臺灣證券交易所實施盤中逐筆交易之政策效果分析

本研究主要目的是探討臺灣證券交易所於2020年3月23日開始實施盤中逐筆交易制度之政策效果，採用 Prais-Winsten 迴歸進行時間序列分析，以捕捉盤中逐筆交易對大盤成交金額的影響效果。研究資料採用2019年12月2日到2020年6月19日 TEJ 台灣經濟新報資料庫及臺灣證券交易所的日交易資料，實證結果發現，2020年3月23日實施盤中逐筆交易之後，占大盤總成交值比重較高的兩大市場參與者，當沖客及外資法人成交值對大盤成交金額影響的效果為顯著正向增加；自營商及投信成交值對大盤成交金額則有顯著負向效果。由此分析結果發現，盤中逐筆交易政策透過市場參與者的交易行為顯著影響大盤成交金額。綜合來看，實施盤中逐筆交易制度對大盤成交金額具有正向影響的政策效果，而且 Prais-Winsten 迴歸的估計係數具有一定的穩健度。本文的實證結果可回應實施盤中逐筆交易是否對大盤成交金額有正面影響的疑問。

關鍵字

成交金額；盤中逐筆交易； Prais-Winsten 迴歸；市場參與者；時間序列

並列摘要

This study examines the policy effectiveness of continuous trading as Taiwan Stock Exchange implemented the policy on March 23, 2020. Using Prais-Winsten regression for analyzing time series data, this study attempts to evaluate how continuous trading affects the trading value of Taiwan's price-weighted index (TAIEX). This paper primarily used the December 2, 2019 to June 19, 2020 daily data, which was collected from Taiwan Economic Journal (TEJ) and Taiwan Stock Exchange. The empirical results show that after the implementation of continuous trading on March 23, 2020, the trading value comes from two major participants, day trader and foreign institutional investors, has a significant positive impact on the trading value of TAIEX. On the other hand, trading value comes from dealers and securities investment trust companies has a significant negative impact. Such a result indicates that the total trading value in the market is significantly affected by the trading behavior of market participants after the continuous trading policy started. In sum, the implementation of continuous trading has a positive impact on the trading value of TAIEX, and the coefficients of the Prais-Winsten regression are robust. The empirical results can answer whether the implementation of continuous trading has positive impact to trading value of TAIEX or not.