臺灣博碩士論文加值系統

本文針對台灣股市實施「多重級距式」的升降單位制度，利用逐筆揭示與委託資料來檢驗升降單位與市場流動性（價差、深度）以及價格群聚的關係。研究發現，適用較大升降單位的價格級距有較大的有效價差，但深度與升降單位並沒有存在一致的關係，整體而言，中價股的流動性較佳。在股價穿越相鄰級距的事件中，升降單位永久性的變動對價差的影響較大，但對深度的影響則較小。另外，我們觀察到無論是何種升降單位組別，委託價格都有群聚於偶數以及整數之傾向，而且當升降單位愈大，價格群聚的程度會愈小。最後，我們發現升降單位會透過價格群聚而對有效價差產生間接的負向效果，在考慮此間接效果後，發現較小的升降單位仍然會降低有效價差，但降低幅度會下降。

Applying quote and limit-order data, we examine the relation between tick sizes, market liquidity, and clustering in order prices on the Taiwan Stock Exchange adopting multiple tick sizes. We find that the effective spread increases with the tick size but the depth is not related to the tick size. Overall, mid-price stocks have better market liquidity. In the events of stocks passing through the next price group, the permanent change of tick sizes result in an effect on spreads larger than on depth. Furthermore, not only order prices are clustering in integer and even prices in all tick size groups, but also the wider the tick size, the weaker the price clustering pattern. Finally, the tick size generates an indirect negative effect on the effective spread through price clustering. After controlling for this indirect effect, the influence still exists, though to a less extent.

摘要.....................................................................................I
目錄....................................................................................II
表目...................................................................................III
壹、緒論.............................................................................1
貳、資料來源與樣本選取.................................................5
一、資料來源.....................................................................5
二、樣本選取.....................................................................5
参、研究方法.....................................................................7
一、分析單位.....................................................................7
二、市場流動性的衡量方式.............................................8
三、價格群聚的衡量方式.................................................9
肆、實證結果....................................................................11
一、升降單位與市場流動性............................................11
二、影響價差與深度的交易特性....................................12
三、股價穿越事件對價差、深度的影響........................14
四、升降單位與價格群聚型態........................................18
五、投資人類型與價格群聚............................................20
六、升降單位、價差及價格群聚三者的關係................21
伍、結論............................................................................25
參考文獻............................................................................43

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