台灣證券市場委託單失衡方向之推導及實證

Infer the Order Imbalance in a Call Auction Market-Evidence from Taiwan Stock Market

10.6545/JFS.2008.16(1).2

胡呈陽(Shing-Yang Hu)；詹場(Chang Chan)

委託單失衡 ； 分盤競價 ； 台灣證券市場 ； 淨委託量 ； order imbalance ； call auction ； Taiwan stock market ； net order

財務金融學刊

16卷1期（2008 / 03 / 31）

19 - 63

繁體中文

本文在分盤競價（Call Auction）交易機制的根基上，以前一交易盤成交價為基礎，推論當盤的淨委託量（Net Order），再依據淨委託量定義當盤的委託單失衡（Order Imbalance）方向及程度，進而推導出委託單失衡的衡量方法。應用本推得的委託單失衡衡量方法，所需的資料包括：成交價、揭示買債、揭示賣價、揭示買價下的委託量、揭示賣價下的委託量，這些資料都是即時公開可得的。因此，在沒有臺灣證交所獨有的委託資料情況下，研究人員與一般投資人也能根據本文的方法，反峙的衡量臺灣股市各交易盤的委託單失衡狀態。為了驗證本文委託單失衡衡量方法在臺灣股市的適用性，我們分別以民國93年7月1日到9月30日期間所有上市公司的629萬筆日內交易資料，以及民國85年9月1日至88年4月30日期間市值最大的30家公司之476萬筆日內交易資料進行實證。結果發現，本文的方法能有效的衡量台灣股市之委託單失衡，]衡量所得的當盤委託單失衡狀態可以正確預測下一盤成交償的變動方向。

This study focuses on the order imbalance of call auction market. We base on the net order reached between two auctions to define the order imbalnce (that is the relative size of the buy and sell orders). Based on our definition, we develop the general rules to infer the order imbalance for call auction market. The data needed for applying the rules are: trade price, both the best bid and ask and their sizes. In general, these data are available for all market participants, so investors can measure the order imbalance in time by our rules without the original order data. To verify the effective of our rules, we emply more than ten million call auctions data from Taiwan stock market. The empirical result shows that our rules can effectively measure the order imbalance, and the order imbalance of current call can correctly predict the movement direction of transaction price of next call.

1. 詹場、胡星陽(2005)。台灣證券市場日內交易資料之揭露及特性分析。證券市場發展季刊，17(3)，89-118。
   連結：
2. Admati, A. R.,P Pfleiderer(1988).A theory of intraday patterns Volume and price variability.Review of Financial Studies,1,3-40.
3. Blume M.,A. MacKinlay,B. Terker(1989).Order imbalances and stock puce movements on October 19 and 20, 1987.Journal of Finance,44,827-848.
4. Brown, P.,D. Walsh,A. Yuen(1997).The interaction between order imbalance and stock puce.Pacific-Basin Finance Journal,5,539-557.
5. Chan, K.,W. Fong(2000).Trade size, order imbalance, and the volatility volume relation.Journal of Financial Economic,57,247-273.
6. Chordia, T.,A. Subrahmanyam(2004).Order imbalance and individual stock returns: Theory and evidence.Journal of Financial Economics,72,485-518.
7. Chordia, T.,R. Roll,A. Subrahmanyam(2002).Order imbalance, liquidity, and market returns.Journal of Financial Economics,65,111-130.
8. Foster, F. D.,S. Viswanathan(1993).Variations in trading volume, return volatility, and trading costs: Evidence on recent price formation models.Journal of Finance,48,187-211.
9. Hasbrouck, J.(1988).Trades, quotes, inventories, and information.Journal of Financial Economics,22,229-252.
10. Hasbrouck, J.(1991).Measuring the information content of stock trades.Journal of Finance,46,179-207.
11. Hashrouck, J.,D. Seppi(2001).Common factors in prices, order flows and liquidity.Journal of Financial Economics,59,383-411.
12. Hirshleifer, D.,A. Subrahmanyam,S. Titman(1994).Security analysis and trading pattems when some investors receive information before others.Journal of Finance,49,1665-1698.
13. Huang R.,H. Stoll(1994).Market microstructure and stock return predictions.Review of Financial Studies,7,179-213.
14. Jakob, K.,T. Ma(2003).Order imbalance on ex-dividend days.Journal of Financial Research,26,65-75.
15. Kraus, A.,H. Stoll(1972).Price impacts of block trading on New York Stock Exchange.Journal of Finance,27,569-588.
16. Kyle, A.(1985).Continuous auctions and insider trading.Econometrica,53,1315-1335.
17. Lauterbach, B.,U. Ben-Zion(1993).Stock market crashes and the performance of circuit breakers: Empirical evidence.Journal of Finance,48,1909-1925.
18. Lee, C.(1992).Earnings news and small traders: An intraday analysis.Journal of Accounting and Economics,15,265-302.
19. Lee, C.,M. Ready(1991).Inferring trade direction from intraday data.Journal of Finance,46,733-747.
20. Lee, Y. T.,Y. J. Lin,R. Roll,A. Subrahmanyam(2004).Order imbalances and market efficiency: Evidence from the Taiwan Stock Exchange.Journal of Financial and Quantitative Analysis,39,327-341.
21. Liu, Y. J.(1997).Periodic market closure and order imbalances.Global Finance Journal,8,95-111.
22. Madhavan, A.,S. Smith(1993).An analysis of changes in specialist inventories and quotations.Journal of Finance,48,1595-1628.
23. Scharfstein, D.,J. Stein(1990).Herd behavior and investment.American Economic Review,80,465-479.
24. 張繼聖(1995)。碩士論文(碩士論文)。中正大學財務金融研究所。
25. 詹場、胡星陽、陳建宏(2004)。台灣證券市場揭示狀態之資訊涵量。證券市場發展季刊，15(4)，1-36。
26. 劉玉珍、周行一、潘璟靜(2006)。台灣股市價格限制與交易行為。中國財務學刊，4(2)，68-87。

1. 曾翊恆(2014)。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。經濟論文叢刊，42(4)，539-599。
2. 湯惠雯、陳振遠、張眾卓、王元章(2012)。資訊揭露評鑑成績對市場波動性與買賣單不平衡之抑制效果。財務金融學刊，20(1)，1-32。