實施造市機制對台灣權證市場品質之影響

The Impact of the Implementation of Market Maker Mechanism on the Quality of theTaiwan Warrants Market

詹場(Chang Chan) ； 胡星陽(Shing-Yang Hu) ； 池祥麟(Hsiang-Lin Chih) ； 葉鴻志(Hung-Chih Yeh) ； 徐崇閔(Chung-Min Hsu)

《證券市場發展季刊》 25卷4期 (2013/12) Pp. 1-66

https://doi.org/10.6529/RSFM.2013.25(4).1

摘要

本研究評估台灣權證市場實施造市機制對市場品質之影響。我們以兩年樣本期間之1萬2千檔權證，1千6百萬筆日內交易資料進行實證。所得結果為：1.實施造市機制對提升臺灣權證市場品質具有正面功能。在未控制攸關變數下之實證結果為：價差減少63%，深度增加231%，價格衝擊減少65%，波動性與效率性沒有顯著變化；在控制權證屬性、權證發行券商屬性、權證標的股屬性及市場攸關變數後，所得之結果為：價差顯著降低，深度顯著增加，價格衝擊減少，波動性與效率性之變動方向不明顯。2.對具有下列屬性之權證實施造市機制成效較佳：認售、美式之權證；規模較小、發行量較少之券商所發行的權證；標的股之成交量較少、市場品質較佳、較常被當標的股的權證。3.實施造市機制對不須造市之權證具有降低價差、增加深度之效果。

關鍵字

造市機制 ； 市場品質 ； 價差 ； 深度 ； 臺灣權證市場

並列摘要

This study aims to evaluate the effect of the implementation of the market maker mechanism on the market quality of the Taiwan warrants market. The sample period is between July 1, 2008 and June 30, 2011 and the samples consist of 12,000 warrants and 16 million intraday transaction data. The findings are as follows. First, the implementation of the market makers mechanism has a positive effect on the market quality of the Taiwan warrants market: the new mechanism, before considering control variables, produces 63% decrease in spread, 231% increase in depth, and 65% decrease in price impact, but it has no significant improvement both in volatility and efficiency. If we control the attributes of the warrants, those of the warrant issuers, those of the underlying stocks, and other vital market variables, respectively, the market quality is still found to have significant improvements: lower spread, increased depth, and reduced price impact, but there is still no significant improvement both in volatility and efficiency. Second, due to the implementation of the market maker mechanism, the most significant improvements in market quality are mostly found in those warrants, which are put and American style, issued by securities firms with smaller size, or with smaller issuance. If the underlying stocks of the warrants are thinly-traded, with better market quality, or more popular among warrant issuers, these warrants are also found to have better improvements in the market quality attributed to the new mechanism. Finally, interestingly and strikingly, the implementation of market maker mechanism also reduces the spread, and increases the depth, for those warrants, which are issued before the implementation date of the new mechanism and thus with no market-making requirements.

並列關鍵字

Market Maker Mechanism ； Market Quality ； Spread ； Depth ； Taiwan Warrant Market

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