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系統識別號 U0002-2805200701233000
中文論文名稱 升降單位、市場品質與股價跳躍—台灣市場之實證研究
英文論文名稱 Tick Size, Market Quality and Information-Induced Jumps — Evidence from the Taiwan Stock Exchange
校院名稱 淡江大學
系所名稱(中) 財務金融學系博士班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 吳佩珊
研究生英文姓名 Pei-Shan Wu
學號 892490011
學位類別 博士
語文別 中文
口試日期 2007-05-20
論文頁數 105頁
口試委員 指導教授-邱建良
指導教授-李命志
委員-張倉耀
委員-王凱立
委員-聶建中
委員-俞海琴
委員-李命志
委員-謝文良
中文關鍵字 買賣升降單位  純委託單驅動市場  限價單交易者  股價波動性  股價跳躍行為 
英文關鍵字 Tick-Size  Pure-Order Driven Market  Limit-Order trader  Stock Price Volatility  Jump Behavior of Stock Price 
學科別分類 學科別社會科學商學
中文摘要 本論文探討台灣證券交易所於2005年3月1日縮小買賣升降單位後,對市場造成的影響,共包含兩篇,第一篇為「縮小買賣升降單位對限價單交易者行為的影響」,第二篇為「股價日內跳躍行為之探討」。
第一篇主要目的是檢視縮小買賣升降單位後對市場交易成本、深度與交易量的影響,並深入探討主要提供市場流動性的限價單投資者(limit order trader)在買賣升降單位縮小後,是否提升買賣委託的價格競爭,而加強市場價格發現能力;此外,並檢視此政策是否有強化市場價格優先機制,而使限價單交易會透過價格優先來獲取市場利潤,使日內時段的市場深度有所變化,以了解升降單位在提供流動性過程中所扮演的角色與其政策效益。實證結果發現買賣降單位縮小會使整體市場交易成本降低、整體市場深度變小,而整體市場交易量則無顯著性影響。此外,買賣升降單位縮小確實具有強化價格優先的特性,能提升整體市場的價格發現能力,且交易者能更積極在盤中流動性較高的時段透過價格優先來獲取市場利潤,使盤中市場深度減少效果較大。
第二篇是透過ARJI (Autoregressive Conditional Jump Intensity)模型,來研究台灣股票市場日內個股價格因受私有信息與資訊不對稱問題而產生跳躍行為的變化,透過觀察日內個股價格波動與價格調整過程,以進一步了解私有信息如何反應和被逐漸吸收到個股價格中。實證結果發現ARJI模型其誤差項應設定為Skewed-t分配,以能更適切捕捉股價的日內波動性。此外,樣本公司股價報酬總變異的日內型態呈現近L型變化,並發現因私有信息所引起股價報酬的跳躍行為是解釋各股股價報酬總變異日內型態的重要原因之一。而樣本公司股價報酬之跳躍序列亦存在近L型的日內型態,更可明確說明為何開盤1小時內各股股價報酬會有較大波動的原因。最後發現買賣升降單位縮小後對各股股價日內波動性並沒有一致性的影響,此可能與各股特性、交易者行為、或其他因素等差異有關。
英文摘要 This dissertation focuses on the market’s response to Taiwan Stock Exchange Corporation reducing minimum tick-size on March, 1, 2005. It contains two papers, the first is “The Influence of Limit Order Trader by Reducing Tick Size” and the second is “The Analysis of Intraday Jump Behavior of Stock Price”.
The main study of the first paper is to examine the influence of reducing tick size on trading cost, depth and trading volume. And it studies deeply about the limit order trader who offers market liquidity to see if it can raise the limit orders’ price competition to enforce the market price discovery. Furthermore, it also reviews if the policies can strength the market price priority to let the limit orders trading earn the market profits by price priority. By the variance of intraday market depth, it will help to understand the role that the tick size plays in offering the liquidity process and the policy benefit. The evidence proves that reducing tick size would make the full market trading decline and shortens the depth; however, it has no influence on the market volume. Besides, reducing tick size indeed strength the market price priority and raises the whole market price discovery. The result also finds that the traders would earn market profits actively by price priority in the period of higher liquidity span and enlarge the market depth during the middle trading period.
The second paper is to study the variance of jump behavior which individual stock’s intraday price was made by private information and asymmetric information problem in Taiwan stock market. By surveying the variance and adjustment process of intraday individual stock’s price, we can further understand how private information response and gradually absorb the individual stock’s price. The evidence shows that the error term of ARJI model should be set as Skewed-t distribution to catch the intraday stock price variance. In addition, the intraday pattern of variance of stocks return appears to be “L” shaped, and the jump behaviors of stocks’ price return made by private information are one of the most important reasons to analyze the intraday pattern of stocks’ price variance. The jump series from sample firm stocks’ price also have the “L” shaped intraday pattern, which can explain clearly why individual stock’s price return have higher variance within the first hour opening trading period. Finally, the evidence shows that reducing tick size has no influence on the intraday volatility of stocks; it might be related to the difference of individual stock’s property, trader behavior and other reasons.
論文目次 第一篇 縮小買賣升降單位對限價單交易者行為的影響
第一章 前言…………………………………………………………2
第一節 研究動機……………………………………………………2
第二節 研究目的……………………………………………………5
第三節 研究架構……………………………………………………6
第二章 微結構文獻整理與理論基礎建立…………………………8
第一節 報價驅動(Quote-driven)市場與委託驅動(Order-driven)市場…………8
第二節 資訊不對稱下的限價單交易者行為………………………10
第三節 升降單位大小對市場交易的影響…………………………11
第四節 升降單位對買賣價差的影響………………………………13
第五節 升降單位對交易量與深度的影響…………………………19
第三章 台灣證券市場交易制度……………………………………22
第四章 研究設計……………………………………………………27
第一節 採樣程序……………………………………………………27
第二節 變數整理……………………………………………………28
第三節 顯著性檢定方法……………………………………………30
第五章 資料來源與實證結果………………………………………31
第一節 資料來源與整理……………………………………………31
第二節 買賣升降單位縮小對市場特性(交易成本、深度及交易量)的影響…32
第三節 買賣升降單位縮小對日內價差型態的影響………………35
第四節 買賣升降單位縮小對日內深度型態的影響………………45
第六章 結論…………………………………………………………52
參考文獻………………………………………………………………54
第二篇 股價日內跳躍行為之探討
第一章 前言…………………………………………………………59
第一節 研究動機……………………………………………………59
第二節 研究目的……………………………………………………61
第三節 研究架構……………………………………………………62
第二章 文獻回顧……………………………………………………64
第一節 波動性的日內型態…………………………………………64
第二節 買賣升降單位縮小對市場波動性影響……………………67
第三章 研究方法……………………………………………………68
第一節 單根檢定……………………………………………………70
第二節 ARCH效果檢定………………………………………………74
第三節 ARJI模型與Skewed-t分配設定……………………………76
第四章 資料來源與實證結果………………………………………81
第一節 資料來源與整理……………………………………………81
第二節 基本統計分析………………………………………………82
第三節 單根檢定與ARCH效果檢定…………………………………84
第四節 ARJI模型配適………………………………………………86
第五節 ARJI-ST模型估計的總變異在日內時間下的變化………90
第六節 擴散-跳躍聯合過程的日內型態分析……………………93
第七節 跳躍序列分析………………………………………………96
第六章 結論…………………………………………………………99
參考文獻………………………………………………………………102

