- 期刊
委託決策、委託交易品質與成交量能：加快撮合之實證觀察
Order Choices, Order Execution Quality and Trading Volume: Evidence from Reductions in the Call Auction Interval
摘要
本文分析2013-2015年臺股分盤時距由20減至15秒（變革I）、10秒減至5秒（變革II）之加快撮合對投資人委託決策、自然人委託交易品質、個股成交量能有何直接影響效應。實證結果指出，「時間壓迫」效應導致新委託申報與撤單意願皆多呈遞減。機構投資人時效需求偏高，價位積極狀態升溫，盤距降至5秒時對大型股似有拆單活躍跡象。象徵弱勢方的自然人，時效需求較低且「監看」能力薄弱，在變革II中「觀望」效應躍居主導地位，對大型股委託積極狀態轉趨保守。雖然自然人當盤成交比例未有清楚升降方向，但對大型股委託當盤成交率下滑，而變革II後限價單綜合曝險度遞減。變革I直接激勵熱門交易股票成交值增長10.57%，變革II促成機構投資人交易比1.56%之增幅。
並列摘要
From 2013 to 2015, the Taiwan Stock Exchange (TWSE) first reduced the call auction interval from 20s to 15s (hereafter denoted as Reform I), and then from 10s to 5s (hereafter denoted as Reform II), providing natural experiments to test the direct impact on order choices, order execution quality and trading volume. The present study provides evidence that the "time contraction" effect causes the decrease in the number of order submissions and cancellations. We find that with more frequent auctions, institutional investors raise order aggressiveness because of their higher demand for immediacy and tend to engage more in order splitting particularly when the auction interval is reduced to 5s. We also find that for individual investors who symbolize the uninformed traders having lower demand for immediacy and incurring higher monitoring cost, the "wait-and-see" effect becomes dominant in Reform II and lowers their order aggressiveness in large cap stocks. Although the direction of changes in the trade-to-auction ratio remains unclear, we show that the probability of limit-order execution of individual investors becomes lower in large cap stocks, and the comprehensive risk of limit-orders becomes smaller subsequent to Reform II. Following Reform I, the trade value of heavily traded stocks increases by 10.57%. After Reform II, the increase in percentage of trade value attributable to institutional investors is about 1.56%.