中文摘要 證券市場扮演著資金需求者與供給者的橋樑;透過證券市場,資金供給者可將資金順利移轉給資金需求者,供資金需求者作妥善的運用。在交易的過程中,攸關買賣優先順位及價格形成的作業方式或競價方法等之交易撮合制度,對證券市場的穩定與流動性影響深遠,更關係著外國投資機構的投資意願。因此,本研究將探討制度前後對台灣股市的影響。 本論文主要以民國九十一年四月至九十五年四月為期間以曾納入台灣50成份股之上市公司為研究對象,研究期間分為三階段:第一階段為舊制度,第二階段為增加資訊透明度-最佳五檔資訊揭示制度,第三階段為縮小升降單位。分析實施前後對台灣股市的成交量、周轉率與股價報酬波動率等市場績效指標的影響。 研究結果發現制度前後的樣本資料具有相關性,而增加資訊透明度,揭露未成交五檔訊息後,投資人可充份掌握市場資訊,因此股價報酬波動較穩定,但投資人的下單方式改變也同時造成市場成交量與周轉率下滑,市場流動性下降。另外,縮小升降單位級距,使升降檔數增加,投資人可選擇的價位變多,造成等待成交的時間增加,故成交量、周轉率、波動性皆下降。新制的實行雖然降低股價波動性,同時也犧牲了市場流動性。此發現否定了主管機關認為新制的實施會增加市場流動性的說法。
Abstract Securities market plays a key role as a bridge between funds demanders and suppliers. The securities market enables funds suppliers to smoothly transfer funds to funds demanders for the latter to make proper applications. In the process of trading, the order matching systems that encompass operating methods affecting trade priority and price forming, or competitive auction have a far reaching influence to securities market stability and liquidity, also affect the investing willingness of the foreign institutional investors. This study attempts to examine the impact of order matching systems on the performance of Taiwanese securities market. This work uses 50 listed companies which was selected by ETF50 index during the period between April 2002 and April 2006 as the target subjects and divides the sample period into the following three phases: Phase 1 for Old System; Phase 2 for increasing the transparency of information – the system of displaying top five pieces of information; and Phase 3 for shrinking tick size. This investigation analyzes the impact of the implementation of the new system on the market performance indicators such as transaction volume, turnover rate, and stock price volatility. The empirical results indicate that there is a significant relationship between the specimen data obtained before and after implementing order matching system. The investors may sufficiently realize the market information by increasing the transparency of information from the display of the five pieces of the failed trading. Consequently, the volatility of stock price turns comparatively to be stable. However, the change in investors’ order booking pattern causes the downturn in market’s transaction volume, the turnover rate and the liquidity. Moreover, the shrinking pitch of tick size results in the increase of tick cases, thus allows more prices available for investors to choose than before, which results in increasing the lead time for trade confirmation, therefore the transaction volume, turnover rate and volatility become lower without exception. In summary, although the new system sacrifices market liquidity as a tradeoff, it indeed decreases stock price volatility. This finding actually denies the authority’s argument that the implementation of new system will increase market liquidity