臺灣博碩士論文加值系統

本研究主要探討撮合秒數改變後對於外資委託時間決策之影響。台灣證券交易所針對盤中撮合制度進行調整，使得撮合頻率逐漸提升。從最初的每20秒撮合一盤，至 103年12月29日將撮合時間縮短為5秒撮合一盤。根據實證結果發現，撮合秒數改變並不會影響外資委託決策，且讓投資人迴避於開盤後一小時下單，但本研究同時也發現，外資的委託數量對於台灣股市委託頻率而言，是有其相當的影響力。

This thesis focus on the influence of the change of clearing time reforms on the decision of foreign order time. The Taiwan Stock Exchange adjusted the intraday trading system to gradually increase the frequency of matching. From the initial 20-second combination, to December 29, 103, shorten the combination time to 5 seconds. According to the empirical results, it is found that the change the clearing time reforms does not affect the foreign-funded decision-making, and investors are allowed to refrain from placing an order one hour after the opening. However, this thesis also found that the number of foreign-invested orders is for the Taiwan stock market order frequency. It has considerable influence.

書 名 頁 i
論文口試委員審定書 ii
中文摘要 iii
英文摘要 iv
誌 謝 v
目 錄 vi
表 目 錄 vii
圖 目 錄 viii
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 3
第三節 研究架構 4
第二章 文獻回顧 6
第一節 撮合秒數之相關文獻 6
第二節 委託積極度之相關文獻 10
第三節 透明度之相關文獻 12
第三章 研究方法 14
第一節 資料來源與樣本期間 14
第二節 樣本篩選 15
第三節 委託頻率衡量方法 17
第四節 Binary Probit模型應用 17
第五節 解釋變數及其量化指標 18
第四章 實證分析 21
第一節 敘述統計 21
第二節 假說實證結果 23
第三節 小結 35
第五章 結論與政策意涵 36
第一節 研究結論 36
第二節 政策意涵 37
第三節 未來研究方向 37
參考文獻 38
附 錄 41

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