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題名：調降升降單位對市場流動性與價差成分之影響：臺灣證券交易所之實證研究
作者：郭蘇文
作者(外文)：Su-Wen Kuo
校院名稱：雲林科技大學
系所名稱：財務金融系博士班
指導教授：黃金生
學位類別：博士
出版日期：2011
主題關鍵詞：交易成本；流動溢酬；報價價差；升降單位；Liquidity premium；Quoted spread；Tick size；Transaction costs
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近年來，世界各國交易所均採取較小的升降單位，臺灣證券交易所於2005年3月1日調降部分股價區間升降單位。調降升降單位對流動性和交易成本的影響，一直是學術界、從業人員和政策管理者所討論的問題，尤其是市場微結構的研究特別關注在調降升降單位後，對價差和其價差各種成分的影響。本研究利用日內的交易資料研究調降升降單位對市場流動性、價差和其價差各種成分的影響。臺灣是新興市場中發展最成功的經濟體之一，而臺灣證券交易所具有數個特別的市場特徵，可能使得升降單位改變的影響異於之前文獻所提之已開發市場。本研究是探討委託驅動的新興市場中，升降單位改變對市場流動性和價差影響最廣泛的研究。
本論文包括兩個主題探討調降升降單位對市場品質的影響。主題一，同時檢定制度和內生升降單位改變對交易成本、市場流動性和交易活動的影響，而主題二，則進一步研究升降單位改變對價差和其價差各種成分的影響。實證研究顯示調降升降單位後，交易成本和市場流動性均顯著降低，尤其升降單位縮小的幅度愈大、高成交量股和較高的委託處理成本的股票，其價差和市場深度均有較大幅度的縮減。最後，雖然在交易量上沒得到一致性的結論，但交易規模隨著調降升降單位而變小，其可能是資訊交易者以較小的交易規模隱匿私有資訊，或搶單者以較小的交易規模避免市場波動。
主題二，更詳盡的檢定升降單位改變對交易價差和其價差各種成分的影響。本研究利用George, Kaul和Nimalendran (1991)、Huang和Stoll (1997),以及Madhavan, Richardson和 Roomans (1997)所提出的三種方法分解調降升降單位前後的買賣價差。實證結果說明交易價差和委託處理成本在調降升降單位後均顯著的下降，而資訊不對稱成本則未有顯著的改變。雖然資訊不對稱成本占交易價差的比率在調降升降單位後顯著的增加，但相較於已開發市場的紐約證券交易所 (NYSE) 和東京證券交易所是較低的，似乎意謂著在臺灣證券交易所的流動性供給者所擁有的每股盈餘是仍然較高的，所以臺灣證券交易所的最小變動單位仍有再調降的空間。本研究進一步以不同的交易規模間接檢定調降升降單位對機構交易人的影響，結果顯示在三種交易規模中，交易價差和委託處理成本均顯著下降，實證說明機構交易人和個別交易人都因為調降升降單位其交易成本獲得改善，而較淺薄的限價單委託簿對機構交易人較為不利，須付出較高的流動性成本。
In recent years, stock exchanges around the world have adopted smaller minimum price variations. The Taiwan Stock Exchange (TWSE) made the system of tick size effective on 1 March 2005. The effect of a reduction in tick size on liquidity and trading costs for investors has long been a matter of much debate among academics, practitioners, and regulators. Particularly, market microstructure research draws more attentions on the issues of the changes in spreads and their various components after the tighter tick size. This study employs tick-by-tick intraday transaction data to investigate the effect of the reduction in tick size on market liquidity, spreads, and the various components. Taiwan is one of the most successful developing economies among emerging markets. The TWSE possesses several distinct market features that may render the impact of tick size changes divergent from those reported in developed markets. This study contributes currently as one of the most comprehensive studies on impact of tick size changes on market liquidity and spreads for order-driving emerging markets.
This thesis consists of two essays on the effects of a reduction in tick size on market quality. Essay I simultaneously examines the institutional and endogenous impacts of tick size changes on transaction costs, market liquidity, and trading activity; and essay II further investigates the impact of tick size changes on the spreads and the various components. The empirical evidence suggests that following a reduction in tick size, uniform declines are discernible in transaction costs and market liquidity. In particular, those stocks with a larger relative tick size reduction, higher trading volume, and higher order processing cost components have greater reductions in spread and market depth. Finally, despite returning somewhat mixed results on trading volume, this study observes a general diminution in trade size resulting from a reduction in tick size in the TWSE. A plausible explanation for this is that after tick size reductions, informed traders employ a smaller trade size to hide private information, or front-runners place a smaller trade size to avoid market turbulence.
In essay II, this study examines in detail the effects of tick size changes on the associated traded spread and the various components. George, Kaul, and Nimalendran (1991), Huang and Stoll (1997), and Madhavan, Richardson, and Roomans (1997) are comparatively employed for the decomposition of the bid-ask spreads before and after the tick size change. This evidence strongly indicates both traded spread and order processing component have significanlty declined after the narrowing tick size while the asymmetric information component exhibits little changes from the finer price grid. Although the result delivers the significant increases on the proportions of adverse selection costs to total traded spread, the ratios still much less compared to those developed marekts of the NYSE and the Tokyo Stock Exchange. The evidence seems to imply the revenue of the per share liquidity provision in TWSE still high enough for the room of more reduction on tick size. Further, this study investigates the impact of the reduction of tick size on the institutional traders through an indirect evidence of various trade sizes. The result shows that both traded spread and order processing component significantly reduce among three trade-size categories. The evidence implies that both institutional traders and individual traders enjoy significant improvement made by the narrowing tick size. However, the thinner limit order book also makes the institutional traders in relative disadvantage to pay more for liquidity provision.
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