臺灣博碩士論文加值系統

市場上屬於多重股價最小升降單位的交易所普遍存在，但過去大部份都是集中在NYSE、NASDAQ這種單一升降單位制度的交易所進行研究。因此本文藉由台灣證券交易所縮減其股價最小升降單位以探討在多重最小升降單位下，升降單位的變動對市場品質的影響。
取樣期間為2004年3月1日至2006年2月28日即升降單位縮減的前後各一年584檔股票。研究結果顯示在最小升降單位具實質縮減的股票下升降單位縮減後，買賣價差顯著的下降、市場深度除了5~10元價格群組具顯著的下降外其餘區間皆顯著的上升且資訊交易機率顯著的下降。然而資訊交易機率顯著下降主要是因為資訊發生率顯著下降及流動性交易者明顯的增加所造成。本文進入模型中控制資訊發生率參後再檢視時發現資訊交易機率仍然顯著的下降，這隱含著升降單位縮減將誘使流動性交易者增加而導致資訊交易機率的下降。

It is prevalent that many stock exchanges use exchanges use multiple tick size in the market. However, most of the literatures focus on one tick. Our study is focuses on examining how multiple tick size change affect the market quality after Taiwan Stock Exchange(TSEC) reduce it’s minimum tick size.
We sample 584 stocks from 1 March, 2004 to 28 February, 2006 which before and after one year of the tick size changes. The results show that reducing tick size will decrease spread significantly, increase market depth significantly beside price range of 5-10 and the probability informed trading(PIN) was also decrease significantly. This is due to a decrease in afa or more liquidity trading in the exchage. Conditional on the stocks which the same afa, we found that range from 10-100 the PIN still decrease significantly. This implies that decreasing tick size will encourage liquidity trader enter into exchange.

目 錄

第一章 緒論 1
1.1研究動機 1
1.2研究目的 4
1.3研究架構 5
第二章 文獻探討 6
2.1升降單位對買賣價差與市場深度的影響 6
2.2資訊交易機率測度模型 10
2.3升降單位對資訊不對稱的影響 12
第三章 研究方法 14
3.1樣本資料 14
3.2實證方法 14
3.3變數衡量 16
3.3.1買賣價差 16
3.3.2市場深度 17
3.3.3資訊交易機率測度模型 20
3.3.3.2交易與價格 21
3.3.3.3參數估計 24
第四章 研究結果 27
4.1敘述統計量 28
4.2 檢定結果 38
第五章 結論 48
參考文獻 50

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