大額委記單交易管道與執行成本：TWSE鉅額新舊制之實證研究

The Trading Venues and Execution Costs of Large Orders: An Empirical Study on New and Obsolete Block Trading Systems of TWSE

陳秀桂(Hsiu-Kuei Chen) ； 馬黛(Tai Ma) ； 劉佳奇(Jia-Chi Liu)

《證券市場發展季刊》 22卷3期 (2010/10) Pp. 137-180

https://doi.org/10.6529/RSFM.2010.22(3).5

摘要

本文旨在探討台灣證券交易所（TWSE）於94年4月4日實施之鉅額新制對鉅額交易與拆單交易這兩個TWSE大額委託單交易管道之影響；比較兩個交易管道交易標的股特性、選擇時機、執行品質與執行成本，並探討鉅額交易之動機與鉅額交易市場成本節省之功能。本文發現TWSE大額委託單主要透過集中市場以拆單交易完成。實證結果指出鉅額交易之標的股多為流動性較差之個股；鉅額（拆單）交易比率為標的股流動性之減（增）函數。當交易規模愈大、資訊交易機率較低、價格波動性較小時，大額委託單投資人會傾向選擇鉅額交易管道。新制實施後，鉅額交易執行成本降低，鉅額交易比率增加，拆單交易卻呈現執行成本上升、拆單交易比率下降之趨勢。實証顯示台灣鉅額交易多為非資訊交易，動機包括避稅交易動機、一般交易需求動機與取得公司經營控制權動機；反之，拆單則多為有資訊內涵之交易。整體研究期間TWSE之鉅額交易執行成本平均為1.08%，拆單平均執行成本只有0.058%，非資訊交易較高的執行成本似乎反映『與特定交易對象交易』之貼水。我們發現避稅動機之鉅額交易執行成本最低，一般交易需求動機之鉅額交易執行成本最高。本文模擬鉅額交易至集中市場拆單之執行成本，發現鉅額交易市場成本節省為流動性之減函數，亦即對流動性較差之個股，鉅額交易市場更能彰顯其成本節省之功能。

關鍵字

鉅額交易 ； 拆單交易 ； 價格衝擊分析 ； 執行成本

並列摘要

This study examines the effect of new block trading system adopted by the Taiwan Stock Exchange Corporation (TWSE) since April 4, 2005. We explore the impacts of new system on block trades in the block trading market and splitting order trades in the primary market. We find several empirical results as well as policy implications. First, we find large orders are primarily executed via splitting orders except those of illiquid stocks.The percentage of block trades (splitting order trades) is the decreasing (increasing) function of stock liquidity. Second, investors tend to trade in the block trading market when the trade size is large, probability of informed trading is lower and the price volatility is mild. Third, the execution costs of block trades decrease and the percentage of block trades increases under the new system, while the opposite is true for splitting order trades. Fourth, liquidity-drive block trades incur higher execution costs than information-driven splitting order trades, implying block trades incur ＂premiums of trading with the specific counterparty＂. Finally, block trades for tax avoidance (general trading) incur the lowest (highest) execution costs. We further find the saving cost function of block trading market is decreasing with liquidity.

並列關鍵字

Block Trades ； Splitting Order Trades ； Price Impact Analysis ； Execution Costs

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