快速刪單對股票市場品質之影響

The Impact of Fleeting Orders on Stock Market

詹柏庭(Pai-Ting Jan)

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.2016.01033

摘要

台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，本研究參照Hasbrouck and Saar (2009)，定義限價委託單下單至刪單在一分鐘內為快速刪單。Van Ness et al. (2015) 指出，刪單對市場品質有負面影響，因此，本研究以六個與市場品質有關的流動性變數，包括價差、報價深度、交易成本及限價委託簿規模，探討快速刪單對台灣股票市場品質之影響，並進一步探討各類別投資人的快速刪單對市場品質之影響。
實證結果指出，當投資人的快速刪單比率增加，會使價差擴大、報價深度降低、交易成本減少，以及限價委託簿規模擴大。除此之外，本研究發現當積極的投資人增加，會造成快速刪單比率的降低，綜合所有實證分析可以得知，台灣股票市場中的快速刪單會對市場品質造成影響。

關鍵字

市場品質 ； 快速刪單 ； 流動性 ； 價差 ； 頻繁交易

並列摘要

Nearly 30% of limit orders of Taiwan Stock Market are cancellation orders, among which, four out of ten happen in one minute after the order placed. Referred Hasbrouck and Saar (2009), this thesis defined cancellation orders in one minute as fleeting orders. Van Ness et al. (2015) claimed that fleeting order put a negative impact on the market quality. This study investigates the influence that fleeting orders have on the quality of Taiwan Stock Market, based on 6 liquidity variables relating to market quality, namely, spread, depth at the inside quote, cost-to-trade and size of the limit order book etc., and further discusses the impact brought by fleeting orders placed by all types of investors on market quality.
The empirical results show that the increase of fleeting ratio of investors can expand the spread, while expand the depth at the inside quote and cost-to-trade, and the limit order book. Moreover, the study also reveals that with the increase of aggressive investors, fleeting orders will also decrease. In conclusion, fleeting orders in Taiwan Stock Market brings impact on market quality.

並列關鍵字

Market Quality ； Fleeting Orders ； Liquidity ； Spread ； Frequent Trading

參考文獻

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