臺灣博碩士論文加值系統

摘要
本研究主要衡量台灣證券市場，市場深度日內型態及探討其與買賣價差、委託單不均衡間之關係。因此以台灣證券交易市場，2004年7月1日至12月31日共128個交易日，上市日滿半年之673家上市公司日內交易資料為研究對象。運用Brockman and Chung(1999)以委託單驅動市場特性提出之模式，分別針對研究樣本公司成交下最佳五檔及最佳一檔委託單流量，以及Kyle(1985)提出交易量對價格衝擊之模式，衡量市場深度並加以比較是否均存在相同日內型態，接著探討市場深度與買賣價差及委託單不均衡三者間之關係，最後進行市場深度日內型態之敏感度分析。
研究結果發現：(1) 市場深度日內型態，均呈現倒U型，形成倒U型態可由市場關門理論及逆選擇現象進行解釋。在收盤部份，發現最後一個時段市場深度顯著下降趨勢，可能因為我國證券市場收盤價採用最後五分鐘集合競價，使得投資者交易不確定性與風險提高，因此有提前出場情況產生。(2) 買賣價差與委託單不均衡日內型態均呈U型結果，推測可能是因資訊不對稱及市場關門理論所致。(3) 從市場深度與買賣價差及委託單不均衡間，其相關係數及一般動差法之估計結果均發現，買賣價差擴大將降低市場深度，即買賣價差對市場深度具有反向衝擊影響；而委託單不均衡程度愈高將會顯著擴大買賣價差，顯示委託單不均衡與買賣價差呈現正向關係；最後發現委託單不均衡程度愈高會顯著降低市場深度，即委託單不均衡與市場深度具有反向關係。(4) 市場深度日內型態之敏感度分析方面，從星期構面發現，星期一之平均市場深度均為一星期中最低，之後緩慢上升，至星期四與五為一星期中市場深度最高時點；在大規模群組公司，每個時段之市場深度均較小規模群組公司為高，且在大規模群組公司中，有較顯著日內倒U型態；金融產業之平均市場深度均顯著高於電子與其他產業，影響因素之ㄧ可能為金融產業平均每家公司規模較大。且電子與金融產業在收盤前，提前出清的情況更為顯著；淨值市價比愈低公司其市場深度愈深，而高淨值市價比群組有較明顯倒U型態，至於中與低淨值市價比群組，其日內市場深度均從開盤後逐漸上升至最後一個時段才顯著下降，並沒有顯著日內倒U型態存在。

關鍵字：市場深度、買賣價差、委託單不均衡、日內型態、一般動差法

A Study on the intraday pattern of market depth and stock price behavior of Taiwan Stock Market
ABSTRACT
This paper examines the intraday pattern of market depth, and the relation between the market depth, bid-ask spread, and order imbalance. First we use Brockman model and Kyle model to investigate the intraday pattern of market depth. Second, we study the relation between the market depth, bid-ask spread, and order imbalance. Last, the thesis investigates the sensitivity analysis of intraday pattern of market depth.
We focus on the Taiwan Stock Exchange between July 2004 to December 2004. The empirical result show as follows: (1). the intraday pattern of market depth follow a reversed U shaped pattern. The results cause market closure theory and adverse selection theory. (2). the intraday pattern of bid-ask spread and order imbalance are both U shaped that the result cause information asymmetry and market closure theory. (3). we use correlation coefficient and GMM to investigate the relation between the market depth, bid-ask spread, and order imbalance. We find the same result that the spread have the negative impact on market depth and order imbalance have positive impact on spread, and the market depth are minimized when order are imbalanced. (4) the sensitivity analysis of intraday pattern of market depth that we find the market depth of Monday is lower on the week, and the market depth of Thursday and Friday are higher on the week; the big size firm have higher market depth than small size firm, and big size group have more significant reversed U shaped; the market depth of financial industry are higher than electronic and other company. The significant factor may be the financial firms have higher size; Low BE/ME firms have higher market depth, and high BE/ME firms have more significant reversed U shaped.
Key word: market depth, bid-ask spread, order imbalance, intraday pattern, generalized method of moment-GMM

