臺灣博碩士論文加值系統

市場透明度對於交易市場的公平和效率具有重要的意義，因此臺灣證劵交易所為了使集中交易市場資訊更透明，於西元2003年1月2日起開始實施揭露未成交的最佳五檔買賣委託價量資訊，由原本的揭示一檔買賣委託價增加為揭示五檔買賣委託價，使臺灣股票市場透明度進一步的提升，本研究採用事件研究法，分析市場透明度提升後對流動性的影響是否為顯著，依公司市值區分為大、小規模群組，利用週轉率、市場深度及流動比率衡量流動性，以Ｔ檢定與虛擬變數做檢定，實證結果顯示，大、小規模群組在事件後，對於流動性之影響並無顯著差異。

Transparency is significant to the fairness and efficiency of the trading market. Therefore, in order to make the information in the trading market more transparent, the Taiwan Securities Exchange began to disclose the information of the best five bids/asks and volumes from January 2, 2003. From the original disclosure, the information of the best one bids/asks and volumes was increased to disclose the information of the best five bids/asks and volumes , which further enhanced the transparency of the Taiwan stock market. This study uses the event research method to analyze whether the impact of market transparency on liquidity is significant. According to the market value of the company, the sample is divided into large and small groups. The turnover rate, market depth and liquidity ratio are used to measure the liquidity. The T-test and the virtual variables are used for verification. The empirical results show that the large and small-scale groups have nonsignificant difference after the release.

摘要 …………………………………………………………i
Abstract…………………………………………………………ii
誌謝…………………………………………………………iii
目錄…………………………………………………………iv
表目錄…………………………………………………………vi
圖目錄…………………………………………………………vii
第一章 緒論…………………………………………………………1
1.1 研究背景及動機…………………………………………………………1
1.2 研究目的…………………………………………………………2
1.3 研究架構…………………………………………………………2
1.4 研究流程…………………………………………………………3
第二章 文獻探討…………………………………………………………4
2.1 市場透明度對流動性影響相關文獻…………………………………………………………4
2.2 流動性之定義…………………………………………………………5
2.3 流動性之衡量方法…………………………………………………………6
第三章 研究方法…………………………………………………………7
3.1 資料來源與處理…………………………………………………………7
3.1.1 研究期間…………………………………………………………7
3.1.2 資料來源…………………………………………………………7
3.1.3 資料處理…………………………………………………………7
3.2 研究方法…………………………………………………………8
3.3 變數的衡量…………………………………………………………8
3.4 虛擬變數…………………………………………………………9
第四章 實證結果與分析…………………………………………………………10
4.1 敘述性統計分析…………………………………………………………10
4.2 T檢定之結果…………………………………………………………11
4.3 虛擬變數之結果…………………………………………………………14
第五章 結論與建議…………………………………………………………19
5.1 結論…………………………………………………………19
5.2 後續研究建議…………………………………………………………20
參考文獻…………………………………………………………21
附錄一…………………………………………………………24
附錄二…………………………………………………………26
Extended Abstract…………………………………………………………28

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