The Empirical Result of the Five Best Bid/Ask Quotes and Depths in Limit Order Book- Take TAIEX for Exmaple

• Main Authors: Che-Wei Kang, 康哲維
• Other Authors: Shing-Yang Hu
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/02114463160695824555

碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === This paper extensively employs the order and trade data to analyze the shape of limit order book. We try to give the spreads and depths of the five best bid /ask quotes a brief relationship. Taking the tick size into account, we find that the bid-ask spread is larger than other spreads away from the market. The depths of the five best bid/ask quotes have a different shape between bid and ask side. On the bid side, the depth at the market is the largest compared with the other depths away from the market, but on the ask side the depth at the market is the smallest. We contributed the larger bid-ask spreads to a larger tick size and the information asymmetry problems. Moreover, we analyze the intraday and intraweek type of spreads and depths. This study first shows that the spreads and depths have a similar intraday pattern. The spreads have a U-shaped pattern, and the depths have a inverted U-shaped pattern. Second, the spreads are not significantly different during a week. Oppositely, the depths are significantly different during a week, but have no pronounced intraweek pattern.