盤前公開資訊、開盤價格發現與投資人委託決策

PUBLIC INFORMATION, PRICE DISCOVERY AND ORDER CHOICES DURING THE OPENING CALL

曾翊恆(Yi-Heng Tseng) ； 魏品揚(Ping-Yang Wei)

《經濟論文》 45卷4期 (2017/12) Pp. 503-597

摘要

臺灣證交所在開盤集合競價維持逾十年限價簿資訊全晦暗狀態，這在國際市場間實屬碩果僅存，但剛好營造相對單純研究背景供本文評估盤前公開資訊在開盤價格發現與投資人委託決策上所扮演的角色。我們觀察到，象徵資訊弱勢方的自然人在開盤前委託出價保守，且半數委託群聚競價最初五分鐘（8:30－8:35 am）內;掌握資訊優勢的機構投資人每筆委託規模龐大，且愈早提出者價位愈急迫。開盤前，股價發現效率指標大抵呈現希臘字母「型態軌跡，意謂競價頭五分鐘市場便快速「學習」股票均衡價值，此時逾九成股票顯著拒絕「雜訊假説」（Biais et al。，1999），雖然盤前公開資訊對開盤股價發現效率影響力孱弱，但依舊牽動多方面委託決策。自然人出價有隨盤前美股，臺期指漲跌與自身委買賣方向「順勢」程度加大而趨於急迫傾向，採取融資，券信用交易者約占三成，可隱約見到其「追逐行情漲跌」操作習性;機構投資人選擇借券賣出者，則似有乘臺期指開盤後走高之際逆勢佈空跡象。「公開資訊觀測站」揭露重大隔夜訊息頻率轉強時，雖刺激自然人提高出價積極度。惟對機構投资人價位急迫傾向影響趨於頓化，暗示所揭露事項之攸關性與及時性或許都有改善空間。2015年6月29日實施的「開盤前資訊揭露措施」，雖標誌著開盤集合競價一舉揮別昔日「摸黑交易」環境，但也輕微損傷小型類股開盤價格發現效率。參酌國際市場經驗可知，市場透明化是緩解資訊不對稱問題的常見處方，而由此衍生的揭露資訊品質不佳隱憂，則值得注意。

關鍵字

臺灣證交所 ； 開盤集合競價 ； 價格發現效率 ； 委託積極度

並列摘要

The limit order book (LOB) of the Taiwan Stock Exchange (TWSE) has been fully opaque during the opening call in the past decade. This offers a relatively clear environment for investigating how public information affects price discovery and order choices during the opening call. We find that individual investors (symbolizing the un-informed traders) place conservative orders before opening and half of their orders cluster within 8:30-8:35 am. On the other hand, the order sizes from institutional investors (symbolizing the informed traders) are quite large and their orders tend to be more aggressive in the early stage of the opening call. The indicators of price discovery efficiency roughly emerge the I -shaped patterns, revealing that the market rapidly ＂learns＂ about the equilibrium values of stocks particularly in the first five minutes of the opening call auction. At this time, more than 90% of sample stocks significantly reject the ＂noise hypothesis＂ (Biais et al., 1999). Though public information has a weak influence on the price discovery efficiency, it nevertheless affects many aspects of order choices. Our results show that the individual investors are typical trend-followers. Their orders tend to be more aggressive when the buy or sell direction of these trades better conform to the current fluctuations of the US market index and the TAIEX Futures returns. We find that 30% of their orders belong to margin trading or short sales, and these traders somewhat chase the market prices. As for the institutional investors, it seems that they prefer short sales when the TAIEX Futures rises after market opening. Our results also suggest that though the intensity of the Market Observation Post System (MOPS) announcements significantly stimulates the order aggressiveness of individual investors, its influences on the order aggressiveness of institutional investors are much milder, indicating that there's still room for improvement with regards to the relevance and the timeliness of these announcements. Lastly, the implementation of the ＂Pre-Opening Information Disclosure Mechanism＂ on June 29, 2015 marks the end of trading in ＂black box＂ during the opening call auction in the TWSE, but nevertheless it slightly undermines the price discovery efficiency of small capital stocks. Based on the experiences learnt from leading exchanges in the world, it shows that the market transparency is the primary remedy for information asymmetry. It is noteworthy that the transparency improvement may probably lower the quality of unveiled parts of the LOB.

並列關鍵字

Taiwan stock exchange ； Opening call auction ； Price discovery ； Order aggressiveness

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