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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林建甫(Chien-Fu Lin) | |
| dc.contributor.author | Yu-Chia Chen | en |
| dc.contributor.author | 陳佑嘉 | zh_TW |
| dc.date.accessioned | 2021-06-17T06:20:48Z | - |
| dc.date.available | 2020-11-13 | |
| dc.date.copyright | 2020-11-13 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-10-13 | |
| dc.identifier.citation | 李志宏與詹場 (2014), “市場穩定與競價制度-台灣期貨市場之實證,” 《經濟論文叢刊》, 42(1), 62。 林建甫 (2018), “觀念平台－「逐筆交易」完勝「集合競價」,” 工商時報, 2018年6月13日。 周行一, 李志宏, 與詹場 (2008), “我國期貨交易撮合制度之變革對市場效率性與投資人委託交易之影響,” 台灣期貨交易所委外研究報告。 張子溥, 吳孟道, 與林建甫 (2014), “台灣證券市場流動性的跨國比較分析,” 《兩岸金融季刊》, 2(2), 65。 張紹勳 (2016), 《Stata在財務金融與經濟分析的應用》, 1, 五南圖書出版有限公司, 166-185, 304-312。 陳仕偉與陳俊偉 (2006), “台灣股票及外匯市場價量非線性因果關係之探討,” 《經濟與管理論叢》, 2(1), 23。 陳旭昇 (2013), 《時間序列分析：總體經濟與財務金融之應用》, 2, 東華書局, 132-184。 溫福星 (2013), “社會科學研究中使用迴歸分析的五個重要概念,” 《管理學報》, 30(2), 170-173。 楊奕農 (2005), 《時間序列分析-經濟與財務上之應用》, 1, 雙葉書廊有限公司, 175-186。 蔡佩雯 (2015), “放寬股市漲跌幅度及擴大當沖範圍措施之介紹,” 《證券暨期貨月刊》, 33(12), 13。 蘇玄, 羅仙法, 袁正達, 與楊俊彬 (2016), “股票市場流動性與總體景氣循環：來自台灣的廣泛性證據,” 《管理與系統》, 23(1), 65-106。 Bank for International Settlements (1999), “Market Liquidity: Research Findings and Selected Policy Implications,” CGFS Publications, 11. Blume, Lawrence, Easley David, and O'hara Maureen. (1994), “Market Statistics and Technical Analysis: The Role of Volume,” The Journal of Finance, 49(1), 153-181. Campbell, John Y., Grossman Sanford J., and Wang Jiang (1993), “Trading Volume and Serial Correlation in Stock Returns,” The Quarterly Journal of Economics, 108(4), 905-939. Chang, Rosita P., Hsu Shuh-Tzy, Huang Nai-Kuan, and Rhee S. Ghon (1999), “The Effects of Trading Methods on Volatility and Liquidity: Evidence From the Taiwan Stock Exchange,” Journal of Business Finance and Accounting, 26, 137-170. Copeland, Thomas E. (1976), “A Model of Asset Trading under the Assumption of Sequential Information Arrival,” Journal of Finance, 31, 1149-1168. Dickey, David A. and Fuller Wayne A. (1979), “Distribution of the Estimators for Autoregressive Time Series With a Unit Root,” Journal of the American Statistical Association, 74(366), 427-431. Jennings, Robert H., Starks Laura T., and Fellingham John C. (1981), “An Equilibrium Model of Asset Trading with Sequential Information Arrival,” Journal of Finance, 36, 143-161. Karpoff, Jonathan M. (1987), “The Relation between Price Changes and Trading Volume: A Survey,” Journal of Financial and quantitative Analysis, 22(1), 109-126. Kuo, Weiyu and Li Yu-Ching (2011), “Trading Mechanisms and Market Quality: Call Markets Versus Continuous Auction Markets,” International Review of Finance, 11, 417-444. Lang, Larry H. P. and Lee Yi-Tsung (1999), “Performance of Various Transaction Frequencies Under Call Markets: The Case of Taiwan,” PacificBasin Finance Journal, 7, 23-39. Lo, Andrew W. and Wang Jiang (2000), “Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory,” Review of Financial Studies, 13(2), 257-300. Perron, Pierre (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,” Econometrica,57(6), 1361-1401. Phillips, Petter C. B. and Perron Pierre (1988), “Testing for a Unit Root in Time Series Regression,” Biometrika, 75(2), 335-346. Ying, Charles C. (1966), “Stock Market Prices and Volume of Sales,” Econometrica, 34, 676-686. Suominen, Matti (2001), “Trading Volume and Information Revelation in Stock Market,” Journal of Financial and Quantitative Analysis, 36(4), 545-565. Zivot, Eric and Andrews Donald (1992), “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis,” Journal of Business Economic Statistics, 10(3), 251-270. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/72049 | - |
| dc.description.abstract | 本研究主要目的是探討臺灣證券交易所於2020年3月23日開始實施盤中逐筆交易制度之政策效果，採用 Prais-Winsten 迴歸進行時間序列分析，以捕捉盤中逐筆交易對大盤成交金額的影響效果。 研究資料採用2019年12月2日到2020年6月19日 TEJ 台灣經濟新報資料庫及臺灣證券交易所的日交易資料，實證結果發現，2020年3月23日實施盤中逐筆交易之後，占大盤總成交值比重較高的兩大市場參與者，當沖客及外資法人成交值對大盤成交金額影響的效果為顯著正向增加；自營商及投信成交值對大盤成交金額則有顯著負向效果。由此分析結果發現，盤中逐筆交易政策透過市場參與者的交易行為顯著影響大盤成交金額。 綜合來看，實施盤中逐筆交易制度對大盤成交金額具有正向影響的政策效果，而且 Prais-Winsten 迴歸的估計係數具有一定的穩健度。本文的實證結果可回應實施盤中逐筆交易是否對大盤成交金額有正面影響的疑問。 | zh_TW |
| dc.description.abstract | This study examines the policy effectiveness of continuous trading as Taiwan Stock Exchange implemented the policy on March 23, 2020. Using Prais-Winsten regression for analyzing time series data, this study attempts to evaluate how continuous trading affects the trading value of Taiwan's price-weighted index (TAIEX). This paper primarily used the December 2, 2019 to June 19, 2020 daily data, which was collected from Taiwan Economic Journal (TEJ) and Taiwan Stock Exchange. The empirical results show that after the implementation of continuous trading on March 23, 2020, the trading value comes from two major participants, day trader and foreign institutional investors, has a significant positive impact on the trading value of TAIEX. On the other hand, trading value comes from dealers and securities investment trust companies has a significant negative impact. Such a result indicates that the total trading value in the market is significantly affected by the trading behavior of market participants after the continuous trading policy started. In sum, the implementation of continuous trading has a positive impact on the trading value of TAIEX, and the coefficients of the Prais-Winsten regression are robust. The empirical results can answer whether the implementation of continuous trading has positive impact to trading value of TAIEX or not. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T06:20:48Z (GMT). No. of bitstreams: 1 U0001-1110202022293500.pdf: 3646184 bytes, checksum: 7b432a596035c6cb546435906df16cf8 (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 口試委員會審定書................................................................................................................i 誌謝........................................................................................................................................ii 摘要.......................................................................................................................................iii ABSTRACT..........................................................................................................................iv 目錄.........................................................................................................................................v 圖目錄..................................................................................................................................vii 表目錄.................................................................................................................................viii 第一章 緒論..........................................................................................................................1 1.1研究背景..............................................................................................................1 1.2研究動機及目的.................................................................................................2 1.3研究流程..............................................................................................................3 第二章 台股盤中逐筆交易新制介紹................................................................................4 2.1集合競價與逐筆交易制度之比較....................................................................4 2.2逐筆交易新制度介紹.........................................................................................5 第三章 文獻回顧................................................................................................................10 3.1股市制度與成交量之關係...............................................................................10 3.2成交量影響因素之回顧...................................................................................11 3.3小結....................................................................................................................13 第四章 研究方法................................................................................................................14 4.1實證方法與流程...............................................................................................14 4.2時間序列模型...................................................................................................16 4.3資料來源及處理...............................................................................................16 4.4變數選取............................................................................................................17 4.5統計檢定方法...................................................................................................18 第五章 實證結果分析.......................................................................................................21 5.1敘述統計分析...................................................................................................21 5.2單根檢定............................................................................................................25 5.3迴歸模型分析...................................................................................................28 5.3.1迴歸模型設定............................................................................................28 5.3.2 Prais-Winsten 迴歸分析..........................................................................29 5.3.3迴歸模型殘差檢定....................................................................................32 5.3.4迴歸模型穩健度分析................................................................................32 第六章 結論........................................................................................................................34 參考文獻..............................................................................................................................36 | |
| dc.language.iso | zh-TW | |
| dc.subject | 市場參與者 | zh_TW |
| dc.subject | 盤中逐筆交易 | zh_TW |
| dc.subject | 成交金額 | zh_TW |
| dc.subject | Prais-Winsten 迴歸 | zh_TW |
| dc.subject | 時間序列 | zh_TW |
| dc.subject | trading value | en |
| dc.subject | continuous trading | en |
| dc.subject | Prais-Winsten regression | en |
| dc.subject | market participants | en |
| dc.subject | time series | en |
| dc.title | 臺灣證券交易所實施盤中逐筆交易之政策效果分析 | zh_TW |
| dc.title | The Policy Effectiveness of Continuous Trading in Taiwan Stock Exchange | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 109-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳元保(Yen-Pao Chen),郭平欣(Ping-Sing Kuo),吳中書(Chung-Shu Wu) | |
| dc.subject.keyword | 成交金額,盤中逐筆交易,Prais-Winsten 迴歸,市場參與者,時間序列, | zh_TW |
| dc.subject.keyword | trading value,continuous trading,Prais-Winsten regression,market participants,time series, | en |
| dc.relation.page | 38 | |
| dc.identifier.doi | 10.6342/NTU202004250 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2020-10-14 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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