臺灣博碩士論文加值系統

台灣股票市場於2005年3月1日縮小升降單位。本文利用逐筆委託資料來檢測升降單位（tick size）縮小對市場品質的影響。實證發現改制後買賣價差與報價深度都顯著下降，其中以交易熱絡的股票減幅最大。在重建限價委託簿（limit order book）後，發現累積深度（cumulative depth）也同步減少，表示縮小升降單位會降低流動性的提供。投資者改制後使用可市價化限價單（marketable limit order）的比率增加，同時委託價格也比改制前更為積極。整體而言，有效價差（effective spread）在升降單位縮小後顯著下降，小額投資者的交易成本減少最多，雖然市場深度降低，但大額投資者的交易成本並未因此惡化。最後，我們也發現改制後日內報酬波動顯著下降。

On March 1st, 2005, the Taiwan stock market reduced the minimum tick size. This study uses the intraday order data to examine the effect of reducing the minimum tick size on market quality. We find, first, that the bid-ask spread and quoted depth decreases significantly after the tick-size change, especially for heavily traded stocks. Cumulative depth decreases significantly throughout the limit order book as well, indicating that liquidity supply declines. Second, investors significantly become more aggressive and increase their submissions of the marketable limit orders. Third, the effective spread the execution cost decrease significantly especially for small-size trades. The execution cost of large-size trades, however, does not deteriorate as market depth declines. Finally, the intraday stock return volatility decreases significantly.

摘要 I
目錄 II
圖目錄 III
表目錄 IV
壹、緒論 1
貳、文獻回顧 5
參、交易制度與資料來源 7
3.1 交易制度 7
3.2 資料來源 7
3.3 價格級距與升降單位 8
3.4 樣本選取 8
3.5 樣本分析 9
肆、研究方法與實證分析 11
4.1 買賣價差 11
4.2 市場深度 13
4.2.1 報價深度 13
4.2.2 限價委託簿 15
4.3 可市價化限價單 18
4.4 有效價差 21
4.5 波動度 23
伍、結論 25
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