刪單對股票市場流動性之影響

The Effect of Limit Order Cancellation on Stock Market Liquidity

謝瑋珊(Wei-Shan Hsieh)

指導教授 ： 林蒼祥

共同指導教授 ： 涂登才

淡江大學/商管學院/財務金融學系碩士班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.00719

摘要

本研究統計發現，台灣股票市場有近三成的限價委託單會被刪除。其中，約三成五的委託單刪單會發生在下單的一分鐘內。因此，本研究欲探討快速刪單對市場的影響。我們首先討論快速刪單與同向委託單下單積極度之關係，以及其與反向委託單的積極度關係，並進一步研究快速刪單對市場流動性的影響。
研究結果發現，當快速刪單增加，下一期的全市場同向委託單下單積極度會變差；當快速刪單增加，下一期的全市場反向委託單下單積極度會變好；而快速刪單增加會提升下一期的市場流動性。我們認為快速刪單對市場流動性的影響可能來自於投資人對快速刪單的反應：同向投資人下單變得消極，但反向投資人的委託單積極程度增加更多，因此使得價差縮小、市場流動性增加。反之亦然。

關鍵字

快速刪單 ； 流動性 ； 價差 ； 積極度

並列摘要

According to our statistics, there are almost thirty percent of limit orders being cancelled in Taiwan Stock Market. Among these orders, we observe that about 35% limit orders are cancelled within one minute. Thus, we want to investigate the effect of fleeting orders on stock market. We discuss the　relationship between fleeting ratio and the aggressiveness of the same side orders and the opposite ones. And we further investigate the influence of fleeting orders on liquidity.
Our empirical results show that the same side orders become less aggressive and the opposite ones become more aggressive after the fleeting ratio increased. And the increase of fleeting orders will advance the stock liquidity. We confirm the effect of fleeting orders on liquidity might be caused by the traders’ reaction to fleeting orders: the same side traders submit less aggressive orders while the opposite side traders raise the aggressiveness of orders in a larger degree. Hence, the stock liquidity increases as the spread narrows, and vice versa.

並列關鍵字

fleeting order ； liquidity ； spread ； aggressiveness

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