台灣股票市場委託單不均衡與流動性共變關係之分析

The Relationship between Order Imbalance and Liquidity Commonality in Taiwan Stock Market.

陳永盛(Yung-Sheng Chen)

指導教授 ： 謝文良

共同指導教授 ： 林允永(Yun-Yung Lin)

淡江大學/商學院/財務金融學系碩士班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.00546

摘要

自從Chordia, et al. (2000)提出存在流動性共同因素而造成市場流動性共同變異的觀念之後，已有不少文獻針對不同國家或不同的市場機制，研究是否與NYSE同樣存在流動性共變現象。本研究利用2007年台灣上市股票的日內交易資料，同樣以市場模型實證流動性共變現象。由於台灣的市場機制是委託單驅動市場 (order-driven market)，市場的流動是藉由提交委託單撮合價格完成交易，本研究藉由探討委託單不均衡與流動性之間的關係結果，來解釋委託單不均衡如何影響流動性而造成市場共同變異，並同時實證台灣股票市場的委託單不均衡共變現象。
實證結果發現台灣股票市場確實存在流動性共變現象。委託單不均衡與流動性變數的迴歸分析結果與Shen and Starr (2002)一致，價差與委託單不均衡呈現正向關係，而深度與委託單不均衡大致呈負向關係。由於市場出現委託單不均衡時，超額流量的一方皆會藉由擴大價差、降低深度來因應自己部位，在群聚效果下造成流動性共變。台灣股票市場亦存在委託單不均衡共變，而且台灣股票市場受委託單不均衡共變的影響較流動性共變來的敏感。小規模公司及台灣產業的股票投資組合，委託單不均衡共變程度較為嚴重。

關鍵字

流動性 ； 流動性共變 ； 委託單不均衡 ； 委託單不均衡共變

並列摘要

After Chordia, et al. (2000) brought up the idea that commonality in liquidity was caused by existing liquidity common factors, several studies have been devoted to investigate if commonality in liquidity in NYSE also exists across different countries and different market mechanism. This study examines commonality in liquidity in Taiwan stock market by market model, using intraday data of the trading stock of listed company in 2007. Taiwan stock market is an order-driven market, which by submitting and matching orders to supply the liquidity. We investigate the relationship between order imbalance and the liquidity, based on the outcome to explain how order imbalance affects the market liquidity and results in commonality, and also providing empirical evidence for the existence of order imbalance commonality in Taiwan stock market.
　　Our empirical results show that liquidity in commonality does exist in Taiwan stock market. The regression results are consistent with Shen and Starr (2002) that order imbalance has positive impact on spread and negative impact on depth. When order imbalance is in the market, the excessive will protect their position by increasing the spread and reduce the depth, resulting in commonality in liquidity under the clustering effect. Order imbalance commonality also exists in Taiwan stock market, and the market is more sensitive to order imbalance commonality than commonality in liquidity. The co-movement in order imbalance is much stronger in small firm and industry-specific portfolio.

並列關鍵字

Liquidity ； Commonality in Liquidity ； Order Imbalance ； Order Imbalance Commonality

參考文獻

1.黃玉娟、林明白，「買賣單不平衡、價差和報酬之探討：以台指期貨在台灣期貨交易所及新加坡交易所為例」，財務金融學刊，第十一卷第二期，71-98 頁，民國九十二年。

1.Ahn, H. and Cheung Y. (1999). The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong. Pacific-Basin Finance Journal 7, 539-556.

2.Ahn, H., Bae, K., and Chan, K. (2001). Limit orders,depth, and volatility:Evidence from the stock exchange of hong kong. The Journal of Finance, 56 (2),

4.Bailey, W., Cai, J., Cheung, Y. L., and Wang, F. (2009). Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in china. Journal of Banking and Finance, 33(1), 9.

5.Brockman, P., and Chung, D. Y. (1999). Bid-ask spread components in an order driven environment. The Journal of Financial Research, 22 (2)：227-246.