| Summary: | 碩士 === 國立高雄第一科技大學 === 金融系碩士班金融組 === 102 === In the Taiwan warrants market, the regulation of liquidity providers has been in force in 2009. By making dealers as the liquidity providers, the new regulation aims to increase the liquidity of warrants market. This study investigates the determinants of the quality of market making. We use four proxies to measure the quality of market making, including the average of warrant implied volatility, the stability of warrant implied volatility, the coefficient of variation of warrant implied volatility and the quoted spreads of warrants. The results show that the dealers with higher number of warrant issues and longer history are able to maintain the stability of implied volatility better than others. In other words, the dealers with better experience may have better ability of market making. Additionally, we find that the dealers with longer history provide narrower quoted spreads.
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