投資人如何在收盤集合競價時間決定委託價、量積極度？探究資訊揭露對自然人與機構投資人之影響

How to Determine the Order Aggressiveness in Price and Volume during the Closing Call Auction? The Influence of Information Disclosure on Individual and Institutional Investors

10.6277/TER.2014.424.4

曾翊恆(Yi-Heng Tseng)

收盤集合競價 ； 限價簿 ； 透明度 ； 委託積極度 ； closing call auction ； limit order book ； transparency ； order aggressiveness

經濟論文叢刊

42卷4期（2014 / 12 / 01）

539 - 599

繁體中文

本文使用2012年2月20日「收盤前資訊揭露新制」實施前後，各約3個月的國內集中市場委託記錄、限價簿資訊等高頻日內資料，並透過兩階段sequential ordered probit（SOP）模型，分析象徵資訊弱勢、優勢方的自然人與機構投資人，如何在收盤集合競價這5分鐘時間內，擬定其委託價、量積極度決策，俾利填補這部份實證研究缺口。我們發現，資訊揭露新制實施後，兩類投資人委託價、量積極度都稍見滑落。在自然人方面，限價簿透明化降低交易訊息收集成本，從而紓緩其委託積極度；對於機構投資人，限價簿增加揭露後將降低收盤集合競價對比常規交易時間的相對吸引力，導致其委託積極度亦趨下降。倘若另將委託出價識別為四等級積極度，orderedprobit（OP）模型邊際機率估計結果暗示，新制實施後自然人（機構投資人）於收盤集合競價時間，大致偏重考量未成交風險高低（能否隱藏其交易意圖）。尤其是，機構投資人會傾向提出劣於限價簿模擬試算最佳同邊報價之委託，俾利隱藏交易資訊。

This paper utilizes six months of high frequency intra-day data from the order and disclosure books of the Taiwan Stock Exchange surrounding the introduction on February 20, 2012, of a new mechanism for information disclosure of the limit order book. A two-stage sequential ordered probit (SOP) model is estimated in order to investigate how individual and institutional investors determine their comparative order aggressiveness in price and volume in the final five-minute closing call auction. Both groups of investors slightly decreased their order aggressiveness in price and volume after the regime transition. In particular, marginal probability under ordered probit (OP) models show that, after the new mechanism was implemented, institutional investors were more likely to deliver orders with prices strictly inferior to the same-side best simulated quotes to hide their trading intensions.

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