從台股委託單的刪單比率近33％，刪單有三分之一以上發生在六十秒內，參考Hasbrouck & Saar (2009)，我們將六十秒內的刪單定義為快速刪單。針對投資者快速刪單行為決定因素的研究發現，市場波動率、投資者參與度與委託單積極度的不確定性增加時，不同類型投資人的快速刪單比率均有顯著的提升；但是外資和散戶的快速刪單行為對流動性變化的反應不同；流動性匱乏時，外資傾向於減少快速刪單比率，而散戶快速刪單比率卻顯著增加。另透過檢驗快速刪單對市場流動性的變動，發現快速刪單整體上有助於改善市場流動性，是因為投資者進行快速刪單後傾向於提交更積極的委託單。而進一步的研究發現，由於不同類型投資者在資金、持股偏好及交易策略等方面存在差異，外資與本土法人的快速刪單對大中型股票市場的流動性改善效果最為顯著，散戶在小型股票對流動性產生的負面影響是最大的。

A great amount of orders cancelled shortly after submission among which over one-third are cancelled within 60 seconds. The study on the determinants of investors' fleeting orders shows that an increase in volatility, investors' participation rate and the uncertainty about the arrival rate of impatient marketable orders will be associated be higher levels of fleeting orders for three classes of investors, namely domestic institutions, foreign institutions and retail investors. However, institutional investors react differently with retail investors when market liquidity deteriorates, institutional investors tend to decrease fleeting orders, while retail investors to increase fleeting orders. By investigating the impact of fleeting orders on market liquidity, we find that fleeting orders, on a whole, contribute to improving market liquidity because investors in Taiwan stock market, on average, would resubmit a more impatient order after cancelling orders. A further study finds that since investors among different classes differs in capital flows, special preference for stock characteristics, and trading strategies etc., the aforementioned conclusion is polarized across investor classes and firm size.

目錄
第一章 緒論	1
第一節	研究背景與動機	1
第二節	研究目的	4
第三節	研究架構	7
第四節	研究流程	8
第二章 文獻探討	9
第一節	刪單與快速刪單的趨勢及影響	9
第二節	流動性	12
第三節	刪單對市場品質、流動性的影響	14
第四節	刪單對各類投資人的影響	15
第三章 研究方法	16
第一節 市場結構概述	16
第二節 研究樣本與資料形式	19
第三節 快速刪單(Fleeting Orders）	25
第四節 變數定義	27
第五節	模型設定	36
第四章 實證結果與分析	40
第一節 快速刪單的影響因素	40
第二節 快速刪單對流動性的變化	43
第三節 其他檢驗	45
第五章 結論	52
參考文獻	55
表目錄
【表3-1】台灣證券市場投資人類別成交值比重表	17
【表3-2】台股發行量加權股價指數報酬率表	18
【表3-3】委託檔資料格式表	20
【表3-4】成交檔資料格式表	20
【表3-5】揭示檔資料格式表	21
【表3-6】各類投別資人交易概況之敍述性統計表	23
【表3-7】快速刪單比率非零統計表	24
【表3-8】全市場及各類別投資人刪單比率表	25
【表3-9】不同時間區間下之刪單比率表	26
【表3-10】全市場及各類別投資人快速刪單比率表	26
【表3-11】證券市場最佳一檔買賣價差累積比率表	30
【表3-12】平均交易量比率下大筆市價單之消化比率表	33
【表4-1】快速刪單的影響因素表	42
【表4-2】快速刪單對流動性的影響表	44
【表4-3】快速刪單的影響因素-區分為大、中及小型股表	46
【表4-4】快速刪單的影響因素-區分為投資人類型及公司市值的分析表	48
【表4-5】快速刪單對大、中及小型股市場流動性的影響表	49
【表4-6】不同類型投資人的快速刪單對大、中及小型股票市場流動性的影響表	51


圖目錄
【圖1-1】研究流程圖	8
【圖3-1】證券市場最佳一檔買賣價差的分布圖	30

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