Essays on the Microstructure Issues of Tick Size and Equity Liquidity

• Main Authors: Wei-Peng Chen, 陳煒朋
• Other Authors: Huimin Chung
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/36128032414170610983

博士 === 國立交通大學 === 管理科學系所 === 95 === This dissertation consists of two separate essays. The first essay investigates the impact of decimalization (penny pricing) on the arbitrage relationship between index exchange-traded funds (ETFs) and E-mini index futures. The empirical results show that the overall pricing efficiency has deteriorated in the post-decimalization period; however, the pricing efficiency is improved only when an extreme large mispricing signal is observed, implying that the introduction of decimalization has in general resulted in weakening the ability and willingness of arbitrageurs to initiate arbitrage trades. The second essay examines the effects of internal and external corporate governance mechanisms on equity liquidity. The empirical results reveal that both internal and external governance measures have significant relationships with the liquidity measures, implying that the economic costs of equity liquidity are greater for those companies with poor corporate governance.