研究報告
| 學年 | 102 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2013-10-31 |
| 作品名稱 | 有限注意及注意力分配對流動性提供之影響 |
| 作品名稱（其他語言） | Limited Attention, Attention Allocation and Liquidity Provision |
| 著者 | 陳薇如 |
| 單位 | 淡江大學會計學系 |
| 描述 | 計畫編號：NSC101-2410-H032-097
 研究期間：201208~201307
 研究經費：406,000 |
| 委託單位 | 行政院國家科學委員會 |
| 摘要 | We examine the Limited Attention Hypothesis of Corwin and Coughenour (2008) by using the data of Taiwan Emerging Stock Market where liquidity is totally provided by market makers. The Limited Attention Hypothesis state that if limited attention forces a specialist to allocate effort across stocks, the ability to provide liquidity for a given stock to be negatively related to the attention requirements of other stocks in his market making portfolio. By the fact that NYSE is an order driven market, the traders in the limited order book provide most of the liquidity. A specialist just provides supplementary liquidity through ex post price improvement. Corwin and Coughenour (2008) test the Limited Attention Hypothesis by calculating the firm-level liquidity of NYSE securities. It exists the limitation of cannot isolate the liquidity provided by the specialist. Although liquidity is influenced by the actions of specialist, it may also be affected by limit orders and the behavior of other traders. In this research, we test the hypothesis by securities listed on the Taiwan Emerging Stock Market. The Emerging Stock Market is a quoted driven market. All of the liquidity provision can be attributed to the actions of market makers. Furthermore, we can calculate market market-level liquidity in our data. It enables us to test the relationship between market marker’s attention and his liquidity provision more clearly. 本研究中我們運用完全由造市商提供流動性的興櫃股票市場，檢定Corwin and Coughenour (2008)提出的「有限注意假說」。Corwin and Coughenour (2008) 提出有限注意假說，指出若有限注意導致專業會員必需在各股票間分配注意力， 則專業會員對某一個股提供流動性的能力會與其負責的其它股票的注意力需求 呈負相關。由於NYSE是一個委託單驅動的市場，流動性的提供主要來自限價委 託簿的交易者，專業會員的流動性提供扮演著輔助的角色，因此Corwin and Coughenour (2008)運用NYSE市場的資料，計算公司層級的流動性，對有限注意 假說的檢定存在著無法將專業會員提供的流動性獨立出來的限制。本研究運用興 櫃股票市場的資料檢定有限注意假說，由於興櫃股票市場係一純報價驅動市場，流動性的提供完全來自造市商，另外，我們的資料可計算出造市商層級的流動性數值，因此我們可更明確地驗證造市商的注意力與其所提供的流動性之間的關係。 |
| 關鍵字 | 有限注意; 注意力分配; 流動性提供; 造市商; Limited Attention; Attention Allocation; Liquidity Provision; Market maker |
| 語言 | zh_TW |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/103012 ) |