探討我國新舊股市交易制度對價量波動性與流動性之影響

徐裕明

doi:10.6840/cycu200300504

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探討我國新舊股市交易制度對價量波動性與流動性之影響

Investigate the Effects of the New Stock Trading System on the Volatility and Liquidity of Taiwanese Stock Price and Volume

徐裕明 , Masters　　Advisor：胡為善　　

繁體中文 DOI： 10.6840/cycu200300504

波動性；股票交易制度；流動性； volatility ； stock trading system ； liquidity

Abstract │ Reference (26) │ Times Cited (2) │ Altmetrics

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

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.

Reference ( 26 ) 〈TOP〉

Gemmill,G.,（1996）,“Transparency and Liquidity：A Study of Block Trades on London Stock Exchange under Different Publication Rules, ”Journal of Finance 51,1765-1790.
連結：
Goldman, M. Barry and Howard B. Sosin（1979）, “Information Dissemination, Market Efficiency and the Frequency of Transactions”, Journal of Financial Economics 7, 29-61.
連結：
Grundy, Bruce D. and Maureen McNichols（1989）, “ Trade and Revelation of Information through Prices and Direct Disclosure ”, Review of Financial Studies 2, 485-526.
連結：
Huang, Roger D. and Hans R. Stoll（1996）, “Dealer versus Auction Market：a Paired Comparison of Execution Costs on NASDOQ and the NYSE”, Journal of Financial Economics 41,313-357.
連結：
Lehmann, Brucs N.（1989）, “Commentary：Volatility, Price Resolution, and the Effectiveness of Price Limits”, Journal of Financial Services Research, Vol. 3, 250-209.
連結：

Times Cited (2) 〈TOP〉

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