台灣、上海及深圳股市交易成本之比較

A Comparison of Transaction Costs on Taiwan, Shanghai, and Shenzhen Stock Markets

詹場(Chang Chan) ； 謝俊魁(Chun-Kuei Hsieh) ； 池祥麟(Hsiang-Lin Chih) ； 徐崇閔(Chung-Min Hsu)

《證券市場發展季刊》 28卷2期 (2016/06) Pp. 107-152

https://doi.org/10.6529/RSFM.2016.28(2).4

摘要

本文比較台灣、上海及深圳股市之交易成本。以價差(spread)與價格衝擊(price impact)衡量交易成本，以2008年近4億筆之日內交易資料進行實證，在未控制攸關變數下所得之結果為：台灣股市之價差為上海股市之1.9倍、深圳股市之1.8 倍；台灣股市之價格衝擊為上海股市之1/4，深圳股市之1/5。在控制升降單位(tick)、公司規模、交易機制等攸關變數後，所得結果：1.台灣股市之價差高於上海及深圳股市之幅度分別縮小63%及56%，但仍然顯著；2.上海與深圳股市之價格衝擊高於台灣股市之幅度分別縮小57%及64%，但仍然顯著。上述結果隱含上海與深圳股市小額交易的交易成本(價差)較低；台灣股市大額交易的交易成本(價格衝擊)較低。我們進一步發現：1.台灣股市價差較高之關鍵因素是升降單位較大，2.台灣股市價格衝擊較小之關鍵因素是採集合競價(call auction)。3.金融海嘯期間台灣、上海、深圳股市之價差分別高於非金融海嘯期間63%, 57%及57%。4.在金融海嘯期間，採集合競價的台灣股市之價格衝擊低於滬深股市之幅度明顯擴大，隱含集合競價在重大金融事件更能充分發揮穩定價格之功能。上述結果對台灣、上海及深圳市場之主管機構、上市公司及投資人都深具意涵。

關鍵字

交易成本 ； 價差 ； 價格衝擊 ； 台灣股市 ； 上海股市 ； 深圳股市

並列摘要

This study aims to make a comprehensive comparison of the transaction costs, which are measured by the spread and price impact, among three stock markets: Taiwan, Shanghai, and Shenzhen. The samples consist of about 400 millions intraday transaction data in year 2008. We find that the bid-ask spread of Taiwan is 1.9 (1.8) times as high as that of Shanghai (Shenzhen), but the price impact of Taiwan is only 1/4 (1/5) times as high as that of Shanghai (Shenzhen). Even after we control the relevant variables, including the tick size, firm size, and trading mechanisms, the results are still similar: First, the bid-ask spread of the Taiwan is still significantly higher than that of Shanghai (Shenzhen), thought the extent of Taiwan higher than Shanghai (Shenzhen) is reduced by 63% (56%); Second, Taiwan still has the lowest price impact among the three stock markets, though the extent of Taiwan lower than Shanghai (Shenzhen) is reduced by 57% (64%). The findings imply Shanghai (Shenzhen) has lower transaction cost (bid-ask spread) especially in small size trades while Taiwan has the lower transaction cost (price impact) for block trades. Furthermore, the major reason why Taiwan has higher bid-ask spread (lower price impact) is the higher tick size (call auction mechanism). In addition, the bid-ask spreads of Taiwan, Shanghai, and Shenzhen during the financial crisis are respectively 63%, 57%, and 57% higher than that during pre-crisis period. Finally, the price impact of Taiwan is lower than Shanghai (Shenzhen) especially during the financial crisis, and the main reason is that the call auction mechanism, which is adopted by Taiwan, can stabilize the stock markets and absorb the price impacts resulting from big financial events. Our empirical results thus have insightful policy implications for regulators, listed firms, and investors in all of these three stock markets.

並列關鍵字

Transaction Cost ； Bid-Ask Spread ； Price Impact ； Taiwan Stock Market ； Shanghai Stock Market ； Shenzhen Stock Market

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