大額委託對市場流動性的影響

本研究利用日內高頻資料，使用Kang and Yeo (2008)所提出限價委託單衡量寬度、深度的兩種流動性變數，探討台灣集中市場大額委託單對流動性造成影響。之後將再依交易人身分，分為散戶、外資、自營商、其他國內法人，可更細部觀察不同投資人在流動性扮演的角色，及其大額委託對流動性影響有何差異。實證結果發現，大額委託會使市場寬度增加及深度減少，導致市場流動性降低。在做投資人分群後，在寬度的衡量上，散戶及自營商下單後皆使委託簿離散程度變大；在深度的衡量，各類投資人下單皆會使市場深度減少，降低流動性。若近一步將大額委託單區分大、次大單後，不論在寬度或深度，各類投資人在次大單對流動性造成影響皆較大單強，顯示大額委託單若為資訊交易者，有拆單交易的現象。

關鍵字

大額委託；流動性

並列摘要

I use high frequency intraday data of Taiwan stock market to analyze the influence of large orders on width and depth of liquidity proposed by Kang and Yeo (2008). I divide investors into foreign investors, proprietary dealers, individual investors and other institutional investors to see how investor type affects my results. I find large orders tend to cause a significant increase on market width while a decrease on market depth, which indicates poorer liquidity. In terms of width, both individual investors and proprietary dealers cause a significant increase in the dispersion of limit order book after they submit orders. In terms of depth, investors always cause a significant decrease in depth regardless of their types. If I divide large orders further into two groups. The one with the smaller orders are found to cause wider width and lower depth for all investors. This suggests that order splitting makes a difference.

並列關鍵字

Large orders ； Liquidity

參考文獻

1.胡星陽（1998）流動性對臺灣股市報酬率的影響，中國財務學刊，5(4)，頁1-19。

3.陳秀桂、馬黛、劉佳奇，(2010)，「大額委託交易管道與執行成本：TWSE鉅額新舊制之實證研究」，證券市場發展，22：3，頁137-180。

4.林雅玲、馬黛，(2011)，「透明度、資訊內涵及下單策略之實證研究」，財務金融學刊，十九卷一期，頁1-32。

5.Amihud, Y., and H. Mendelson, (1986), "Asset pricing and the bid-ask spread", Journal of Financial Economics, Vol. 17, no. 2, pp. 223-249.

6.Amihud, Y., and H. Mendelson, (1988), " Liquidity and Asset Prices: Financial Management Implications", Financial Management, Vol. 17, No. 1,pp.5-15.

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大額委託對市場流動性的影響

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