Market Competition and Price Clustering: Evidence from the ETF Market

市場競爭與價格群聚：ETF市場之分析

徐淑芳(Shufang Hsu) ； 鍾惠民(Huimin Chung) ； 陳煒朋(Wei-Peng Chen)

《財務金融學刊》 26卷4期 (2018/12) Pp. 1-44

https://doi.org/10.6545/JFS.201812_26(4).0001

摘要

We explore the impact of UTP implementation on ETF price clustering. The empirical results show a discernible reduction in price clustering on the overall market, attributable to improvements in the liquidity of order flow. After UTP trading commenced on the NYSE, large traders can more easily split their orders into smaller sizes and move to the optimal trading venue. These findings show feasible explanations for the relative competitive advantage associated with executing large orders once the NYSE entry reduced negotiation risks due to increasing competition among market makers, public availability of price information, and the alleviation of price risk.

關鍵字

Exchange traded funds (ETFs) ； price clustering ； liquidity ； multimarket trading

並列摘要

本文探討NYSE因UTP制度開始交易ETF後，對ETF價格群聚的影響。實證結果發現，多重市場交易有助提升市場流動性，並降低價格群聚，且對大單尤其明顯。推論此結果可歸因於多重市場交易使投資人拆單更容易，增加造市者之間的競爭，提升資訊透明度，降低價格風險，因此有助於減少協商議價過程的風險，而此對大單的影響特別重要。

並列關鍵字

ETFs ； 價格群聚 ； 流動性 ； 多重市場交易

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