零股盤中交易流動性及零股開盤和整股的價差探討： 以台灣上市公司為例

臺灣證交所於 2020/10/26 開始實施盤中零股交易，本文探討臺灣零股盤中交易的流動性及零股-整股開盤價差。本文使用 950 家臺灣上市公司於 2020/10/26~2022/12/16 實施盤中零股 3 分鐘撮合的盤中交易資料。自 2020 年 10 月至 2022 年 12 月，上市股票零股流動性顯著增加，且高價股零股流動性優於低價股零股流動性，不同於過去整股交易認知：高股價流動性較低股價差，推論原因是散戶投資人偏好使用零股交易投資高價股，使用整股交易投資低價股。本文也探討了零股早上9:10開盤時與整股的價差與台股加權指數開盤與前一個交易日收盤價差及整股開盤與前一個交易日收盤價差的關係，研究結果顯示，散戶投資人在使用零股交易投資會有逆勢交易行為。在台股加權指數或整股開盤價相對前一個交易日收盤價「不漲」時，也就為「跌」或「中性」時，對零股-整股9:10開盤價差產生正價差影響；而整股開盤價相對前一交易日收盤價漲時，對零股-整股9:10開盤價差產生負價差影響，然而台股加權指數開盤價較前一交易日收盤價漲時，對零股-整股9:10開盤價差價影響不顯著。

關鍵字

零股交易；零股和整股價差；流動性；逆勢交易；散戶交易行為

並列摘要

The Taiwan Stock Exchange (TWSE) implemented intraday odd-lot trading starting from October 26, 2020. This study explores the liquidity of odd-lot trading and the price difference between odd-lot and round-lot trading in Taiwan. The research utilizes intraday trading data for 950 listed companies on the TWSE from October 26, 2020, to December 16, 2022, specifically focusing on the 3-minute matching period for odd-lot trades. From October 2020 to December 2022, the liquidity of odd-lot trading for listed stocks has notably increased. Interestingly, higher-priced stocks exhibit better liquidity in odd-lot trading compared to lower-priced ones. This contrasts with previous perceptions of round-lot trading, where higher-priced stocks tend to have lower liquidity. The inference drawn is that retail investors prefer using odd-lot trading for investing in higher-priced stocks and round-lot trading for lower-priced stocks. The study also examines the relationship between the price difference of odd-lot trading and round-lot trading at the opening minute (9:10 AM) and the opening price difference between the Taiwan Weighted Index (TSE) and the previous trading day's closing price, as well as the opening price difference between round-lot trading and the previous trading day's closing price. The research findings indicate that retail investors exhibit contrarian trading behavior when using odd-lot trading. When the opening price of the TSE or round-lot trading is relatively "not higher" than the previous trading day's closing price, indicating a "fall" or "neutral" trend, it positively influences the price difference between odd-lot and round-lot trading at 9:10 AM. On the other hand, when the opening price of round-lot trading is relatively higher than the previous trading day's closing price, it negatively impacts the price difference between odd-lot and round-lot trading at 9:10 AM. However, when the opening price of the TSE is relatively higher than the previous trading day's closing price, it does not have a significant impact on the price difference between odd-lot and round-lot trading at 9:10 AM.