透明度、資訊內涵及下單策略之實證研究

Transparency, Information Content and Order Placement Strategy

10.6545/JFS.2011.19(1).1

林雅玲(Ya-Ling Lin)；馬黛(Tai Ma)

事前透明度 ； 限價簿 ； 資訊內涵 ； 下單策略 ； Pre-trade transparency ； limit order book ； information content ； order strategy

財務金融學刊

19卷1期（2011 / 03 / 31）

1 - 32

繁體中文

台灣證交所自民國91年及92年起連續歷經兩次揭示制度變革，本文採用高頻率日內資料探討其在透明度增加後的兩個構面：（1）限價簿資訊內涵；（2）限價簿資訊對投資人下單策略的影響。實證顯示，法人買方揭示價量的資訊內涵高於法人賣方、揭示價的資訊內涵高於揭示量、法人的揭示價量資訊內涵高於散戶、散戶第一檔揭示價量的資訊內涵皆高於第一檔以外的平均揭示價量，反之，法人第一檔以外平均揭示價量的資訊內涵並不低於第一檔，尤以國內法人較為明顯。另亦發現，雖投資人的下單決策大多受到最佳一檔揭示資訊影響，新增的第二檔至第五檔揭示資訊仍具部分解釋力。

This study examines the impact of increasing pre-trade transparency using intraday data from the Taiwanese stock market, which has experienced a gradual increase in transparency. Specifically, we analyze the influence of transparency on information content of the limit order book, and its effect on order placement strategies. According to limit order book information, we evidence four major results. The bid disclosures of institutional investors are more informative than the ask disclosures. The disclosed quotes are more informative than the accompanied depth, and the orders of institutional traders are more informative than those of individual traders. Interestingly, the best quotes of unexecuted orders for individual traders always contain more information than the average quotes from steps 2 to 5, whereas this does not apply for institutional investors, especially for domestic institutional traders. With regard to order strategies, though most of the explanatory power of the limit order book concentrates on the best quotes, however, the book beyond the best quotes also matters in explaining the order aggressiveness of investors.

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