台灣證券交易所集中交易市場為促進交易制度更公平、效率及資訊更透明,自民國九十一年七月一日起實施撮合取消兩檔限制改採集合競價、盤中瞬間價格穩定措施、收盤五分鐘集合競價及揭露未成交買賣價量資訊等四項措施。 由於股價係反應一家公司現在與未來的營運狀況與獲利能力,故股市交易制度的改變是否真能影響股票的價格與成交量實在令人懷疑。因此,股市交易新制是否真正影響股市之波動性(Volatility)與流動性(liquidity)實賴最後實證結果說明。 本研究為探討新制對盤中價量之影響,初步運用佛里曼(Friedman)檢定各期間波動性及流動性時,大都顯示各期間樣本股票的波動性明顯增加,且流動性明顯下降,接著用魏可遜(Wilcoxon)層級檢定後,發現以標準差衡量波動性部分僅第二期樣本股票的波動性明顯大於第一期,其餘則不顯著。流動性衡量結果,第二期及第三期樣本股票的流動性均明顯小於第一期。最後在控制期間效果後,作魏可遜(Wilcoxon)差異性檢定,結果為樣本股票的波動性在各期間無明顯差異,而第二期及第三期之流動性卻明顯變化,且呈逐漸下降之趨勢。此外,樣本相關研究數據經連檢定(RUN TEST)後發現具隨機效果。 本研究亦探討新制對收盤前五分鐘價量之影響,佛里曼(Friedman)檢定及魏可遜(Wilcoxon)層級檢定結果均呈現各期間波動性及流動性有顯著差異,最後在控制期間效果後,同樣以魏可遜(Wilcoxon)作差異性檢定,實證結果顯示,最後五分鐘收盤價量其波動性與流動性,在各期間均無顯著差異。樣本相關研究數據同樣經連檢定(RUN TEST)後呈現具隨機效果。 此次台灣股市交易的新制在邁向國際化與自由化之時,各界均予以正面肯定,本研究實證結果雖呈現第二期及第三期樣本股票的流動性下降的結論,但相信新制度長期對台灣資本市場的發展有正面的影響。
Starting from July 1, 2002, Taiwan Stock Exchange Corporation (TSEC) adopted a series of methods to improve its trading system so that it might better reflect the interaction of the supply and demand of the publicly listed securities, and enhanced the fairness, integrity and improve the market’s transparency. The methods include following items: (1) to eliminate the two up/down ticks rule; (2) to adopt intra-day volatility interruption; (3) to adopt 5-minute closing auction, and (4) to disclose the price and volume of the best bid/ask. From the investment theory, the price of a stock reflects the present and future operations and potential profitability of a corporation. However, it is doubtful that a change in the trading system would really change the price and trading volume of a particular stock. Thus, the purpose of this study is to explore the impact of the new trading system on the stock market’s volatility and liquidity. Regarding the influence of new trading system on daily price and trading volume, this work uses Friedman Test and finds that the new trading system causes significant increase in volatility and significant decrease in the liquidity of sample stocks. Further examination by using Wilcoxon Test for level test, the result indicates that the volatility of sample stocks in the second period is significantly greater than that in the first period. The other periods did not show any significant difference. However, the liquidity of sample stocks in the second and third periods is less than that in the first period. After controlling the final period, the empirical result demonstrates that there is not apparent difference in volatility for different periods. Also, the liquidities of sample stocks in the second and third periods are significantly less than that in the first period which indicate a trend of declination. Regarding the influence of the final 5-munute before closing price and trading volume, this study finds that there has been significant difference in volatility and in liquidity for different periods. After controlling the final period, the result indicates that there is not any significant difference in volatility and liquidity during the final 5-minute period before closing. The institutional investors have given affirmative support to the new trading system in terms of globalization and liberlization. They also agree that this new system may improve the fairness, effectiveness and transparency of the trading system. Although this investigation demonstrates that the decreases in stock liquidity in the second and third periods of sample stocks, the new trading system is still supported by the investment industries.