题名

台灣股市縮小升降單位對價格群聚與市場流動性的影響

并列篇名

The Impact of Reducing the Minimum Tick Size on Price Clustering and Market Liquidity in the Taiwan Stock Market

作者

蕭朝興(Chao-Shin Chiao)；王子湄(Zi-Mei Wang)；蘇建豐(Chien-Feng Su)

关键词

升降單位 ； 市場流動性 ； 價格群聚 ； 限價委託簿 ； 交易成本 ； Tick Size ； Market Liquidity ； Price Clustering ； Limit Order Book ； Trading Cost

期刊名称

管理與系統

卷期/出版年月

17卷1期（2010 / 01 / 01）

页次

75 - 106

内容语文

繁體中文
中文摘要

本文利用逐筆委託單，以檢測台灣股市縮小升降單位對價格群聚與市場流動性的影響。研究發現，改制後委託單群聚於整數價格的程度提高，同時升降單位能透過價格群聚的中介，進而對買賣價差產生負向的間接影響；在考慮此間接效果後，發現升降單位縮小確實會降低買賣價差，但降低幅度會減少。至於市場深度方面，雖然投資人減少流動性提供意願，使得限價委託簿的累積深度減少，但會改下可市價化限價單。整體而言，改制後投資人實際交易成本獲得改善，其中以交易頻繁個股的有效價差降低最多。
英文摘要

