升降單位對股票價差與價格群聚的影響－新舊升降單位制度之比較

The Impact of Tick Size on Stock Price Spread and Clustering: New v.s. Old Tick Size Systems

李見發(Jian-Fa Li)；林益倍(Yih-Bey Lin)；許光華(Kuang-Hua Hsu)；周欣怡(Sin-Yi Jhou)

升降單位 ； 集合競價 ； 買賣價差 ； 價格群聚 ； Tick Size ； Call Auction Trading ； Spread ； Price Clustering

台灣金融財務季刊

14卷2期（2013 / 06 / 01）

71 - 90

繁體中文

本文利用台灣證券市場多級距升降單位制度的特性，分別在舊有與新的升降單位制度下，考慮價格群聚對價差的間接影響後，驗證較小的升降單位是否有效降低買賣價差；並且檢視多級距升降單位制度，相較於單一固定制，是否減緩升降單位對買賣價差的影響。實證顯示，在舊有多級距升降單位制度下，當升降單位分別為0.05元、0.5元與1元時，股票的買賣價差會隨著升降單位擴大而增加，以及所設定的升降單位級距會左右交易成本，且價格愈高時，其買賣價差受升降單位限制會愈大，其交易成本也會愈高。而台灣證券交易所於2005年3月實施新的升降單位制度，針對升降單位所適用之價格級距加以調整，除了調降部分股票的升降單位外，亦縮減升降單位組內的相對升降單位（升降單佔股價比例），實證顯示，各升降單位級距的買賣價差並不存在顯著的差別，不同於舊有升降單位制度下，除升降單位0.01外，各升降單位級距呈現買賣價差隨升降單位擴大而增加之情況；另ㄧ方面，目前新的多級距升降單位制度，相較於單一固定股價升降單位制度，已改善升降單位對買賣價差的影響，以及相較於舊制，新的升降單位制度亦有效改善高單價股（50元－500元）的均衡買賣價差受制於升降單位的情形。

This study examines the effect of step-increasing tick sizes on price clustering and spread. The result reveals that stocks subject to larger mandatory tick size have wider spreads in previous tick system, but tick sizes have no significant impact on transaction cost after further decrease in tick size. Interestingly, low-price stock with smaller tick sizes have wider spreads and more quote clustering in new tick system instead. It implies that 1-cent tick size is so trivial to increase negotiation cost for low-price stock investors. Overall, our results suggest that smaller tick sizes for low-priced stocks are detrimental to market liquidity.

1. Ahn, H. J.,Cao, C.,Choe, H.(1996).Tick Size, Spread, and Volume.Journal of Financial Intermediation,5,2-22.
2. Ball, C. A.,Torous, W. A.,Tschoegl, A. E.(1985).The Degree of Price Resolution: The Case of the Gold Market.Journal of Futures Markets,5,29-43.
3. Barclay, M.(1997).Bid-Ask Spreads and the Avoidance of Odd-Eighth Quotes on NASDAQ: An Examination of Exchange Listings.Journal of Financial Economics,45,35-60.
4. Christie, W. G.,Harris, J. H.,Schultz, P. H.(1994).Why Did NASDAQ Market Makers Stop Avoiding Odd-Eighth Quotes?.Journal of Finance,49,1841-1860.
5. Christie, W. G.,Schultz, P. H.(1994).Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?.Journal of Finance,49,1813-1840.
6. Chung, K. H.,Charoenwong, C.,Ding, D. K.(2004).Penny Pricing and the Components of Spread and Depth Changes.Journal of Banking & Finance,28,2981-3007.
7. Chung, K. H.,Chuwonganant, C.(2002).Tick Size and Quote Revisions on the NYSE.Journal of Financial Markets,5,391-410.
8. Chung, K. H.,Kim, A. K.,Kitsabunnarat, P.(2005).Liquidity and Quote Clustering in a Market with Multiple Tick Sizes.Journal of Financial Research,28(2),177-195.
9. Chung, K. H.,Van Ness, B.,Van Ness, R.(2001).Can the Treatment of Limit Orders Reconcile the Difference in Trading Costs between NYSE and NASDAQ Issues?.Journal of Financial & Quantitative Analysis,36,267-286.
10. Easley, D.,O''Hara, M.(1987).Price, Trade Size, and Information in Securities Markets.Journal of Financial Economics,19,69-90.
11. Grossman, S. J.,Miller, M. H.,Cone, K. R.,Fischel, D. R.(1997).Clustering and Competition in Asset Markets.Journal of Law and Economics,40,23-60.
12. Hameed, A.,Terry, E.(1998).The Effect of Tick Size on Price Clustering and Trading Volume.Journal of Business Finance & Accounting,25,849-867.
13. Harris, L.(1994).Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes.Review of Financial Studies,7,149-178.
14. Harris, L.(1991).Stock Price Clustering and Discreteness.Review of Financial Studies,4,389-415.
15. Kandel, E.,Marx, L. M.(1997).NASDAQ Market Structure and Spread Patterns.Journal of Financial Economics,45,61-89.
16. Kim, K. A.,Rhee, G.(1997).Price Limit Performance: Evidence from the Tokyo Stock Exchange.Journal of Finance,52,885-901.
17. O''Hara, M.(1995).Market Microstructure Theory.Cambridge:Blackwell Publisher Inc..
18. Osborne, M. F. M.(1962).Periodic Structure in the Brownian Motion of Stock Prices.Operations Research,10,345-379.
19. Porter, D. C.,Weaver, D. G.(1997).Tick Size and Market Quality.Financial Management,26(4),5-26.
20. Seppi, D. J.(1997).Liquidity Provision with Limit Orders and a Strategic Specialist.Review of Financial Studies,10,103-150.
21. 左昭信(2000)。碩士論文(碩士論文)。政治大學金融研究所。

1. 鄧淑媛、劉任昌、殷向真(2017)。臺灣股票價格群聚現象之分析。兩岸金融季刊，5(2)，85-105。