台灣股市縮小升降單位對價格群聚與市場流動性的影響

The Impact of Reducing the Minimum Tick Size on Price Clustering and Market Liquidity in the Taiwan Stock Market

蕭朝興(Chao-Shin Chiao) ； 王子湄(Zi-Mei Wang) ； 蘇建豐(Chien-Feng Su)

《管理與系統》 17卷1期 (2010/01) Pp. 75-106

摘要

本文利用逐筆委託單，以檢測台灣股市縮小升降單位對價格群聚與市場流動性的影響。研究發現，改制後委託單群聚於整數價格的程度提高，同時升降單位能透過價格群聚的中介，進而對買賣價差產生負向的間接影響；在考慮此間接效果後，發現升降單位縮小確實會降低買賣價差，但降低幅度會減少。至於市場深度方面，雖然投資人減少流動性提供意願，使得限價委託簿的累積深度減少，但會改下可市價化限價單。整體而言，改制後投資人實際交易成本獲得改善，其中以交易頻繁個股的有效價差降低最多。

關鍵字

升降單位 ； 市場流動性 ； 價格群聚 ； 限價委託簿 ； 交易成本

並列摘要

Applying order-level data, this paper examines the impact of reduction in the minimum tick sizes on price clustering and market liquidity in the Taiwan Stock Exchange. After the reduction, we observe an abnormally high frequency of integer prices through which the tick size generates a negative indirect effect on the bid-ask spreads. After explicitly controlling for this indirect effect, smaller tick sizes indeed reduce bid-ask spreads, but the total effect diminishes. As to the market depth, despite the falling liquidity on the limit order book proxied by the cumulative depth, some traders still switch from non-marketable to marketable limit orders. Overall, the effective spreads are found improved after the reduction, especially for high-volume stocks.

並列關鍵字

Tick Size ； Market Liquidity ； Price Clustering ； Limit Order Book ； Trading Cost

參考文獻

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