股市快速刪單之資訊內涵

台灣股票市場大約有三成的限價委託單為刪單，其中接近四成的委託單刪單會發生在下單後的一分鐘內。本研究參照Hasbrouck and Saar (2009)，定義委託單下單至改單或刪單於一分鐘內為快速刪單。Van Ness et al. (2015) 提及，刪單對股票市場品質具有負面影響，因此，本研究探討投資人快速刪單行為的決定因素，並進一步探討各類別投資人對於買單與賣單的快速刪單對股票報酬之預測能力。實證結果指出，台灣股票市場中快速刪單對於股票報酬具有顯著預測能力。在各類別投資人的快速刪單亦可以得到相同之結果。買單快速刪單比率增加(減少)，下一期股票報酬會增加(減少)；全市場快速刪單比率增加(減少)，下一期股票報酬也會增加(減少)。綜合以上結果，本研究認爲快速刪單對股票市場報酬的預測能力可能來自於投資人對快速刪單的反應。台灣股票市場快速刪單對於股票市場報酬具有預測能力。

關鍵字

買單；賣單；快速刪單；股票報酬

並列摘要

Nearly 30% of limit orders of Taiwan Stock Market are cancellation orders, among which, four out of ten happen in one minute after the order placed. Referred Hasbrouck and Saar (2009), this thesis defined cancellation orders in one minute as fleeting orders. Van Ness et al. (2015) claimed that fleeting order put a negative impact on the market quality. This study investigates the determinants of investors’ that fleeting orders have on the Taiwan Stock Market and further discusses the information content brought by fleeting orders placed by all types of investors on market return. The empirical results show that the fleeting orders in the predict of stock return has a significant effect. The evidence shows that no matter what type of the investors, the outcome is as the same as the previous. The increase of fleeting bid orders will increased the stock return. In conclusion, the increase of fleeting orders will also increased the stock return. We confirm the effect of fleeting orders on stock return might be caused by the traders’ reaction to fleeting orders. Fleeting orders in Taiwan Stock Market in the predict of stock return significant effect.