台灣股市委託價格群聚現象之實證研究

蕭朝興; 王子湄

doi:10.6504/JOM.2008.25.03.05

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P359 - 380

社会科学 > 管理学

DOI： 10.6504/JOM

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台湾股市委托价格群聚现象之实证研究

An Empirical Study of Order Price Clustering in the Taiwan Stock Market

萧朝兴(Chao-Shin Chiao) ；王子湄(Zi-May Wang)

管理学报； 25 卷 3 期 (2008 / 06 / 01) ， P359 - 380

繁体中文 DOI： 10.6504/JOM.2008.25.03.05

价格群聚；升降单位；可市价化限价单；抢单； price clusterving ； tick size ； marketable limit order ； front-running

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摘要 │ 参考文献 (52) │ 被引用文献 (5) │ 国际计量

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In standard pricing theories, asset prices could take any value aver available units of account. In reality, however, certain prices are preferred to others. This tendency for asset prices to fall more frequently on certain fractions or integers is coiled price clustering. Although price clustering has been widely documented in major financial markets, very limited papers on price clustering are explored for the Taiwan Stock Market. Employing order-level data on the Taiwan Stock Exchange (TSE), this paper examines the clustering pattern of the order prices to gain a better understanding of this issue.
Our empirical results show an abnormally high frequency of even and integer limit-order prices. Unlike the evidence for the US markets, the degree of price clustering does not increase with price levels within each class. This pattern seems to he related to the tick size schedule imposed on the TSE which the relative tick sizes are relatively constant across different price levels. We also observe that an extremely small tick size itself becomes a binding constraint to hinder the price resolution process and leads to a stronger clustering. Furthermore, the results support the negotiation hypothesis, implying that the degree of clustering is a positive function of stock price and various proxies for the dispersion in investors' reservation prices. The price clustering pattern is mainly driven by corporate institutions, and individuals. Because foreign investors' limit orders display the least price clustering among professional institutions, we could indirectly infer that foreign investors' have an information advantage, in terms of the level of price precision as a proxy for the amount of information.
The non-marketable limit orders display stronger clustering than marketable limit orders, indicating that the more aggressively she orders are submitted, the snore information they carry, We observe that investors might rationally rise round prices to increase the probability of finding market participants willing to take the other side of the trade. The number of investors trilling to transact at round prices trill be high (low) when the stock price is high (low) and when there is wide (small) dispersion in investors' reservation prices. Therefore, cress though there are a greater number of even-price limit order's, the proportion of executing limit orders submitted with cress prices is not lower than those submitted smith odd prices. Finally, we find that recognizing the existence of price clustering, investors are front running others' orders in order to capitalize an opportunities created by integer-price clustering.

参考文献 ( 52 ) 〈TOP〉

Ahn, H. J.,J. Cai,Y. L Cheung(2005).Price Clustering on the Limit-Order Book: Evidence from the Stock Exchange of Hong Kong.Journal of Financial Markets,8(4),421-451.
Working Paper, Mimeo, School of Business, Administration
ap Gwilym, O.,E. Alibo(2003).Decreased Price Clustering in FTSE 100 Futures Contracts Following the Transfer from Floor to Electronic Trading.Journal of Futures Markets,23(7),647-659.
Ascioglu, A.,C. Comerton-Forde,T. McInish(2007).Price Clustering on the Tokyo Stock Exchange.Financial Review,42(2),289-301.
Ball, C. A.,W. A. Torous,A. E. Tschoegl(1985).The Degree of Price Resolution: The Case of the Gold Market.Journal of Futures Markets,5(1),29-43.

被引用文献 ( 5 ) 〈TOP〉

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