台灣股市調降升降單位對投資人委託策略、流動性供給與執行品質的影響

The Effect of Reducing Minimum Tick Sizes on Order Submission Behaviors, Liquidity Supply, and Market Execution Quality

10.6226/NTURM2010.20.2.273

蕭朝興(Chao-Shin Chiao)；王子湄(Zi-Mei Wang)；尤靜華(Ching-Hua Yu)；薛立欣(Li-Sing Hsueh)

升降單位 ； 委託策略 ； 執行品質 ； tick size ； order submission strategy ； execution quality

臺大管理論叢

20卷2期（2010 / 06 / 01）

273 - 305

繁體中文

本文利用逐筆委託與成交資料，檢驗台灣股市調降升降單位後，對不同類型投資人之委託策略與市場流動性供給的影響，以及這些影響對市場執行品質的意涵。研究發現：第一、改制後，投資人變得較沒有耐心；尤其是個別投資人，會減少使用非可市價化限價單的頻率，轉而委託可市價化限價單。第二、所有投資人都會因應改制而降低每筆委託規模，但只有個別投資人與自營商會更頻繁地取消委託單。另外，也發現非可市價化限價單投資人會委託在偏離報價較遠的價位上。而這些委託策略的調整，確實導致市場流動性供給的下降。最後，可市價化限價單的交易成本下降，顯示其執行品質獲得顯著改善；至於非可市價化限價單的執行品質改善與否，並無法得到一致結論。

This study uses intraday data for the Taiwan Stock Exchange to investigate the changes in the order submission behaviors among different types of investors, liquidity supply, and market execution quality after the reduction of tick sizes. As a result, first, order submission behaviors, especially of individuals, become more aggressive by switching from non-marketable to marketable limit orders. Second, while all investors tend to decrease their limit order sizes, only individual investors and security dealers cancel limit orders more frequently. Additionally, some non-marketable limit orders are placed further away from the best quotes. These changes in the submission strategy of investors inevitably reduce market liquidity supply. Finally, the significant reduction in the transaction cost shows an improvement in the execution quality of marketable limit orders, but no sufficient evidence supports the same conclusion for non-marketable limit orders.

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