委託單延長交易時間對投資人投單之影響

The Effects of Extending the Trading Time on Investors' Order Submission Strategies in an Order-Driven Market

蔡怡純(I-Chun Tsai) ； 馬黛(Tai Ma)

《台灣金融財務季刊》 8卷2期 (2007/06) Pp. 29-47

摘要

在行政院金管會著手研議交易時間的調整後，此議題引起券商及外資正反意見不同的討論。於此，本文試圖建構－理論模型，描述委託單驅動市場延長交易之下，對投資人投單策略的影響。由模型的均衡結果發現，交易時間的延長會增加下限價單成交的機率，流動性交易者就會偏好下限價單以完成較低成本的流動性交易；而無關交易時間，資訊交易者的最適策略都是下限價單。模型結果說明，交易時間的延長可以增加委託單驅動市場的流動性，活絡市場，此結果可提供券商爭取延長交易時間的理論依據。

關鍵字

延長交易時間 ； 委託單驅動市場 ； 限價單 ； 交易者投單策略

並列摘要

The Taiwan Financial Supervisory Commission is considering to adjust the trading time of the Taiwan Stock Market. This plan has provoked a great deal of controversy especially for stockbrokers and foreign investors. Therefore, the purpose of this article is to build a theoretical model to analyze the effects of extending the trading time on investors' order submission strategies in a dynamic order-driven market. The model shows that extending trading time will increase the probability of order execution, and as a result, liquidity traders will more likely place limit orders. The model shows that no matter how long the trading time is, informed traders' best strategy is to place limit orders. These results indicate that extending the trading time can increase the liquidity of the order-driven market, and hence we corroborate the viewpoint of stockbrokers on extending the trading time.

並列關鍵字

Extended Trading Time ； Order-Driven Market ； Limit Order ； Order Submission Strategies

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