Order Choices, Order Performance, and Price Discovery during Closing Call Auctions -A Case Study of Improved LOB Disclosure in Taiwan Stock Exchange

收盤競價階段委託決策、委託成效與價格發現－臺灣集中市場限價簿資訊改善的實證研究

曾翊恆(Yi-Heng Tseng) ； 張嘉玲(Chia-Ling Chang) ； 王凱立(Kai-Li Wang)

《財務金融學刊》 25卷2期 (2017/06) Pp. 105-156

https://doi.org/10.6545/JFS.2017.25(2).4

摘要

The adoption of pre-close disclosure mechanism, since February 20, 2012, has made the limit order book (LOB) less opaque during the closing call. We find that after this reform, the order aggressiveness from individual investor has declined; however, foreign investors tend to place orders more conservatively for large cap stocks. A higher degree of transparency does not bring order prices closer to closing prices. Price discovery efficiency slightly declines at the commencement of the closing call, and the number of small cap stocks meeting criteria for price manipulation increases. Measures of delaying closing calls effectively calm the emotions of investors.

關鍵字

Closing call auction ； market transparency ； order aggressiveness ； order performance ； closing price discovery

並列摘要

2012年2月20日「收盤前資訊揭露新制」啟動後，收盤競價階段便擺脫限價簿資訊全盤晦暗狀態。本文發現，變革後自然人委託積極度略升，但外資對大型股出價反趨保守，投資人委託價格未普遍靠向收盤股價。此外，價格發現效率在收盤競價初期稍降，符合作價條件之小型股票家數增加。在延後收盤時，投資人激昂操作情緒顯著冷卻。

並列關鍵字

收盤集合競價 ； 市場透明度 ； 委託積極度 ； 委託成效 ； 收盤價格發現

參考文獻

Ahn, Hee-Joon,Bae, Kee-Hong,Chan, Kalok(2001).Limit orders depth and volatility: Evidence from the stock exchange of Hong Kong.Journal of Finance.56,767-788.

Ai, Chunrong,Norton, Edward C.(2003).Interaction terms in logit and probit models.Economics Letters.80,123-129.

Aitken, Michael J.,Almeida, Niall,deB. Harris, Frederick H.,McInish, Thomas H.(2007).Liquidity supply in electronic markets.Journal of Financial Markets.10,144-168.

Alangar, Sadhana,Bathala, Chenchu,Rao, Ramesh P.(1999).The effect of institutional interest on the information content of dividend-change announcement.Journal of Financial Research.22,429-448.

Back, Kerry,Cao, Henry C.,Willard, Gregory A.(2000).Imperfect competition among informed traders.Journal of Finance.55,2117-2155.