Call Auction Frequency and Market Quality: Active versus Inactive Stocks

集合競價撮合頻率與市場品質之探討－交易活絡股票與不活絡股票之比較

詹淑慧(Shu-Hui Chan)；黃玉娟(Yu-Chuan Huang)

Call frequency ； Trading speed ； Frequent call auction ； Market quality ； 撮合頻率 ； 交易速度 ； 集合競價撮合頻率 ； 市場品質

經濟論文

47卷3期（2019 / 09 / 01）

449 - 484

英文

This paper examines the effects of different call frequency regimes on the Taiwan Stock Exchange from 2013 to 2015. The interim performance of the call mechanism during its transition to higher frequencies is investigated, and market liquidity, volatility, and efficiency are used to measure market quality. Regarding active stocks, when the call frequency increases, depth and intraday market volatility improve but trading volume declines significantly. For inactive stocks, the increase in trading frequency leads to a significant improvement in trading volume, spread and intraday volatility. However, depth declines and market efficiency decreases significantly.

台灣證券交易所於2013年至2015年間，逐步縮短盤中集合競價撮合循環秒數以加快撮合頻率。本研究以市場流動性、波動性與效率性探討歷次交易制度變革對市場品質的影響，實證結果顯示提高集合競價撮合頻率後，對於交易活絡股票，其市場深度及日內波動性均獲得改善，但成交量顯著減少；至於交易不活絡股票，其成交量、價差及日內波動性呈現顯著改善，但市場深度及效率性則顯著下降。

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