市場深度、價差與委託單不均衡之關聯分析

The Analysis of the Relationship among Market Depth, Bid-Ask Spread and Order Imbalance

柯美珠(Mei-Chu Ke) ； 蕭慧玲(Huey-Ling Shiao) ； 邱敬貿(Jun-Mauo Chiu)

《績效與策略研究》 3卷2期 (2006/12) Pp. 129-156

https://doi.org/10.6736/JPSR.200612_3(2).0008

摘要

本研究主要探討台灣證券市場，委託單不均衡日內型態以及市場深度與買賣價差與委託單不平衡之間動態關係。由過去學者的研究可發現，在市場深度與價差間呈現負相關具有一致看法，而價差與委託單不均衡間關係並沒有一致結果，且甚少有學者探討市場深度、價差與委託單不均衡間關係。故本文以台灣股票市場上市公司為研究對象，以日內資料探討市場深度、買賣價差與委託單不均衡三者間之關係。研究結果發現：委託單不均衡日內型態均呈U型結果，推測可能是因資訊不對稱及市場關門理論所致。從市場深度與買賣價差及委託單不均衡間，其相關係數及一般動差法之估計結果均發現，買賣價差擴大將降低市場深度，即買賣價差對市場深度具有反向衝擊影響；而委託單不均衡程度愈高將會顯著擴大買賣價差，顯示委託單不均衡與買賣價差呈現正向關係；最後發現委託單不均衡程度愈高會顯著降低市場深度，即委託單不均衡與市場深度具有反向關係。

關鍵字

市場深度 ； 買賣價差 ； 委託單不均衡 ； 日內型態 ； 一般動差估計法

並列摘要

Many researches have documented that the relationship between market depth and bid-ask spread is positive. However, the relationship between bid-ask spread and order imbalance is ambiguous. Therefore, this study deeply examines the pattern on intraday order imbalance and the relationship among order imbalance, market depth and bid-ask spread. The empirical results exhibit that an U-shaped intraday pattern of order imbalance and a larger order imbalance is associated with a wider bid-ask spread. The results also indicate that a larger bid-ask spread is associated with a smaller market depth and a larger order imbalance is associated with a smaller market depth.

並列關鍵字

Market Depth ； Bid-ask Spread ； Order Imbalance

參考文獻

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