股價升降級距與最佳五檔揭示
對股市的影響

張美燕

doi:10.6840/CYCU.2006.00333、10.6840/cycu200600631

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股價升降級距與最佳五檔揭示對股市的影響

The Impact of Tick Size and Transparency of Information on Taiwanese Stock Market

張美燕 , Masters　　Advisor：胡為善　　

繁體中文 DOI： 10.6840/CYCU.2006.00333、10.6840/cycu200600631

最佳五檔揭示；升降單位；資訊透明度； Display of top five pieces of information ； t ； tick size

Abstract │ Reference (33) │ Times Cited (3) │ Altmetrics

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

Abstract
Securities market plays a key role as a bridge between funds demanders and suppliers. The securities market enables funds suppliers to smoothly transfer funds to funds demanders for the latter to make proper applications. In the process of trading, the order matching systems that encompass operating methods affecting trade priority and price forming, or competitive auction have a far reaching influence to securities market stability and liquidity, also affect the investing willingness of the foreign institutional investors. This study attempts to examine the impact of order matching systems on the performance of Taiwanese securities market.
This work uses 50 listed companies which was selected by ETF50 index during the period between April 2002 and April 2006 as the target subjects and divides the sample period into the following three phases: Phase 1 for Old System; Phase 2 for increasing the transparency of information – the system of displaying top five pieces of information; and Phase 3 for shrinking tick size. This investigation analyzes the impact of the implementation of the new system on the market performance indicators such as transaction volume, turnover rate, and stock price volatility.
The empirical results indicate that there is a significant relationship between the specimen data obtained before and after implementing order matching system. The investors may sufficiently realize the market information by increasing the transparency of information from the display of the five pieces of the failed trading. Consequently, the volatility of stock price turns comparatively to be stable. However, the change in investors’ order booking pattern causes the downturn in market’s transaction volume, the turnover rate and the liquidity. Moreover, the shrinking pitch of tick size results in the increase of tick cases, thus allows more prices available for investors to choose than before, which results in increasing the lead time for trade confirmation, therefore the transaction volume, turnover rate and volatility become lower without exception.
In summary, although the new system sacrifices market liquidity as a tradeoff, it indeed decreases stock price volatility. This finding actually denies the authority’s argument that the implementation of new system will increase market liquidity

Reference ( 33 ) 〈TOP〉

Ahn, H., Cao, C. O. and H.Choe, (1996), “Tick Size,Spread and Volume”, Journal of Financial Intermediation ,vol 5, 2-22.
連結：
Angel, J. J., (1997), “Tick Size, Share Prices, and Stock Splits”, Journal of Financial, vol.52, 655-681.
連結：
Bacidore, J., (1997), “The Impact of Decimialization on Market Quality:An Empirical Investigation of the Toronto Stock Exchange”, Journal of Financial Intermediation, 6,92-120.
連結：
Bessembinder, H., (2000), “The Tick Size, Spreads, and Liquidity：An Analysis of Nasdaq Securities Tranding near Ten Dollars”, Journal of Financial Intermediation, 9, 213-239.
連結：
Bloomfield , R., & M. O＇Hara. (1999), “Market transparency：who wins and who loses？” Review of Financial Studies, Spring, Vol. 12, No.1,5-35.
連結：

Times Cited (3) 〈TOP〉

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