資訊不對稱下集合競價市場實施盤後定價交易之均衡分析

Equilibrium Analysis of Enforcing After-Hours Fixed-Price Trading in a Call Market Under Asymmetric Information

10.29628/AEP.200309.0007

陳其美(Chyi-Mei Chen)；韓千山(Chien-Shan Han)

盤後定價交易 ； 集合競價市場 ； 流動性交易者 ； 流動性供給者 ； After-hours fixed-price trading ； Call market ； Liquidity traders ； Liquidity suppliers

經濟論文

31卷3期（2003 / 09 / 01）

459 - 495

繁體中文

本文探討近似台灣股市與巴黎Bourse等不存在造市者的交易機制，在該機制下每個投資者僅能下一個限價單，並以集合競價方式撮合成交。我們發現在此機制下，（1）造市者的角色為一群不具資訊優勢的流動性供給者所取代，後者採取小額且價差不對稱的訂單策略，共同創造出一條正斜率的供給曲線；（2）均衡可大別為較具效率之「鉅量均衡」與較不效率之「小量均衡」。在此交易機制下實施盤後定價交易政策之福利效果，端視盤後時段交易需求的強烈與否而定。若有強烈之盤後交易需求，則該政策或可提供額外的流動性，提昇部分交易者的福利；反之若盤後交易需求有限，則該政策實施後盤後將出現流動性稀薄現象，且收盤前不效率之「小量均衡」出現的可能性劇增，其結果竟是整體市場流動性的降低，與全體交易者福利的下降。

This paper examines an order-driven trading mechanism similar to those adopted by Taiwan Stock Exchange and Paris Bourse, where no authorized market makers exist and public traders submit limit orders (price-quantity pairs) that are gathered and executed at one transaction price. We show that in the absence of market makers, in equilibrium rational liquidity suppliers are able to jointly construct a positively sloping supply curve by submitting tiny and different limit orders. Two types of equilibria may arise under this trading mechanism, the high-volume equilibrium and the low-volume equilibrium, where the former Pareto dominates the latter. We then analyze the effects of after-hours fixed-price trading on market liquidity and traders' welfare using the above framework. It is shown that the policy may benefit some liquidity traders if the liquidity demand is sufficiently high after closing. In the remaining case, the policy tends to raise the likelihood of the inefficient low-volume equilibrium before closing, and because of the price rigidity, it discourages trades from happening after closing. Summing up, the policy results in a reduction in both market liquidity and every trader's welfare.

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