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流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究

The purpose of this paper is to compare the liquidity and the components of the bid-ask spread for thinly traded firms switching from a dealer market (Emerging Stock Market (ESM)) to an order driven market (Taiwan Stock Exchanges (TSE) or GreTai Securities Market (GTSM)). Firstly, we follow Christie and Huang’s (1994) method to measure the liquidity performance. Our finding shows that thinly traded firms could improve their liquidity by switching from a dealer market to an order driven market. Secondly, we apply Huang and Stoll’s (1997) and Lin et al.’s (1995) model to estimate the bid-ask spread components. Our results show that the adverse selection cost is significantly smaller on ESM than TSE or GTSM using both Huang and Stoll’s (1997) and Lin et al.’s (1995) model. The inventory holding cost is lower on ESM than TSE or GTSM estimated by Huang and Stoll’s (1997) model. However, the estimates of order processing cost and the probability of trade reversal do not produce consistent results by applying Huang and Stoll’s (1997) and Lin et al.’s (1995) model.

Identiferoai:union.ndltd.org:CHENGCHI/G0091351034
Creators吳佩玟, Wu,Pei-wen
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language英文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

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