台股快速刪單與其對流動性的影響

Fleeting Orders in the Taiwan Stock Market and Their Impact on Market Liquidity

許慧卿(Hui-Ching Hsu)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓(Shih-Chuan Tsai)

淡江大學/商管學院/財務金融學系博士班/博士(2018年)

https://doi.org/10.6846/TKU.2018.00244

摘要

從台股委託單的刪單比率近33％，刪單有三分之一以上發生在六十秒內，參考Hasbrouck & Saar (2009)，我們將六十秒內的刪單定義為快速刪單。針對投資者快速刪單行為決定因素的研究發現，市場波動率、投資者參與度與委託單積極度的不確定性增加時，不同類型投資人的快速刪單比率均有顯著的提升；但是外資和散戶的快速刪單行為對流動性變化的反應不同；流動性匱乏時，外資傾向於減少快速刪單比率，而散戶快速刪單比率卻顯著增加。另透過檢驗快速刪單對市場流動性的變動，發現快速刪單整體上有助於改善市場流動性，是因為投資者進行快速刪單後傾向於提交更積極的委託單。而進一步的研究發現，由於不同類型投資者在資金、持股偏好及交易策略等方面存在差異，外資與本土法人的快速刪單對大中型股票市場的流動性改善效果最為顯著，散戶在小型股票對流動性產生的負面影響是最大的。

關鍵字

快速刪單 ； 流動性 ； 投資者類型 ； 交易成本

並列摘要

A great amount of orders cancelled shortly after submission among which over one-third are cancelled within 60 seconds. The study on the determinants of investors' fleeting orders shows that an increase in volatility, investors' participation rate and the uncertainty about the arrival rate of impatient marketable orders will be associated be higher levels of fleeting orders for three classes of investors, namely domestic institutions, foreign institutions and retail investors. However, institutional investors react differently with retail investors when market liquidity deteriorates, institutional investors tend to decrease fleeting orders, while retail investors to increase fleeting orders. By investigating the impact of fleeting orders on market liquidity, we find that fleeting orders, on a whole, contribute to improving market liquidity because investors in Taiwan stock market, on average, would resubmit a more impatient order after cancelling orders. A further study finds that since investors among different classes differs in capital flows, special preference for stock characteristics, and trading strategies etc., the aforementioned conclusion is polarized across investor classes and firm size.

並列關鍵字

Fleeting Orders ； Liquidity ； Trader type

參考文獻

參考文獻

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