本篇論文的研究目的在於檢驗提高的委託簿揭露速度對於市場品質的影響。基於台灣期貨交易所近三次的制度改變(降低委託簿最佳五檔委託價量的更新時距)，此種特殊性給了作者一個機會去探討委託簿揭露速度如何影響交易前透明度，而受影響的交易前透明度又如何改變了市場品質。實證結果如下：報價價差的改變呈現U型的型態，而市場深度的改變則呈現了倒U型的型態。委託單到達的持續性與波動度上升，但資訊不對稱的程度下降。委託單的價格發現功能並未有顯著的改變。在現今市場參與者所面對的毫秒交易環境中，此篇論文亦可提供交易所施政者作為改善市場品質手段的參考。

This paper examines the impact of reducing refresh interval of limit order book on market quality. Based on the special nature of information dissemination speed changes due to gradually reducing refresh interval regulation in Taiwan Futures Exchange, this give us a good opportunity to study how speed of screen information disclosure affect market quality for exploring the importance of ex-ante transparency to the order-driven market. My findings suggest that shorter refresh interval for quoting prices and quantities in limit order book brings to loir spreads, depths, persistence of order arrival, and information asymmetry, whereas it also causes higher intraday volatility. Thereby, my investigation provides reference for regulators who attempt to increase ex-ante transparency by promoting capacity of information dissemination system in nowadays milliseconds trading environment.

Contents

中文謝辭 ii

中文摘要 iii

Abstract iv

Chapter 1 Introduction 1

Chapter 2 Literature and Hypotheses 7

Chapter 3 Market Structure and Data 10
3.1 Background to Refresh Interval of Limit Order Book and Structure of the TSE 10
3.2 Data 12

Chapter 4 Empirical Results 13
4.1 Spread Width 13
4.2 Market Depth 18
4.3 Volatility 20
4.4 Price Level 21
4.5 Efficient Price 22
4.6 Asymmetric Component of Spread 23
4.7 Probability of Informed Trading 25

Chapter 5 Conclusion 27

References 29

Figures and Tables

Figure 1 Trade Duration 33
Figure 2 Long-run Market Activity 34
Figure 3 Quoted Spread 35
Figure 4 Effective Spread 36
Figure 5 Depths of the Best Bid/Ask Quote 37

Table 1 Contract Specification of Taiwan Stock Exchange Capitalization Iighted Stock Index Future 38
Table 2 Summary Statistics of Taiwan Stock Exchange Capitalization Iighted Stock Index Future (TX) 39
Table 3 Dummy Variables and Time Window of Data 41
Table 4 Spread of the Best Bid/Ask Quote 42
Table 5 Depths of the Best Bid/Ask Quotes 44
Table 6 Change in Volatility and Price Level 46
Table 7 Market Efficiency Coefficient 47
Table 8 Asymmetric Information Component of Spread 48
Table 9 Probability of Informed Trading (PIN) 49
Table 10 Comparison betien my investigation and previous literatures about greater transparency 50

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