台灣股票市場揭示五檔與成交價量對股價的關聯性－以台積電為例

Taiwan Stock Market Reveals the Correlation between the Five Stalls and the Price of the Transaction-A Case Study of TSMC

10.3966/199553922018091202004

黃惠盟(Hui-Mon Huang)

台灣股票市場 ； 最佳五檔買賣報價 ； 委託簿流動性 ； 揭示制度 ； Taiwan stock market ； five best bid/ask quotes ； Aggressiveness Index (AI) ； disclosure rules

多國籍企業管理評論

12卷2期（2018 / 09 / 01）

175 - 193

繁體中文

臺灣證券交易所為使資訊更透明、交易更公平，以提供投資人更充分的資訊作為買賣決策參考，爰參考國際主要證券交易所資訊揭露方式，自2003年1月2日起，實施揭露未成交的最佳五檔買賣委託價量措施。投資人可藉由所謂未成交的「最佳五檔」價量資訊，作為投資人買賣決策參考依據。本文參考Barber et al.（2009）提出的委託簿流動性（Aggressiveness Index, AI）中委託簿買賣五檔之權重訂法，除了變更權重方法以符合隔期報酬率之正相關算法，並加入即期成交價量之張數及權重，經於台積電股票樣本期內計194,248筆樣本之迴歸分析，結果顯示，在以揭示五檔之價量數據作為投資人買賣參考依據時，加入即期成交價量之方向性，更能掌握股價的漲跌方向，對各型投資人之自行計算與投資判斷更具方便性。研究發現加入即時成交價量於統計分析中，可大幅提高揭示五檔對即期報酬率的關聯性。

In order to achieve more transparency in information and fairer trading, for the purposes of allowing investors to make informed decisions concerning biding or asking, the Taiwan Stock Exchange Corporation (TWSE) referred to the disclosure methods adopted by major international stock exchange corporations and implemented the disclosure rules featuring the five best bid/ask quotes of the volume of unexecuted orders since January 2nd, 2003. Investors can take into account the so-called unexecuted ＂five best＂ information when they are making decisions about biding or asking. This paper refers to the methodology as put forth by Barber et al. (2009) concerning Aggressiveness Index (AI) and its weighting mechanism of the five bid/ask stalls, revises the weighting method so as to make it in line with the positive correlation with the return rate of forward transactions, and adds the number and weighting of the volume of spot transactions. The results of regression analysis of 194,248 samples gathered in TSMC during its stocks sampling period show that when the five quotes are disclosed for the investors to make informed decisions about biding or asking, adding the directionality of spot trading volume can better grasp the tendency of stock prices, making it more convenient for all types of investors to conduct calculations and make investment judgements on their own. The study finds that adding trading volume on a real-time basis to the statistics can significantly increase the correlation between the revealing of five stalls and the return rate of spot transactions.

1. 台灣積體電路製造股份有限公司（TSMC），取自http://www.tsmc.com.tw/chinese/default.htm。
2. 臺灣證券交易所及五檔價量資訊宣傳海報文稿，取自http://www.twse.com.tw、http://www.dcn.com.tw/download/tse.pdf。
3. Barber, B.M.,Lee, Y.-T.,Liu, Y.-J.,Odean, T.(2009).Just how much do individual investors lose by trading?.Review of Financial Studies,22(2),609-632.
4. Bloomfield, R.,O'Hara, M.(1999).Market Transparency: Who wins and who loses?.Review of Financial Studies,12(1),5-35.
5. Cao, C.,Hansch, O.,Wang, X.(2009).The information content of an open limit-order book.Journal of Futures Markets,29(1),16-41.
6. Li, Y. L.(2018).A methodology to forecast price of futures by trading volume of large traders in futures market.Journal of Accounting and Finance Development,11(1),1-22.
7. O'Hara, M.(1995).Market Microstructure Theory.:Basil Blackwell.
8. Van Ness, B. F.,Van Ness, R. A.,Watson, E. D.(2015).Canceling Liquidity.Journal of Financial Research,38(1),3-33.
9. 張國宏(2002)。碩士論文(碩士論文)。國立高雄第一科技大學財務管理所。
10. 黃文穎(2017)。碩士論文(碩士論文)。淡江大學財務金融學系碩士班。
11. 黃玉娟、陳培林、鄭堯任(2007)。交易機制改變對市場績效之影響：透明度與撮合頻率之探討。證券市場發展季刊，19(1)，133-158。
12. 盧陽正(2007)。中華民國證券商業同業公會委託專題研究中華民國證券商業同業公會委託專題研究,中華民國證券商業同業公會。
13. 謝瑋珊(2015)。碩士論文(碩士論文)。淡江大學財務金融學系碩士班。