台灣低流動性股票訊息交易之研究

• Main Author: 謝宓頤
• Other Authors: 蔡錦堂
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/62148287720432764221

碩士 === 國立清華大學 === 科技管理研究所 === 91 === This article investigates whether differences in information-based trading can explain the components of the bid-ask spread. We use the information in traded data to determine how frequently new information occurs. Our most important empirical result is that the probability of information-based trading is lower for high volume stocks. We also use three-way decomposition of the spread to distinguish the adverse selection, inventory holding and order processing components of the traded spread. The empirical results supports the spread components differ significantly according to trade size and are also sensitive to assumptions about the relation between orders and trades. And the medium size trade may have the large adverse information component because it is not prenegotiated and may therefore reflect the presence of an informed trader on the floor. This study also shows that illiquidity stocks attract more informed trades than liquid stock does and the adverse selection cost is the most important component of bid-ask spread of illiquid stock.