臺灣股市縮小升降單位對價格群聚與市場流動性的影響__臺灣人文及社會科學引文索引資料庫

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題名：	臺灣股市縮小升降單位對價格群聚與市場流動性的影響
書刊名：	管理與系統
作者：	蕭朝興／王子湄／蘇建豐
作者(外文)：	Chiao, Chaoshin／Wang, Zi-mei／Su, Chien-feng
出版日期：	2010
卷期：	17:1
頁次：	頁75-106
主題關鍵詞：	升降單位；市場流動性；價格群聚；限價委託簿；交易成本；Tick size；Market liquidity；Price clustering；Limit order book；Trading cost
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:2 共同引用:3 點閱:66

本文利用逐筆委託單，以檢測台灣股市縮小升降單位對價格群聚與市場流動性的影響。研究發現，改制後委託單群聚於整數價格的程度提高，同時升降單位能透過價格群聚的中介，進而對買賣價差產生負向的間接影響；在考慮此間接效果後，發現升降單位縮小確實會降低買賣價差，但降低幅度會減少。至於市場深度方面，雖然投資人減少流動性提供意願，使得限價委託簿的累積深度減少，但會改下可市價化限價單。整體而言，改制後投資人實際交易成本獲得改善，其中以交易頻繁個股的有效價差降低最多。

以文找文

Applying order-level data, this paper examines the impact of reduction in the minimum tick sizes on price clustering and market liquidity in the Taiwan Stock Exchange. After the reduction, we observe an abnormally high frequency of integer prices through which the tick size generates a negative indirect effect on the bid-ask spreads. After explicitly controlling for this indirect effect, smaller tick sizes indeed reduce bid-ask spreads, but the total effect diminishes. As to the market depth, despite the falling liquidity on the limit order book proxied by the cumulative depth, some traders still switch from non-marketable to marketable limit orders. Overall, the effective spreads are found improved after the reduction, especially for high-volume stocks.