表目錄
第一篇 縮小買賣升降單位對限價單交易者行為的影響
表3-1 股票升降單位調整前後對照表……………………………24
表3-2 認購(售)權證升降單位調整前後對照表………………25
表5-1 2005年3月1日台灣證券交易所的買賣升降單位新舊制對照表…32
表5-2 買賣升降單位縮小對市場的總效果分析…………………34
表5-3 對照組日內價差……………………………………………37
表5-4 測試組日內價差……………………………………………38
表5-5 測試組價差變化迴歸估計結果……………………………44
表5-6 對照組日內深度政策前後差異(政策前-政策後)………48
表5-7 測試組日內深度政策前後差異(政策前-政策後)………49
表5-8 測試組深度變化迴歸估計結果……………………………51
第二篇 股價日內跳躍行為之探討
表4-1 2005年3月1日台灣證券交易所的買賣升降單位新舊制對照表…82
表4-2 基本統計分析………………………………………………83
表4-3 單根檢定與ARCH效果檢定…………………………………86
表4-4 ARJI模型估計結果…………………………………………89
表4-4(續) ARJI模型估計結果………………………………………90
表4-5 各股在ARJI模型下估計總變異……………………………92
表4-6 政策前擴散-跳躍聯合過程的基本統計量………………95
表4-7 政策後擴散-跳躍聯合過程的基本統計量………………96
表4-8 政策前跳躍序列統計………………………………………98
表4-9 政策後跳躍序列統計………………………………………99

圖目錄
第一篇 縮小買賣升降單位對限價單交易者行為的影響
圖1-1 研究架構圖…………………………………………………7
圖5-1 對照組標準化日內價差金額………………………………40
圖5-2 對照組標準化日內價差百分比……………………………40
圖5-3 對照組標準化日內有效價差………………………………41
圖5-4 測試組標準化日內價差金額………………………………41
圖5-5 測試組標準化日內價差百分比……………………………42
圖5-6 測試組標準化日內有效價差………………………………42
圖5-7 控制組標準化日內深度……………………………………50
圖5-8 測試組標準化日內深度……………………………………50
第二篇 股價日內跳躍行為之探討:台灣市場實證
圖1-1 研究架構圖…………………………………………………63
圖4-1 2827中聯日內成交價………………………………………84
圖4-2 1314中石化日內成交價……………………………………84
圖4-3 2827華映日內成交價………………………………………84
圖4-4 2384勝華日內成交價………………………………………84
圖4-5 2357華碩日內成交價………………………………………84
圖4-6 3034聯詠日內成交價………………………………………84
圖4-7 2498宏達電日內成交價……………………………………84
圖4-8 2827中聯股價總變異日內型態……………………………93
圖4-9 1314中石化股價總變異日內型態…………………………93
圖4-10 2475華映股價總變異日內型態………………………… 93
圖4-11 2384勝華股價總變異日內型態…………………………93
圖4-12 2357華碩股價總變異日內型態…………………………93
圖4-13 3034聯詠股價總變異日內型態…………………………93
圖4-14 2498宏達電股價總變異日內型態………………………93

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