Applying order-level data, this paper examines the impact of reduction in the minimum tick sizes on price clustering and market liquidity in the Taiwan Stock Exchange. After the reduction, we observe an abnormally high frequency of integer prices through which the tick size generates a negative indirect effect on the bid-ask spreads. After explicitly controlling for this indirect effect, smaller tick sizes indeed reduce bid-ask spreads, but the total effect diminishes. As to the market depth, despite the falling liquidity on the limit order book proxied by the cumulative depth, some traders still switch from non-marketable to marketable limit orders. Overall, the effective spreads are found improved after the reduction, especially for high-volume stocks.
主题分类 基礎與應用科學 > 統計
社會科學 > 財金及會計學
社會科學 > 管理學
参考文献
  1. 蕭朝興、王子湄(2008)。台灣股市委託價格群聚現象之實證研究。管理學報，25(3)，359-380。
    連結：
  2. Ahn, H. J.,Cai, J.,Cheung, Y. L.(2005).Price Clustering on the Limit-Order Book: Evidence from the Stock Exchange of Hong Kong.Journal of Financial Markets,8(4),21-451.
  3. Ahn, H.,Cao, C. Q.,Choe, H.(1996).Tick Size, Spread and Volume.Journal of Financial Intermediation,5(1),2-22.
  4. Ahn, H.,Cao, C. Q.,Choe, H.(1998).Decimalization and Competition among Stock Markets: Evidence from the Toronto Stock Exchange Cross-listed Securities.Journal of Financial Markets,1(1),51-87.
  5. Aitken, M.,Comerton-Forde, C.(2005).Do Reductions in Tick Sizes Influence Liquidity?.Accounting and Finance,45(2),171-184.
  6. Working paper
  7. ap Gwilym, O.,Alibo, E.(2003).Decreased Price Clustering in FTSE 100 Futures Contracts Following the Transfer from Floor to Electronic Trading.Journal of Futures Markets,23(7),647-659.
  8. ap Gwilym, O.,Clare, A.,Thomas, S.(1998).Extreme Price Clustering in the London Equity Index Futures and Options Markets.Journal of Banking and Finance,22(9),1193-1206.
  9. Bacidore, J.(1997).The Impact of Decimalization on Market Quality: an Empirical Investigation of the Toronto Stock Exchange.Journal of Financial Intermediation,6(2),92-120.
  10. Bacidore, J.,Battalio, R.,Jennings, R.(2003).Order Submission Strategies, Liquidity Supply, and Trading in Pennies on the New York Stock Exchange.Journal of Futures Markets,6(3),337-362.
  11. Ball, C.,Torous, W.,Tschoegl, A.(1985).The Degree of Price Resolution: The Case of the Gold Market.Journal of Futures Markets,5(1),29-43.
  12. Working paper
  13. Bessembinder, H.(2003).Trade Execution Costs and Market Quality after Decimalization.Journal of Financial and Quantitative Analysis,38(4),747-777.
  14. Working Paper
  15. Bloomfield, R.,O''Hara, M.,Saar, G.(2005).The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity.Journal of Financial Economics,75(1),165-200.
  16. Bollen, N. P. B.,Whaley, R. E.(1998).Are "Teenies" Better?.Journal of Portfolio Management,25(1),10-24.
  17. Christie, W.,Schultz, P.(1994).Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?.Journal of Finance,49(5),1813-1840.
  18. Chung, H.,Chiang , S.(2006).Price Clustering in E-Mini and Floor-Traded Index Futures.Journal of Futures Markets,26(3),269-295.
  19. Chung, K. H.,Kim K. A,Kitsabunnarat, P.(2005).Liquidity and Quote Clustering in a Market with Multiple Tick Size.Journal of Financial Research,28(2),177-195.
  20. Chung, K. H.,Van Ness, B.,Van Ness, R.(2004).Trading Costs and Quote Clustering on the NYSE and NASDAQ after Decimalization.Journal of Financial Research,27(3),309-328.
  21. Cooney, J. W.,Van Ness, B.,Van Ness, R.(2003).Do Investors Prefer Even-Eighth Prices? Evidence from NYSE Limit Orders.Journal of Banking and Finance,27(4),719-748.
  22. Working Paper
  23. Glosten, L.(1994).Is the Electronic Limit Open Book Inevitable?.Journal of Finance,49(4),1127-1161.
  24. Goldstein, M.,Kavajecz, K.(2000).Eighths, Sixteenths, and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE.Journal of Financial Economics,56(1),125-149.
  25. Grossman, S. J.,Miller, M. H.(1988).Liquidity and Market Structure.Journal of Finance,43(3),617-633.
  26. Grossman, S. J.,Miller, M. H.,Cone, K. R.,Fischel, D. R.(1997).Clustering and Competition in Asset Markets.Journal of Law and Economics,40(1),23-60.
  27. Hameed, A.,Terry, E.(1998).The Effect of Tick Size on Price Flustering and Trading Volume.Journal of Business Finance & Accounting,25(7-8),849-867.
  28. Harris, L.(1991).Stock Price Clustering and Discreteness.Review of Financial Studies,4(3),389-415.
  29. Harris, L. E.(1994).Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes.Review of Financial Studies,7(1),149-178.
  30. Working Paper
  31. Working Paper
  32. Huang, Y.-S.,Jiang, C.-H.,Ke, M.-C.(2000).Tick Size and Stock Price Behavior on the Taiwan Stock Exchange.Asia Pacific Journal of Finance,3(2),149-170.
  33. Working Paper
  34. Working Paper
  35. Jones, C.,Lipson, M.(2001).Sixteenths: Direct Evidence on Institutional Trading Costs.Journal of Financial Economics,59(2),253-278.
  36. Kavajecz, K. A.(1999).The Specialist's Quoted Depth and the Limit Order Book.Journal of Finance,54(2),747-771.
  37. Ke, M. C.,Jiang, C. H.,Huang, Y. S.(2004).The Impact of Tick Size on Intraday Stock Price Behavior: Evidence from the Taiwan Stock Exchange.Pacific-Basin Finance Journal,12(1),19-39.
  38. Koski, J. L.,Scruggs, J. T.(1998).Who Trades around the Ex-Dividend Day? Evidence from NYSE Audit File Data.Financial Management,27(1),58-72.
  39. Lee, C. M. C.,Mucklow, B.,Ready, M. J.(1993).Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis.Review of Financial Studies,6(2),345-374.
  40. O''Connell, V.(1997).Conversion to Decimal System in Stocks Could Prove a Boon to Small Investors.Wall Street Journal,6(1)
  41. Peake, J. W.,R. A. Schwartz (Eds.)(1995).Global Equity Markets: Technological, Competitive, and Regulatory Challenges.Chicago, IL:Irwin Professional.
  42. Porter, D.,Weaver, D.(1997).Decimalization and Market Quality.Financial Management,26(1),5-26.
  43. Ready, M.(1999).The Specialist's Discretion: Stopped Orders and Price Improvement.Review of Financial Studies,12(5),1075-1112.
  44. Working paper
  45. Ronen, T.,Weaver, D.(2001).Teenies' Anyone?.Journal of Financial Markets,4(3),231-260.
  46. Seppi, D. J.(1997).Liquidity Provision with Limit Orders and a Strategic Specialist.Review of Financial Studies,10(1),103-150.
  47. 曾耀輝、陳文練、余珮琦(2005)。集中市場股價升降單位之檢討及調整後初步實證分析。證交資料，521，4-30。
被引用次数
  1. 謝俊魁、詹場、徐崇閔、池祥麟(2016)。台灣、上海及深圳股市交易成本之比較。證券市場發展季刊，28(2)，107-152。
  2. 詹場、葉鴻志、徐崇閔、胡星陽、池祥麟(2013)。實施造市機制對台灣權證市場品質之影響。證券市場發展，25(4)，1-66。
print cancel