracts have different patterns, the sample is divided into two groups—quarterly expiration contract months (March, June, September, and December) and non-quarterly expiration contract months, and the intraday/daily patterns are displayed. Moreover, since TAIFEX transferred trading mechanism on July 29th 2002 from an electronic periodic call auction market to an electronic continuous auction market, intraday/daily patterns are separately illustrated and compared before and after July 29th 2002, and ANOVA F-Statistic and Kruskal-Wallis tests are also taken to provide more insights into time-varying behavior under two different kinds of market trading mechanisms. The empirical results indicate that the most active periods correspond to the TAIFEX’Ss opening five-minute interval (8:45-8:50), TSEC’Ss opening five-minute interval (9:00-9:05), and TAIFEX’S closing five-minute interval (13:40-13:45) with wide spreads and large trade sizes. In 54 five-minute intervals for the regular trading session of both TAIFEX and TSEC from 9:00 a.m. to 1:30 p.m., the behavior of spreads, volume and trade sizes mainly reveal U-shaped patterns. The average trading volume within each time interval plunges, except within the final 5 minutes closing procedure interval, after TAIFEX transferred trading mechanism from an electronic periodic call auction market to an electronic continuous auction market with wider spreads and narrower volatility, in general. Moreover, intraday patterns of the average volume under new microstructure exhibit a right angular U-shape while intraday patterns of volume under old microstructure reveal a smooth U-shape. The evidence suggests a conjecture that the transfer of market trading mechanism might result in informed traders’ altering their intraday behavior and might lessening their trading desire. Further evidence in confirmation of this statement is left to future work. / This paper investigates the market microstructure of the Taiwan Stock Exchange Capitalization weighted Stock Index (TX) futures contracts traded on the Taiwan Futures Exchange which quite recently switched from an electronic periodic call auction market to an electronic continuous auction market. No doubt it is a rare opportunity for us to deeply look into market quality under different trading mechanisms. Using time-stamped transaction data of trades and quotes covering the period from January 2001 to September 2002, overall behavior for all TX Futures contracts are explored first—including intraday and daily patterns in the bid-ask spreads, volume, trade size, volatility, liquidity ratio and other characteristics. Next, in order to observe whether long-term contracts and short-term contracts have different patterns, the sample is divided into two groups—quarterly expiration contract months (March, June, September, and December) and non-quarterly expiration contract months, and the intraday/daily patterns are displayed. Moreover, since TAIFEX transferred trading mechanism on July 29th 2002 from an electronic periodic call auction market to an electronic continuous auction market, intraday/daily patterns are separately illustrated and compared before and after July 29th 2002, and ANOVA F-Statistic and Kruskal-Wallis tests are also taken to provide more insights into time-varying behavior under two different kinds of market trading mechanisms. The empirical results indicate that the most active periods correspond to the TAIFEX’Ss opening five-minute interval (8:45-8:50), TSEC’Ss opening five-minute interval (9:00-9:05), and TAIFEX’S closing five-minute interval (13:40-13:45) with wide spreads and large trade sizes. In 54 five-minute intervals for the regular trading session of both TAIFEX and TSEC from 9:00 a.m. to 1:30 p.m., the behavior of spreads, volume and trade sizes mainly reveal U-shaped patterns. The average trading volume within each time interval plunges, except within the final 5 minutes closing procedure interval, after TAIFEX transferred trading mechanism from an electronic periodic call auction market to an electronic continuous auction market with wider spreads and narrower volatility, in general. Moreover, intraday patterns of the average volume under new microstructure exhibit a right angular U-shape while intraday patterns of volume under old microstructure reveal a smooth U-shape. The evidence suggests a conjecture that the transfer of market trading mechanism might result in informed traders’ altering their intraday behavior and might lessening their trading desire. Further evidence in confirmation of this statement is left to future work.

