The effects of the offering rules on Taiwan Market Microstructure

• Main Authors: lin-zih lin, 林伶姿
• Other Authors: Chiu-Fa Lin
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/6r86jj

碩士 === 國立虎尾科技大學 === 經營管理研究所 === 96 === Since March 1, 2005, Taiwan Stock Exchange (TSE) carried out new trading rules, in order to make the IPO Market more effect and transparency. We’ll use three ways to test the market after carried out new trading rules. First, we test the IPO initial return. Second, we use the Market Microstructure Theory to analyze the market. Finally, we use GARCH to analyze the market after carried new trading rules. First, the results indicate that after new trading rules, investor indefinite will increase. So the initial return will increase. Second, we focuses on three tests：(1) The quality of liquidity include bid-ask spread and depth components. (2) The activity of trade by using stock price、trade volume and return. (3)We use Seemingly unrelated regression (SUR) to analyze the factory of liquidity, include trade volume, stock price and return. The results indicate that after new trading rules, the spread is reduces and the depth still width. The activity of trade is significant increase after new trading rules. Finally, we use Seemingly unrelated regression to analyze the factory of liquidity, it shows spreads are positive related to volume and return, but negative related to stock price. As well as depth is negative related to stock price, but positive related to volume. Finally, we use GARCH(1,1) mode to test the new market. We find after the new trading rules, the market sustain is higher than before the new trading rules. In sum, the new trading rules would increase the market price discover function.