目錄

第一章 緒論.........................................................1
第一節 研究背景與動機.............................................1
第二節 研究目的..................................................4
第三節 研究架構..................................................5
第二章 文獻回顧.....................................................7
第一節 市場深度衡量模式...........................................7
第二節 股價行為之日內型態.........................................13
第三節 市場深度與買賣價差及委託單不均衡關係.........................15
第四節 其他相關文獻..............................................17
第五節 小結.....................................................19
第三章 研究設計....................................................21
第一節 證券市場交易機制簡介.......................................21
第二節 研究假說..................................................23
第三節 資料來源與資料處理.........................................25
第四節 變數定義..................................................26
第五節 模型設定..................................................30
第六節 日內型態敏感度分析.........................................35
第七節 一般動差法................................................37
第四章 實證結果分析.................................................39
第一節 資料特性分析..............................................39
第二節 市場深度日內型態分析.......................................44
第三節 市場深度與買賣價差及委託單不均衡之關係.......................49
第四節 市場深度日內型態之敏感度分析................................59
第五章 結論........................................................76
參考文獻............................................................79
一、中文.........................................................79
二、英文.........................................................80
附錄一 證券市場交易相關法規............................................86
附錄二 台灣經濟新報資料庫集中市場當日交易明細資料格式說明.................89


表目錄

表3-1 證券市場交易機制彙整表.........................................22
表4-1 樣本資料......................................................41
表4-2 敘述統計......................................................43
表4-3 市場深度日內型態估計結果........................................47
表4-4 買賣價差與委託單不均衡日內型態估計結果...........................51
表4-5 市場深度與買賣價差及委託單不均衡相關係數..........................54
表4-6 市場深度與買賣價差及委託單不均衡關係估計結果......................58
表4-7 星期別市場深度日內型態敏感度分析.................................61
表4-8 規模別市場深度日內型態敏感度分析.................................65
表4-9 市場深度產業別估計結果.........................................68
表4-10 市場深度產業別與規模別交叉分析..................................70
表4-11 產業別市場深度日內型態敏感度分析.................................71
表4-12 淨值市價比市場深度日內形態敏感度分析............................74


圖目錄

圖1-1 研究流程.......................................................6
圖4-1 Brockman最佳五檔日內市場深度趨勢圖..............................48
圖4-2 Brockman最佳一檔日內市場深度趨勢圖..............................48
圖4-3 Kyle日內市場深度趨勢圖.........................................48
圖4-4 買賣價差日內型態趨勢圖.........................................52
圖4-5 委託單不均衡日內型態趨勢圖......................................52
圖4-6 市場深度日內型態星期分類平均結果.................................60
圖4-7 Brockman最佳五檔日內市場深度星期分類趨勢圖.......................62
圖4-8 Brockman最佳一檔日內市場深度星期分類趨勢圖.......................62
圖4-9 Kyle日內市場深度星期分類趨勢圖..................................62
圖4-10 Brockman日內市場深度大規模分類趨勢圖...........................66
圖4-11 Brockman日內市場深度中規模分類趨勢圖...........................66
圖4-12 Brockman日內市場深度小規模分類趨勢圖...........................66
圖4-13 Kyle日內市場深度規模分類趨勢圖.................................67
圖4-14 Brockman最佳五檔日內市場深度產業分類趨勢圖......................72
圖4-15 Brockman最佳一檔日內市場深度產業分類趨勢圖......................72
圖4-16 Kyle日內市場深度產業分類趨勢圖.................................72
圖4-17 Brockman最佳五檔日內市場深度淨值市價比分類趨勢圖.................75
圖4-18 Brockman最佳一檔日內市場深度淨值市價比分類趨勢圖.................75
圖4-19 Kyle日內市場深度淨值市價比分類趨勢圖............................75

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