台灣證券市場日內交易資料之揭露及特性分析

An Analysis of Intraday Transactions Data for Taiwan Securities Market

詹場(Chang Chan) ； 胡星陽(Shing-Yang Hu)

《證券市場發展季刊》 17卷3期 (2005/10) Pp. 89-118

https://doi.org/10.6529/RSFM.2005.17(3).4

摘要

台灣證券市場在實施每90秒（一撮合循環）撮合兩次的期間，每一支股票在一撮合循環中，等候86秒後進行第1次撮合（第1盤），接著再等候4秒進行第2次撮合（第2盤）。本文發現撮合間隔時間較短的第2盤交易，其報酬率、成交量、波動性、及價格行為，都顯著異於第1盤交易。此外，我們發現臺灣股市日內成交量存在顯著的自我正相關，且其程度不隨落後期數的遞增而遞減；而日內報酬率則存在顯著的自我負相關，且其程度隨落後期數的遞增而遞減。本文同時發現台灣證券交易所有時會將同一盤的交易資料分成兩筆紀錄，而這兩筆資料的交易時間完全相同，成交價都是當盤的成交價，但這兩筆資料的成交量合計才是當盤的成交量。因此，若未將時間點相同的資料予以適當處理，這些原屬同一盤交易所形成的價量資料，可能會被誤認為是由兩盤交易所形成的，而導致錯用成交量資料及重複使用成交價資料，以致低估報酬絕對值、波動性、流動性、成交量及成交量自我相關，以及高估效率性和交易頻率。

關鍵字

台灣證券市場 ； 撮合頻率 ； 日內資料 ； 資料特性 ； 資料揭露

並列摘要

The paper provides an analysis of intraday transactions data for Taiwan stock exchange (TSE). TSE use call auction throughout the day, during the period from 1993 to 2002, the time between call auctions can be either 86 seconds (long time interval call) or 4 seconds (short time interval call). We found that the return, volatility, volume, and price behavior of the calls with short time interval are significantly different from those of the calls with long time interval. Meanwhile, we found the intraday return of TSE with significantly negative autocorrelation, and the intraday volume with significantly positive autocorrelation. Additionally, before 2000, due to operating procedure of TSE, the transactions in one call are sometimes separated into two records. To provide evidences of the argument, we use the intraday data of TSE during the period from June to August in 1997. Out of 5652313 records, 1169323 (21%) occurred at the same time with the record reported right before them. In fact, both records actually come from the same call. So, if one does not merge these records, then 42% of volume data and 21% of price data are incorrect. and the measure of return, volume, volatility, liquidity, and efficiency will have biases.

並列關鍵字

Taiwan Securities Market ； Call Auction ； Clearing Frequency ； Trading Frequency ； Intraday Data

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