摘要
隱藏性交易假說聲稱中額交易所造成之累計價格變動較其他交易額大。本研究依照Barclay and Warner（1993）的方法來驗證台灣股票市場是否存在隱藏性交易，採用台灣股票市場之各上市公司的委託單資訊日內資料，其實證結果發現，公開訊息假說確實不成立，中額交易對於累計價格變動有顯著的影響。此結果Barclay and Warner（1993）所得中額交易較易存在優勢資訊的結論是相符合的。然而，先前的研究都是總合正和負的股價波動，這個方式對於隱藏性交易的影響難以理解，所以本研究分別將股價變動分為正（up-tick）和負（down-tick）兩種，其實證結果發現，不論是up-tick或者是down-tick均是小額交易所造成的累計股價波動相對來的大。因此除了中額交易之外，小額交易對於累計價格變動也有顯著的影響，此結果可能是因為所研究的市場為委託單驅動的市場有關。且此兩類交易額無法判斷出主要是由散戶、外資以及其它類法人中，何種類型交易者所發起的。從結果也可得知以成交單資訊為樣本，確實會造成交易額大小分類上之誤差。然而，進一步細分為日內，以半個小時為區間，發現其股價變動百分比呈現U字型，且主要是集中於第一區間和最後一個區間且發現有隱藏性交易之存在。
並列摘要
The stealth trading hypothesis asserts that cumulative price changes are due to medium size trades. We follow the method of Barclay and Warner（1993） and compare the proportion of cumulative price change with the proportion of the cumulative trades and the proportion of the cumulative trading volume. Using transaction book data for a sample of Taiwan Stock Exchange, a pure order-driven market, we confirm that medium size trades are a statistically significant contributor to cumulative price changes, providing support for the stealth trading hypothesis. However, small trades also contribute significantly to cumulative price changes. The results presented in this paper show that aggregating trades with positive and negative price changes obfuscates analysis of the role of different sized trades on cumulative price changes. By disaggregating up-tick and down-tick trades, we find that small trades make a greater contribution to cumulative price changes than any other trade category. The importance of small size trades is likely due to the fact that the TSEC is an order-driven exchange. This later finding is consistent with the view that stealth trading is extended to smaller trader sizes in pure order-driven markets. The results support the argument that there is no significant different in the cumulative price impact caused by trades initiated by individual, foreign investor and other’s institutional investors.Using trade-order book data, we confirm that this result really cause error that the trading size is classified. We also examine the intraday pattern of PCHG for the noni half-hours of the trading day. This result is driven by small and medium trades, which represent a larger percentage of trading during first and last hour of trading.
參考文獻
延伸閱讀
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