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題名：市價單與限價單日內績效之研究
作者：梁育立
作者(外文)：Yu Li Liang
校院名稱：國立臺灣科技大學
系所名稱：企業管理系
指導教授：黃彥聖
學位類別：博士
出版日期：2003
主題關鍵詞：市價單；限價單；market order；limit order
原始連結：連回原系統網址new window
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在委託單驅動的市場，限價單扮演著重要的角色。限價單的交易者在委託單驅動的市場上，以限定的買價或賣價交易特定數量的股票，而提供流動性。相對的投市價單的交易者，則是以先前買價或賣價立刻成交，來需求流動性，在委託單驅動的市場限價單的利潤是非常重要的。在本文內使用台灣證券交易所的交易資料來檢驗限價單和市價單的日內績效，以台灣證券交易所之443家上市股票為研究樣本，採用民國88年1月1日至3月31日共三個月61個交易日之日內資料。分割每日三個小時的交易時間，成為八個四十分鐘重疊的時間區間，從早上09:00-09:40 09:20-10:00… 到中午11:20-12:00。對每四十分鐘重疊的時間區間，計算每股市價單和限價單的報酬率、報酬波動和限價單成交率。
實證結果指出成交的限價單，績效顯著優於市價單。儘管合併了成交的限價單及未成交的限價單，績效仍優於市價單。雖然如此，這較佳的限價單績效主要來自股票市場，成交價在買進報價及賣出報價間來回的跳動。當使用買進報價及賣出報價的平均值，來取代原來的買價及賣價，成交限價單較佳的績效是顯著減少。研究結果是解釋限價單交易者的利潤來自於流動性交易者所驅動報酬的波動。
成交限價單報酬的波動性，比市價單更高，雖然限價單交易者能賺得比市價單較高的平均報酬，同樣地也將面對較高的風險，而日內報酬的波動是近似於某種U形型態。交易期間限價單的成交率也呈現U形型態，開盤時最高，盤中較低，而收盤又些微的上揚。U形型態的成交率是和U形型態報酬的波動性一致，在開盤時報酬的波動較高，也就是較高的波動，成交價有較大的機率達到限定價格。
Limit orders play an important role in an order driven market by providing liquidity to the market. In an order driven market, limit order traders provide liquidity by specifying limited buy and sell prices for a particular quantity of shares to the market. In contrast, market order traders consume liquidity by demanding immediate execution at the prevailing bid and ask prices. Thus, the profitability of limit orders is crucial to the viability to an order driven market.
In this dissertation, I examine the intraday performance of limit orders relative to market orders using transaction data from the Taiwan Stock Exchange. The sample contains the transaction prices for all 443 listed stocks on the Taiwan Stock Exchange in the three-month period from January 1 to March 31 of 1999. The three-month period contains 61 trading days. I partitioned the three-hour trading period into eight overlapping 40-minute intervals from 9:00-9:40 a.m., 9:20-10:00 a.m., until 11:20-12:00 noon. For each 40-minute interval, the rate of returns and returns volatility on the market order and limit order and the execution ratio of limit order are computed for each stock.
The empirical results indicate that executed limit orders significantly outperform market orders. Even after considering the effect of unfilled orders, the unconditional limit orders still perform slightly better than market orders. However, the superior performance of limit orders result mainly from the bid-ask bounce effects on the stock market. When the bid-ask average is used to replace the original purchase and sell prices, the superior performance of executed limit orders declines significantly. The result is consistent with the explanation that limit order traders benefit from the return volatility driven by liquidity traders.
The return volatility for executed limit orders appears to be higher than that for market orders. Thus, although limit order traders earn higher average returns than those for market orders, they also face higher risk.
Moreover, the intraday pattern of return volatility appears to be somewhat U-curved.
The execution ratio is U-shaped over the trading period: highest near the open, lower in the middle, and slightly upward near the end of the trading period. The U-shaped execution ratio is consistent with the U-shaped standard deviation of returns. Return volatility tends to be higher near market open. Thus, when returns are more volatile, the chance of transaction prices to move across the limited price increases.
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