市場穩定與競價制度－台灣期貨市場之實證

Mark Stability and Trading Mechnism: Evidence from Taiwan Futures Market

10.6277/TER.2014.421.3

詹場(Chang Chan)；李志宏(Jie-Huan Lee)

集合競價 ； 連續競價 ； 波動性 ； 台灣期貨市場 ； 金融危機 ； call auction ； continuos auction ； volatility ； Taiwan futures market ； financial crisis

經濟論文叢刊

42卷1期（2014 / 03 / 01）

49 - 101

繁體中文

本研究藉由台灣期貨交易所由每10秒撮合1次之集合競價（call auction）改為連續競價（continuous auction）之機會，探討集合競價與連續競價之市場波動性差異的原因。我們用約500萬筆日內交易資料進行實證，結果顯示集合競價市場暫時性的價格波動較低，其主要原因有二：1. 集合競價的買賣價跳動（bid ask bounce）情形較緩和，2. 集合競價每次交易之參與者較多，成交價格偏離均衡價值之幅度較小。此外，我們發現集合競價穩定市場價格之功能優於連續競價，在下列兩種情境更顯著：1. 資訊不對稱程度較高時，2. 交易較熱絡之商品。本研究之結果提供何以世界主要股市開盤採取集合競價，以及何以在市場異常時實施暫停交易（trading halt）措施之解釋；同時提供主管機構如何藉由競價機制選擇穩定金融市場之訊息，此訊息對處於金融危機、發生重大政治經濟事件時期、以及市場較不成熟（例如以散戶為主）階段的交易機制決策，深具參考價值。

This research investigates why the market volatility of call auctions is different from that of continuous auctions, using the shift from call auctions (one clearing every 10 seconds) to continuous auctions in the Taiwan Futures Exchange. Through an empirical study of 5,000,000 intraday transactions, we find that there is lower temporary price volatility in call auctions. The lower volatility of call auctions is due to two major reasons: first, the bid ask bounce in call auctions is moderate; second, more participants join each transaction in call auctions therefore the transaction price deviates less from the equilibrium value. Moreover, we also find that call auctions may stabilize market prices, especially under the following two circumstances: first, when information is highly asymmetric; second, when an instrument is more actively traded. The findings of this research help to explain why the major stock markets in the world adopt call auctions and why a trading halt is implemented when the market is unstable. The result also offers the governing authority a way to choose financial-market-stabilizing information. The information is important in a financial crisis, during important politico-economic events, and for immature markets (e.g., a market dominated by individual investors)

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