臺灣博碩士論文加值系統

本文主要目的是探討盤中零股交易是否會影響證券市場交易品質。研究樣本為臺灣證券交易所所有上市公司與F股(國外來台灣股市掛牌)，以盤中零股交易實施事件日前後三個月進行市場品質變動實證研究。本研究採用流動性進行市場品質的分析，流動性的指標包含了買賣價差、市場深度以及波動性，用上述三個替代變數來衡量市場品質，控制大盤變數以迴歸分析進行研究，探討個變數與市場交易品質之關聯性。實證結果顯示實施盤中零股交易後買賣價差和波動性降低，而市場深度提升，因此判斷提升零股交易便利性、資訊揭露頻率提高和增加價格穩定措施有助於改善證券市場交易品質。

This research is to discuss whether odd-lot trading changes will effect on security market transaction quality. Research samples used listed on Taiwan Stock Exchange . Empirical research on market quality changes three months before and after odd-lot trading event day. This research uses liquidity to analyze market quality ,liquidity indicators including bid-ask spreads, market depth, and volatility. Use the above three substitution variables to measure market quality, and control the market variables for regression analysis and discuss the correlation between variables and the quality of market transactions. The results show that after start odd-lot trading ,the bid-ask spread and volatility decreased, market depth increased. Thence, it is judged that improving the convenience of odd-lot trading and rejuvenating the capital market will help improve the quality of securities market transactions.

壹 前言
貳 文獻探討
一、 零股交易
二、 證券市場交易品質
三、 研究假設
參 研究樣本與方法
一、 研究樣本
二、 研究方法
肆 實證結果
一、 敘述統計結果
二、 相關係數統計結果
三、 實行盤中零股交易制度與買賣價差(Spread)實證結果
四、 實行盤中零股交易制度與市場深度(Depth)實證結果
五、 實行盤中零股交易制度與波動性(Volatility)實證結果
伍、 結論
參考文獻

一、中文文獻
謝俊欽（2020）。盤中零股交易制度概述。證券服務，(678)，6-10。

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