Market Return and Liquidity Provision:Evidence from the Taiwan Stock Exchange

• Main Authors: Wei-Shan Chen, 陳葦珊
• Other Authors: Chao-Shin Chiao
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/35024164628190179362

碩士 === 國立東華大學 === 國際經濟研究所 === 97 === Applying order-level data to reconstruct the limit order book, this paper examines the relationship between market return and liquidity provision in the Taiwan Stock Exchange. We investigate that liquidity levels respond asymmetrically to positive and negative market return. Moreover, large negative market returns have more stronger impact on liquidity than positive returns. We also find that stock liquidity is more sensitive to changes in market returns for small capitalization stocks and stocks with high volatility, particularly following periods of market decline. This relation resulting from the market return and order placement strategies are likely to be bilateral. Finally, compared to the professional investors.