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題名：升降單位調降對台灣股票市場微結構的影響
作者：謝宗祐
作者(外文)：Tzung-Yuan Hsieh
校院名稱：國立成功大學
系所名稱：企業管理學系碩博士班
指導教授：莊雙喜
學位類別：博士
出版日期：2008
主題關鍵詞：升降單位調降；價差；訂單處理成本；訂單持續性；訂單導向市場；日內型態；資訊不對稱成本；深度；價格受限程度；Order processing cost；Spread；Order persistence；Order-driven market；Intraday pattern；Tick-size reduction；Binding-constraint probability；Depth；Information asymmetry cost
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本文主要討論升降單位調降對於市場流動性、價差成份、及其日內型態的影響。本論文由下列三篇文章所組成：第一篇為探討升降單位調降對於市場流動性及價格受限程度的影響；第二篇為探討升降單位調降對於價差成份的影響；第三篇為探討升降單位調降對於市場流動性及價差成份等日內型態的影響。主要結果如下:
第一篇:升降單位調降對於市場流動性的影響
升降單位調降後，價差、深度、市場流動性及價格受限程度皆降低。此種情況對低價股票特別明顯，主要原因可能為價格受限程度減少所致。此外，升降單位調降後，交易較活絡的股票、市值較大的股票及價格受限程度較嚴重的股票，其價差、深度及市場流動性下降的幅度較大。交易活動在解釋價差、深度及市場流動性上扮演重要的角色。因此，升降單位調降降低了交易成本。
第二篇:升降單位調降對於價差成份的影響
資訊不對稱成本、訂單處理成本及訂單持續性於升降單位調降後減少。升降單位調降前，價格受限程度較嚴重的股票，其資訊不對稱的下降幅度較大。此外，交易較活絡的股票可能因為升降單位調降後，其交易資訊較容易散播，故其資訊不對稱成本下降的幅度較大。相同的，由於規模經濟的原因，交易較活絡的股票其訂單處理成本下降的幅度亦較大。
第三篇：升降單位調降對於市場流動性及價差成份日內型態的影響
價差、市場流動性、交易活動及資訊不對稱成本呈現U型日內型態。但是深度及價格受限程度呈現ㄇ型的日內型態，此結果支持市場關門假說。此外，除了價格受限程度外，開盤時(盤中)，其值的下降幅度最大(較小)；其餘的值為開盤時(盤中)，其值的下降幅度最小(較大)。此外，藉由比較價格受限程度與資訊不對稱程度的關係，發現價差、交易活動及深度下降的主要原因來自於資訊不對稱程度的下降，而非價格受限程度減少所導致。
This paper provides evidence about the impact of tick-size reductions on market liquidity, spread components, and intraday patterns of the above measures. The results are built into the following three parts. The first part is the effect of tick-size reduction on market liquidity and binding-constraint probability. The second part concerns the effect of tick-size reduction on the spread components. Finally, the third part highlights the effect of tick-size reduction on the intraday patterns of market liquidity and spread components. The results are summarized below.
ESSAY I: Impact of Tick-Size Reduction on the Changes of Market Liquidity
The empirical results show that the spread, depth, market liquidity, and binding-constraint probability all decrease following a tick-size reduction, especially for low-price stocks. These results can be attributed to the relaxation of binding constraints. Additionally, stocks that are frequently traded, have larger market capitalization, or have restrictive binding constraints, experience considerable declines in spread, depth, and market liquidity following a tick-size reduction. Trading activity plays an important role in explaining changes in spread, depth, market liquidity, and binding constraints. Thus, a tick-size reduction in the Taiwanese Stock Market can reduce investors’ trading costs.
ESSAY II: Impact of Tick-Size Reduction on the Changes of Spread Components
The empirical results show that information asymmetry costs, order processing costs, and order persistence do decrease after a tick-size reduction. This work also shows that stocks with greater binding constraints experience larger declines in information asymmetry. Besides this, stocks that are traded frequently experience a lower degree of information asymmetry because trading information can be disseminated more efficiently after the tick-size reduction. Similarly, stocks traded frequently also experience larger declines in order processing costs due to economies of scale.
ESSAY III: Impact of Tick-Size Reduction on the Intraday Patterns of Market Liquidity and Spread Components
Regardless of whether pre- or post-reduction periods are used, the intraday patterns in terms of spread, market liquidity, trading activity, volatility, and information asymmetry all exhibit a U-shaped pattern, with both the depth and binding-constraint probability being an inverted U-shaped pattern. Such results can be explained by the market closure theory. Further, with the exception of the binding constraints, where the largest (smallest) declines occur during the first thirty-minute interval (midday), the magnitudes of the declines for the other measures are the largest (smallest) during midday (during the first thirty-minute interval). Finally, this paper uses changes in information asymmetry and binding constraints to explain these phenomena. The results show that most of the declines in each measure may be due to the declines in information asymmetry, but not binding constraints.
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