委託簿積極度與流動性對股票市場快速刪單之影響

The Impact of Order Book's Aggressiveness and Liquidity on Fleeting Orders in the Stock Market

王奕訢(Yi-Hsin Wang)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓

淡江大學/商管學院/財務金融學系碩士班/碩士(2016年)

https://doi.org/10.6846/TKU.2016.00884

摘要

臺灣股票市場約三成的限價委託單為刪單，而且其中近四成的刪單會發生在下單後的一分鐘內，故本研究定義一分鐘內的刪單為快速刪單。根據Van Ness et al. (2015)，本研究旨在探討影響快速刪單的因素，首先探討下單積極度對全市場與各類別投資人的快速刪單之影響，將委託單分為買單與賣單兩部分，以分別觀察同向與反向委託單積極度對快速刪單之影響，之後探討交易成本對全市場與各類別投資人的快速刪單之影響。
實證結果發現，在同向委託單的情形下，無論是買單或賣單，當市場上的委託單積極度變差，會增加投資人的快速刪單；在反向委託單的情形下，無論是買單或賣單，當市場上的委託單積極度變差，投資人的快速刪單會增加。除此之外，市場上的交易成本減少，會增加投資人的快速刪單。綜合所有實證分析可以得知，臺灣股票市場中的下單積極度與交易成本會對於市場流動性有影響，因此會使市場的快速刪單有所改變。

關鍵字

交易成本 ； 快速刪單 ； 流動性 ； 積極度 ； 頻繁交易

並列摘要

Nearly 30% of limit orders in Taiwan Stock Market are cancellation orders, among which, four out of ten happen in one minute after the orders placed, so that this thesis defined cancellation orders in one minute as fleeting orders. This thesis, based on Van Ness et al. (2015), aims to investigate the factors that influence fleeting orders, by firstly exploring the effect that submit aggressiveness makes on the whole market and different kinds of investors’ fleeting orders. Orders are divided into buy orders and sell orders, which are observed respectively to find out the influence that the aggressiveness of same side orders and opposite side orders make on fleeting orders. Then the impact that cost-to-trade makes on fleeting orders in whole market and kinds of investors is also discussed.
The empirical results indicate that for same side orders, either buy and sell orders, investors will increase fleeting orders when aggressiveness is bad. With regard to opposite side orders, either buy and sell orders, investors will increase fleeting orders when aggressiveness is bad. Furthermore, the reduction of cost-to-trade can result in the increase of fleeting orders. In conclusion, orders aggressiveness in Taiwan Stock Market, along with cost-to-trade, can influence market liquidity, thus changing fleeting orders in the market.

並列關鍵字

Cost-to-Trade ； Fleeting Orders ； Liquidity ； Aggressiveness ； Frequent Trading

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