本研究的目的是通過圍繞價格上漲的新聞發布來檢查流動性衝擊。 這種跳躍是從台灣證券交易所加權指數成分中識別出來的，並且被發現與流動性動態的四個維度相吻合，這些維度被新聞公告的發布放大。 結果表明，交易數量和平均交易規模是價格上漲的主要驅動力。 此外，國內投資者似乎是與跳躍相關的最普遍的市場交易者，尤其是在深度和深度不平衡方面。

The purpose of this study is to examine liquidity shocks with news releases around price jumps. Such jumps are identified from Taiwan stock exchange weighted index constituents, and are found to coincide with four dimensions of liquidity dynamics, that are amplified by the release of news announcements. The results indicate that the number of trades and average trade size are the main drivers behind the price jumps. In addition, domestic investors appear to be the most pervasive market traders in relation to jumps, especially in terms of depth and depth imbalance.

目錄
論文審定書 ...……………i
中文摘要 ...…………… ii
英文摘要 .……………..iii
目錄 .……………..iv
圖次 .……………..v
表次 .……………..vi
Chapter 1. Introduction …………………1
1.1. News announcements and price jumps …………………1
1.2. Liquidity measurement around the jump …………………2
1.3. Event studies on price jumps ……………….. 3
1.4. Order aggressiveness and different trader types around jumps ……………….. 4
Chapter 2. Jump detection ……………….. 4
Chapter 3. Data ……………….. 6
Chapter 4. Research methodology ……………….10
4.1. Define the event window and time interval for the study ……………….10
4.2. Aggregation of event occurrences ……………… 11
4.3. Liquidity variable standardization ……………… 12
4.4. Using the result to evaluate the hypothesis ……………… 14
Chapter 5. Empirical study ……………… 14
5.1. Spreads around jumps ……………… 15
5.2. Trading volume and number of trades around jumps ……………… 16
5.3. Market depth and depth imbalance around jumps ……………… 19
5.4 Impact of news on the liquidity dynamics around a jump ……………… 23
5.5. Different trader types around a price jump ……………… 33
Chapter 6. Conclusion ……………… 32
Reference ……………… 36

Reference

Andersen, T.G., Bollerslev, T., Diebold, F., 2007. Roughing it up: including jump components in the measurement, modelling and forecasting of return volatility. Review of Economics and Statistics 89, 701–720.

Andersen, T.G., Dobrev, D., Schaumburg, E., 2012. Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics 169, 75–93.

Barndorff-Nielsen, O.E., Hansen, P.R., Lunde, A., Shephard, N., 2010.
Realized kernels in practice: trades and quotes. Econometrics Journal 12, C1–C32.

Barndorff-Nielsen, O.E., Shephard, N., 2006. Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics 4, 1–30.

Bates, D., 2000. Post-,87 crash fears in S&P 500 futures options. Journal of Econometrics 94, 181–238.

Bjursell, J., Gentle, J., Wang,G., 2015. Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets. Jornal of Energy Economics 48, 336-349.

Boudt, K., Cornelissen, J., Croux, C., Laurent, S., 2012. Non-parametric tests for intraday jumps: Impact of periodicity and microstructure noise. In: Volatility Models and Their Applications. Wiley, pp. 565–584.

Boudt, K., Croux, C., Laurent, S., 2011. Robust estimation of intraweek periodicity in volatility and jump detection. Journal of Empirical Finance 18, 353–367.

Brooks, R.M., 1994. Bid-ask spread components around anticipated announcements. Journal of Financial Research 17, 375–386.

Chiu, J., Chung, H., Wang, H., 2016. Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market. Jornal of Future Market 37, 1094-1123

Duffie, D., Pan, J., 2001. Analytical value-at-risk with jumps and credit risk. Finance and Stochastics 5, 155–180.

Easley, D., O'Hara, M., 1987. Price, trade size, and information in securities markets. Journal of Financial Economics 19

Glosten, L.R., Milgrom, P.R., 1986. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics 14, 71–100

Harris, M., Raviv, A., 1993. Differences of opinion make a horse race. Review of Financial Studies 6, 473–506.

Jarrow, R., Rosenfeld, E., 1984. Jump risks and the intertemporal capital asset pricing model. Journal of Business 57, 337–351.Jiang, G.J., Lo, I., Verdelhan, A., 2011. Information shocks, jumps, and price discovery: evidence from the U.S. treasury market. Journal of Financial and Quantitative Analysis 46, 527–551.

Jiang, G.J., Lo, I., Verdelhan, A., 2011. Information shocks, jumps, and price discovery: evidence from the U.S. treasury market. Journal of Financial and Quantitative Analysis 46, 527–551.

Lee, C.M., Mucklow, B., Ready, M.J., 1993. Spreads, depths, and the impact of earnings information: an intraday analysis. Review of Financial Studies6, 345–374.

Lee, C.M.C., Ready, M.J., 1991. Inferring trade direction from intraday data. Journal of Finance 46, 733–746.

Lee, S.S., 2012. Jumps and information flow in financial markets. Review of Financial Studies 25 (2), 439–479.

Lee, S.S., Mykland, P.A., 2008. Jumps in financial markets: a new nonparametric test and jump dynamics. Review of Financial Studies 21, 2535–2563. Liu, W., 2006. A liquidity-augmented capital asset pricing model. Journal of Financial Economics 82, 631–671.

Parlour, C.A., 1998. Price dynamics in limit order markets. Review of Financial Studies 11, 789–816.

Plerou, V., Gopikrishnan, P., Stanley, H.E., 2005. Quantifying fluctuations in market liquidity: analysis of the bid-ask spread. Physical Review E71, 046131.