各類投資人限價委託單對市場流動性之影響

本文以台灣股票市場為主要研究對象，研究期間取自2005年03月01日至2006年12月31日止，利用Rakowski and Beardsley (2008)所研究出測量流動性的方式，可以將流動性拆解成資訊與非資訊兩個部分，探討累積深度對其的影響，並進一步的分析這個方式的結果，不同投資人間是否存在著差異性。藉著限價委託簿，以GMM估計法，估算出兩個流動性的組成要素，再分別對其進行分析並探討族群間存在的差異。再以成本的角度分析結果，不論哪個身分，當累積深度增加時，兩種成本都會下降。投信基金受因買賣雙方對標的資產認知不同所產生的資訊不對稱的成本相較於其他族群相對較高，而散戶則會受到累積深度的影響，累積深度越深，資訊部分的成本下降速率都相較於其他族群快，顯示散戶會隨著累積深度改變，散戶的買賣方的認知會趨於一致。至於非資訊成本的部分，散戶也有類似的現象。投資人會為了避免因成交在累積深度較深的委託簿而承擔價格上的損失，同時又承受時間價值的風險，因此降低委託處理的成本，下降速度也是散戶為最，顯示散戶相較其他族群對這種現象更為敏感，更不願意承擔這方面的成本。由此分析可知不同族群間所估算出來的兩個部分的成本確實具有顯著差異。進而明白累積深度是如何影響流動性，係影響這兩塊成本所造成。

關鍵字

限價委託簿；累積深度；市場流動性；資訊不對稱；委託處理成本；投資人分群；一般動差估計法

並列摘要

This study based on rearranging intraday order book and transaction data from Taiwan Stock Exchange(TSE) from 2005/3/1 to 2006/12/31.By the method Rakowski and Beardsley (2008) developed, we could divided market liquidity into two parts: information component and non-information component. Our target is to figure out how cumulative depth affect these two parts and find out the difference between different kinds of investors. By using our rearranging and grouping limit order book data, we can estimate these two parts by GMM methods. To the cost points of view, no matter whose group you are, these two costs decrease when cumulative depth increases. In information asymmetry parts between buyers and sellers, Investment Trust Fund needs more costs than other groups. But the individuals’ rate of decreasing is the most rapid. The result reports the information from individuals’ buyers and sellers will be getting the same faster than others while cumulative depth increases. In the other parts, there is a similar situation. To avoiding the losses of price and time when cumulative depth increases, investors will decrease the order processing costs and individuals’ decreasing rate is the most rapid too. The results reports individuals are more sensitive to this phenomenon. Following our study, we would know the difference between different kinds of investors and realize how cumulative depth affect these two parts and affect the market liquidity indirectly.

並列關鍵字

Limit order book ； Cumulative Depth ； Market Liquidity ； Information asymmetry ； Order Processing Cost ； GMM ； Investors’ grouping

參考文獻

１. David Rakowski and Xiaoxin Wang Beardsley, 2008. Decomposing liquidity along the limit order book. Journal of Banking & Finance 32 (2008) 1687–1698.

２. Admati, A. and Pfleiderer, P., 1988. A theory of intraday patterns: Volume　and price variability. Review of Financial Studies 1, 3–40.

３. Alexander, G. and Peterson, M., 2007. An analysis of trade-size clustering and its relationship to stealth trading. Journal of Financial Economics 84,435–471.

４. Brad M. Barber, Terrance Odean and Ning Zhu, 2009.Do retail trades moves market? Review of Financial Studies 22,151-186.

５. Barclay, M.J., Hendershott, T. and McCormick, D.T., 2003. Competition among trading venues: Information and trading on electronic communications networks. Journal of Finance 58, 2637–2666.

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各類投資人限價委託單對市場流動性之影響

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