臺灣博碩士論文加值系統

臺灣股票市場於2020年3月23日，將盤中撮合從集合競價5秒更改至連續競價。實施連續競價制度不須等待撮合時間即可立即成交，使得交易頻率不斷提升，許多國外交易所已經實施多年，而臺灣也逐漸朝向國際發展。本文研究探討臺灣股票市場實施連續競價制度，進而對元大臺灣50及中型100指數的各別成分股造成的價格效率性、波動性及流動性的影響，研究期間從2018年4月30日至2022年3月23日，近四年的時間進行實施連續競價制度前及實施制度後的比較。本文研究方法使用Bris, Goetzmann, and Zhu (2007)價格效率性指標、Hou and Moskowitz (2005)衡量市場反應資訊的價格延遲程度、GARCH(1,1)模型衡量市場的波動性以及Amihud (2002)衡量股票市場的流動性，接著使用縱橫迴歸模型（Panel Regression Model）來分析連續競價制度的實施衡量上述所提到的價格效率性、波動性及流動性的影響，透過這三項指標來觀察，對市場品質的表現。最後穩健性測試會使用雙重差分法（Difference-in-difference Method）再次檢驗本實證的結果。
本文研究結果，在臺股實施連續競價制度後，對於個股反映資訊的價格效率性會有所提升，波動性則是在實施連續競價制度會造成市場不穩定，而實施連續競價制度後會增加股票個股的流動性。由於本研究是針對臺灣50及中型100成分股進行探討，因此本研究不受股本大小的影響，對於個股的影響都是穩健的。有由此可知，實施連續競價制度後，對於臺灣股票市場的市場品質仍是有著正向的影響，但對波動性沒有顯著影響。

In this study, we examined the impact of trading mechanism change and market quality. On March 23, 2020, Taiwan Stock Market changed the order aggregation from 5 seconds call auction to continuous auction. The implementation of the continuous cuction system, which allows immediate trading without waiting for the aggregation time, has increased the aggregation frequency, which has been implemented in many foreign countries for many years, and Taiwan is gradually moving towards international development. This paper examines the impact of the continuous auction system on the price efficiency, volatility, and liquidity of each constituent stock of the Taiwan 50 Index and Mid-Cap 100 Indexes, before and after the implementation of the continuous auction system for a period of nearly four years, from April 30, 2018, to March 23, 2022. The methodology of this paper uses Bris, Goetzmann, and Zhu (2007) price efficiency index, Hou and Moskowitz (2005) to measure the degree of price delay in market response to information, GARCH(1,1) model to measure market volatility and Amihud (2002) to measure stock market liquidity, followed by longitudinal The Panel Regression Model is then used to analyze the impact of the implementation of the continuous auction system on the above mentioned price efficiency, volatility, and liquidity, and to observe the performance of the market through these three indicators. Finally, the robustness test uses the Difference-in-difference Method to re-examine the results of this validation.
The results of this paper show that the price efficiency of individual stocks reflecting information will be improved after the implementation of continuous auction system in Taiwan stocks, and volatility will be increased after the implementation of continuous auction system which will cause market instability and the implementation of continuous auction system will increase the liquidity of individual stocks. Since this study is conducted for Taiwan 50 Index and Mid-Cap 100 Indexes, the impact on individual stocks is robust regardless of the size of equity. The implementation of the continuous auction system still has a positive impact on the market quality of the Taiwan stock market but does not have a significant impact on volatility.

中文摘要 i
英文摘要 iii
誌謝辭 v
內容目錄 vi．
表目錄 vii
圖目錄 viii
第一章 緒論 1
第一節　　研究背景與動機 1
第二節　　研究問題與目的 5
第三節　　研究架構與流程 6
第二章　文獻探討 10
第一節 交易制度 10
第二節　　集合競價與連續競價制度相關文獻 13
第三節 效率性、波動性與流動性文獻探討 15
第四節 新冠疫情（COVID-19）對市場的影響 21
第三章　研究方法與資料來源 23
第一節　　研究期間 23
第二節　　樣本數據 23
第三節 研究方法 25
第四章　實證分析與結果 30
第一節　　基本統計量 30
第二節　　實證結果 32
第三節 穩健性測試 40
第五章　結論 47
參考文獻 50

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