東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Essays on the importance of market r...

Hao, Jia.

FindBook

Google Book

Amazon

博客來

Essays on the importance of market rules.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on the importance of market rules./
作者:	Hao, Jia.
面頁冊數:	155 p.
附註:	Source: Dissertation Abstracts International, Volume: 68-04, Section: A, page: 1588.
Contained By:	Dissertation Abstracts International68-04A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3258572

Essays on the importance of market rules.
Hao, Jia.

Essays on the importance of market rules. - 155 p.

Source: Dissertation Abstracts International, Volume: 68-04, Section: A, page: 1588.

Thesis (Ph.D.)--The University of Utah, 2007.

The dissertation consists of three essays. I investigate how the regulations or market rules affect incentives and outcomes of different participants in the stock and option market. The first essay studies why many financial markets designate a market maker to provide more liquidity than she would endogenously choose. We identify two reasons. The first relies on the insight that the informational component of the competitive bid-ask spread represents a transfer across traders, not a social cost to completing trades. A restriction on spread widths encourages efficient trading. Secondly, it encourages more traders to become informed and speeds the rate of price discovery. We consider a competitive market setting, where the costs must be compensated by side payments, and also a setting where a restricted monopolist market maker makes zero profits. The latter case improves both allocative efficiency and price discovery relative to the fully competitive setting, albeit at a cost to uninformed traders.Subjects--Topical Terms:

626650
Economics, Finance.

Essays on the importance of market rules.
LDR:03159nmm 2200277 4500 001 1828781
005 20071022161004.5
008 130610s2007 eng d
035 $a (UMI)AAI3258572
035 $a AAI3258572
040 $a UMI $c UMI
100 1 $a Hao, Jia. $3 647005
245 1 0 $a Essays on the importance of market rules.
300 $a 155 p.
500 $a Source: Dissertation Abstracts International, Volume: 68-04, Section: A, page: 1588.
500 $a Adviser: Hendrik Bessembinder.
502 $a Thesis (Ph.D.)--The University of Utah, 2007.
520 $a The dissertation consists of three essays. I investigate how the regulations or market rules affect incentives and outcomes of different participants in the stock and option market. The first essay studies why many financial markets designate a market maker to provide more liquidity than she would endogenously choose. We identify two reasons. The first relies on the insight that the informational component of the competitive bid-ask spread represents a transfer across traders, not a social cost to completing trades. A restriction on spread widths encourages efficient trading. Secondly, it encourages more traders to become informed and speeds the rate of price discovery. We consider a competitive market setting, where the costs must be compensated by side payments, and also a setting where a restricted monopolist market maker makes zero profits. The latter case improves both allocative efficiency and price discovery relative to the fully competitive setting, albeit at a cost to uninformed traders.
520 $a The second essay focuses on a case study. We examine the behavior of call options surrounding underlying stock's ex dividend date. The evidence is inconsistent with the predictions of rational exercise policy; a significant fraction of the open interest remains unexercised, resulting in a windfall gain to option writers. This triggers a sophisticated trading scheme that enables short term traders to receive a significant fraction of the gains. The trading scheme inflates reported volume and distorts its traditional relations to liquidity. The dramatic increases in volume of trade on the last cum dividend day are facilitated by limitations on transaction costs passed by the various option exchanges.
520 $a The third essay re-examines the experiments in Brockman and Chung 2003, who argue that relatively weak investor protection associated with the China-based stocks leads to more information asymmetry and higher trading costs than the Hong Kong-based stocks. This study compares these two groups of stocks with more balanced market capitalization. And directly comparing costs of adverse selection that are related to the degree of legal protection, it shows that differences in investor protection do not appear to be related to differences in liquidity between China- and Hong Kong-based stocks.
590 $a School code: 0240.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a The University of Utah. $3 1017410
773 0 $t Dissertation Abstracts International $g 68-04A.
790 1 0 $a Bessembinder, Hendrik, $e advisor
790 $a 0240
791 $a Ph.D.
792 $a 2007
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3258572