觀察市場微結構與造市者收益之公平性上，了解與評估造市者之買賣價差是必要的。本文主要觀察美國證券交易所 (AMEX) 於2001年1月29日變更最小升降單位前後之買賣價差與組成份，採用Bollen et al. (2004) 之價差評價模型，並以選擇權理論評估DIA與QQQ之價差組成份，最後探討調整檔次對價差與組成份之變化。實證發現，DIA與QQQ在最小升降單位縮小後，等權平均報價價差與有效價差皆有顯著的降低，意味著價差之競爭力提高並隱含投資者交易成本之下降；而對DIA與QQQ之成交量皆有顯著之提升，表示交易成本的減少，吸引更多投資人進場交易。其次，DIA與QQQ之委託單處理成本除了與買賣價差具有正向關係，在小數點報價後，亦因交易量的增加而減少，此可能由於造市時之固定成本下降所致。最後，以選擇權理論權量測預期存貨持有溢酬中發現，DIA之存貨持有溢酬愈高，價差愈大，QQQ之存貨持有溢酬與價差亦為正相關，然而事後不為顯著，此顯示可能同商品間的替代關係影響評估結果。而在事後檢定上皆有顯著的減少，表示小數點報價後，成交量的增加，除了提高市場流動性，並提升市場效率，因而使DIA與QQQ的存貨持有成本與逆選擇成本之和皆有明顯的下降。

To understanding and measuring the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and the fairness of market rents. We use the model of Bollen et al. (2004) to test how tick size affects bid/ask spread and components. The model of market makers accounts for the effects of price discreteness includes by order processing costs, inventory-holding costs and adverse selection. The inventory-holding and adverse selection cost components of spread are modeled as an option with stochastic time to expiration. This inventory-holding premium embedded in the spread represents compensation for the price risk borne by the market maker while the security is held in inventory. The premium is partitioned in such a way that the inventory-holding and adverse cost components. After the tick size reduced, the equal-weighted quoted and effective spreads are significantly decreasing but trading volumes are apparently increasing. Besides, the order-processing costs of DIA and QQQ have significantly positive relation with their bid/ask spread, and the order-processing costs per share reduce due to increasing trading volumes. In addition, whether using in-the-money option or collar option to evaluate the inventory-holding premium, the inventory-holding premium also has significant reduction.

目    錄
第一章　緒論	                              1
1-1　研究背景與動機	                     1
1-2　研究目的	                              3
1-3  研究架構	                              4
1-4　研究流程	                              6
第二章  文獻探討	                              7
2-1　買賣價差組成份	                     7
2-2  買賣價差組成份之實證	                    13
2-3　最小升降單位對買賣價差之影響	           15
第三章　理論與模型	                             18
3-1  買賣價差之衡量	                    18
3-2　價差組成份之衡量	                    19
第四章　研究方法	                             25
4-1  波動性之衡量	                             25
4-2  價差估計	                             26
4-3  選擇權模擬	                             29
4-4  買賣價差之迴歸模型	                    31
第五章　實證結果與分析	                    35
5-1  資料	                                      35
5-2  結構模型之實證結果	                    42
5-3  最小升降單位改變對買賣價差之影響	  61
第六章　結論與建議	                             65
6-1  結論                                      65
6-2  研究限制與建議	                    66
參考文獻                                       67

表 目 錄
表5-1、DIA之基本統計量………………………………………………………..38
表5-2、QQQ之基本統計量………………………………………………………39
表5-3、DIA絕對報價價差與有效價差之迴歸模型分析……………..................44
表5-4、QQQ絕對報價價差與有效價差之迴歸模型分析………………………45
表5-5、DIA相對報價價差與有效價差之迴歸模型分析………………………..47
表5-6、QQQ相對報價價差與有效價差之迴歸模型分析………………………49
表5-7  DIA與QQQ存貨持有溢酬及其組成份之迴歸模型……………….......51
表5-8、DIA以collar評估預期存貨持有溢酬之絕對有效價差迴歸模型分析...53
表5-9、QQQ以collar評估預期存貨持有溢酬之絕對有效價差迴歸模型分析.54
表5-10、DIA以straddle評估逆選擇成本之絕對有效價差迴歸模型分析…….56
表5-11、QQQ以straddle評估逆選擇成本之絕對有效價差迴歸模型分析……57
表5-12、DIA與QQQ絕對有效價差之迴歸模型……………………………….59
表5-13、DIA與QQQ小數點報價前後之比較…………………………….……61
表5-14、DIA與QQQ小數點報價前後以collar評估預期存貨持有溢酬之比較…………………………………………………………………………62

圖 目 錄
圖5-1、研究期間……………………………………………………………………36
圖5-2、以價平選擇權評估DIA之預期存貨持有溢酬……………………………40
圖5-3、以價平選擇權評估QQQ之預期存貨持有溢酬….………………………41
圖5-4、以collar評估DIA之預期存貨持有溢酬…………………………………42
圖5-5、以collar評估QQQ之預期存貨持有溢酬………..………………………42

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