We use an information asymmetry index , which is based on measures of adverse selection developed by market microstructure literature rather than on ex-ante firm characteristics, to measure the level of information asymmetry . Then we want to test how the information asymmetry, the sole and principal determinant of the pecking order theory, basically affects capital structure decision. During the period 1995-2005, We find that information asymmetry does affect firm¡¦s debt issuance positively and significantly, especially when firms¡¦ size are large and when firm¡¦s financing needs are high. Furthermore, we find there are some other determinants have important influence on firms¡¦ financing decision. This result can explain why the literatures are always only partially successful in interpreting firms¡¦ financing decisions. It also suggests that if we test models under basic assumptions, we can find some support in any theory.

Background: Ever since Sharpe, Treynor and Jensen advanced the methods of fund performance evaluation in the 60’s it has been a popular field of study in academia. As the intricacies of fund performance was untangled it became clear that paying for active management doesn’t yield higher cost adjusted returns. An Index investment strategy is the most sensible approach and it’s the associated cost which separate index vehicles. Exchange traded funds have risen as a competitor to the conventional index mutual fund but the research evaluating these is very scarce. The research conducted comparing the costs of the two vehicles do not take into account implicit transaction costs that in turn depend on specific market microstructure designs and could affect the cost relationship. The problem: Do liquidity and market structural disparities between markets affect the cost relationship between exchange traded funds and index mutual funds, through the implicit transaction cost? Objective of the research: The objective of this paper is to examine whether structural differences between markets affect implicit transaction costs to the extent that the cost relationship between index funds and exchange traded funds differ from earlier findings. Method: The need to generalize the findings prompted a quantitative approach to the research. Comparative examination will be done on the microstructure and liquidity of two different markets. The transaction costs will then be measured with statistical means and incorporated in a cost comparison model. Result and conclusion: There are architectural and liquidity differences between the two sample markets allowing for systematic differences in transaction cost, which were found but were not a significant contributor to the tracking error cost of the index mutual funds. The Swedish ETF do not get more profitable as the investment sum increases. A finding which contradicts earlier findings and is likely a consequence of the Swedish tax-laws for capital gains as well as the higher levels of management fees for ETFs. ETFs might still be a worthwhile investment since they possess unique qualitative benefits.

This paper measures the channels by which private information is incorporated in prices in the equity and option markets. Using a mispricing events approach and conditioning on the option market being the cause of the mispricing event, I analyse the subsequent behaviour of both the options and equity markets and I find that options markets play an important role in the price discovery process. When conditioning on option caused mispricing events, the equity price adjusts towards the options price to reconcile the prices. I find that around 40% of the option caused mispricing events contain information, and the equity prices adjust 35-40%, depending on the exchange, of the maximum discrepancy before prices reconcile. When the equity market causes the mispricing, the option market follows due to the autoquote mechanism. Additionally, I use Monte Carlo to assess the suitability of the Hasbrouck (1995) Information Share and Gonzalo-Granger (1995) Component Share measures in the option-equity context. I find that neither metric is suitable, however the Putnins (2013) Information Leadership metric is and the options market has on average a 35% information leadership share.

This paper documents a major shift in market microstructure during the period 1990 through 1999. In particular, a dramatic change in the pattern of cash flows by individual and institutional investors is documented. The question becomes, what effect this change has on day-of-the-week return patterns for the Dow Jones Industrial Average, Standard and Poor's 500 index, and Standard and Poor's 500 index futures. I find Monday's return pattern has changed in the decade of the 1990's. Not only is Monday's mean return significantly large and positive for all indices, the entire anomalous pattern occurs from Monday's open to Monday's close - an intraday effect. In addition, I find evidence that trading volume is a factor in explaining the anomalous behaviour of Monday's returns. New York Stock Exchange trading volume is significantly lower on Mondays from the trading volume of other days of the week but the trading activity of individual investors is significantly higher. More recently, individual investors have increased their buying activity on Mondays relative to prior periods. Finally, Monday exhibits the largest returns in the first two trading hours when the Dow Jones Industrial Average returns are decomposed into hourly returns. The research emphasizes the dynamic nature of the time series patterns of stock returns and the suggestion day-of-the-week return patterns are not robust over time. Therefore, familiarity with market microstructure issues is just as important as the statistical techniques utilized.