以文找文

期刊論文
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10.	Ahn, H.、Cao, C. Q.、Choe, H.(1996)。Tick Size, Spread and Volume。Journal of Financial Intermediation，5(1)，2-22。
11.	蕭朝興、王子湄(20080600)。臺灣股市委託價格群聚現象之實證研究。管理學報，25(3)，359-380。延伸查詢
12.	Ahn, H. J.、Cao, C. Q.、Choe, H.(1998)。Decimalization and Competition among Stock Markets--Evidence from the Toronto Stock Exchange Cross-listed Securities。Journal of Financial Markets，1(1)，51-87。
13.	Bollen, N. P. B.、Whaley, R. E.(1998)。Are "Teenies" Better?。Journal of Portfolio Management，25，10-24。
14.	Goldstein, M.、Kavajecz, K.(2000)。Eighths, Sixteenths, and Market Depth--Changes in Tick Size and Liquidity Provision on the NYSE。Journal of Financial Economics，56(1)，125-149。
15.	Ke, M.、Jiang, C. H.、Huang, Y. S.(2004)。The impact of tick size on intraday stock price behavior: Evidence from the Taiwan Stock Exchange。Pacific-Basin Finance Journal，12，19-39。
16.	Jones, C.、Lipson, M.(2001)。Sixteenths--Direct Evidence on Institutional Trading Costs。Journal of Financial Economics，59(2)，253-278。
17.	Grossman, Sanford J.、Miller, Merton H.(1988)。Liquidity and market structure。Journal of Finance，43(3)，617-633。
18.	Gwilym, Owain Ap、Clare, Andrew、Thomas, Stephen(1998)。Extreme price clustering in the London equity index futures and options markets。Journal of Banking and Finance，22，1193-1206。
19.	Harris, L.(1991)。Stock price clustering and discreteness。Review of Financial Studies，4，389-415。
20.	Harris, L.(1994)。Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes。Review of Financial Studies，7(1)，149-178。
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22.	Ahn, H., Cao, C. Q., and Choe, H.,(1998)。“Decimalization and Competition among Stock Markets: Evidence from the Toronto Stock Exchange Cross-listed Securities,”。Journal of Financial Markets，vol. 1,no.1，pp. 51-87。
23.	Aitken, M. and Comerton-Forde, C.,(2005)。“Do Reductions in Tick Sizes Influence Liquidity?”。Accounting and Finance，vol. 45,no. 2，pp. 171-184。
24.	Bacidore, J.,(1997)。“The Impact of Decimalization on Market Quality: an Empirical Investigation of the Toronto Stock Exchange,”。Journal of Financial Intermediation，vol.6,no. 2，pp. 92-120。
25.	Bacidore, J., Battalio, R., and Jennings, R.,(2003)。“Order Submission Strategies, Liquidity Supply, and Trading in Pennies on the New York Stock Exchange,”。Journal of Futures Markets，vol. 6,no. 3，pp. 337-362。
26.	Bessembinder, H.,(2003)。“Trade Execution Costs and Market Quality after Decimalization,”。Journal of Financial and Quantitative Analysis，vol. 38,no. 4，pp.747-777。
27.	Bloomfield, R. O’Hara, M. and Saar, G.(2005)。“The ‘Make or Take’ Decision in an Electronic Market: Evidence on the Evolution of Liquidity,”。Journal of Financial Economics，vol. 75,no. 1，pp. 165-200。
28.	Chung, K. H., Kim K. A, and Kitsabunnarat, P.,(2005)。“Liquidity and Quote Clustering in a Market with Multiple Tick Size,”。Journal of Financial Research，vol. 28,no. 2，pp.177-195。
29.	Chung, K. H., Van Ness, B., and Van Ness, R.,(2004)。“Trading Costs and Quote Clustering on the NYSE and NASDAQ after Decimalization,”。Journal of Financial Research，vol. 27,no. 3，pp. 309-28。
30.	Glosten, L.,(1994)。“Is the Electronic Limit Open Book Inevitable?”。Journal of Finance，vol. 49,no. 4，pp. 1127-1161。
31.	Hameed, A. and Terry, E.,(1998)。“The Effect of Tick Size on Price Flustering and Trading Volume,”。Journal of Business Finance & Accounting，vol. 25,no. 7-8，pp. 849-867。
32.	Harris, L. E.,(1994)。“Minimum Price Variations, Disc rete Bid-Ask Spreads, and Quotation Sizes,”。Review of Financial Studies，vol. 7,no. 1，pp. 149-178。
33.	Huang, Y.-S., Jiang, C.-H., and Ke, M.-C.,(2000)。“Tick Size and Stock Price Behavior on the Taiwan Stock Exchange,”。Asia Pacific Journal of Finance，vol. 3,no. 2，pp.149-170。
34.	Jones, C., and Lipson, M.,(2001)。“Sixteenths: Direct Evidence on Institutional Trading Costs,”。Journal of Financial Economics，vol.59,no. 2，pp. 253-278。
35.	Kavajecz, K. A.,(1999)。“The Specialist's Quoted Depth and the Limit Order Book,”。Journal of Finance，vol.no. 2，pp. 747-771。
36.	Ke, M. C., Jiang, C. H., and Huang, Y. S.,(2004)。“The Impact of Tick Size on Intraday Stock Price Behavior: Evidence from the Taiwan Stock Exchange,”。Pacific-Basin Finance Journal，vol. 12,no. 1，pp. 19-39。
37.	O'Connell V.(1997)。“Conversion to Decimal System in Stocks Could Prove a Boon to Small Investors,”。Wall Street Journal，vol. 6，C1。
38.	Porter, D. and Weaver, D.,(1997)。“Decimalization and Market Quality,”。Financial Management，vol. 26,no.pp. 5-26，.pp. 5-26.。
39.	Ready, M.,(1999)。“The Specialist’s Discretion: Stopped Orders and Price Improvement,”。Review of Financial Studies，vol. 12,no. 5，pp. 1075-1112。
40.	Ronen, T. and Weaver, D.,(2001)。“Teenies’ Anyone?”。Journal of Financial Markets，vol. 4,no. 3，pp. 231-260。
41.	Seppi, D. J.,(1997)。“Liquidity Provision with Limit Orders and a Strategic Specialist,”。Review of Financial Studies，vol. 10,no. 1，pp. 103-150。
42.	蕭朝興、王子湄(2008)。臺灣股市委委價格群聚現象之實證研究。管理學報，25(3)，359-380。延伸查詢
43.	Bacidore, J. M.、Battalio, R. H.、Jennings, R. H.(2003)。Order Submission Strategies, Liquidity Supply, and Trading in Pennies on the New York Stock Exchange。Journal of Futures Markets，6(3)，337-362。
44.	Bacidore, J.(1997)。The Impact of Decimalization on Market Quality--an Empirical Investigation of the Toronto Stock Exchange。Journal of Financial Intermediation，6(2)，92-120。
45.	Cooney, Jr.、J. W.、Van Ness, B.、Van Ness, R.(2003)。Do Investors Prefer Even-Eighth Prices? Evidence from NYSE Limit。Journal of Banking and Finance，27(4)，719-748。
46.	Ready, M.(1000)。The Specialist's Discretion--Stopped Orders and Price Improvement。Review of Financial Studies，12(5)，1075-1112。
47.	Ronen, T.、Weaver, D.(2001)。Teenies' Anyone?。Journal of Financial Markets，4(3)，231-260。
48.	Seppi, D. J.(1997)。Liquidity Provision with Limit Orders and a Strategic Specialist。Review of Financial Studies，10(1)，103-150。
49.	Glosten, L.(1994)。Is the Electronic Limit Open Book Inevitable?。Journal of Finance，49(4)，1127-1161。
50.	Hameed, A.、Terry, E.(1988)。The Effect of Tick Size on Price Flustering and Trading Volume。Journal of Business Finance & Accounting，25(7/8)，849-867。
51.	Huang, Y.-S.、Jiang, C.-H.、Ke, M.-C.(2000)。Tick Size and Stock Price Behavior on the Taiwan Stock Exchange。Asia Pacific Journal of Finance，3(2)，149-170。
52.	Aitken, M.、Comerton-Forde, C.(2005)。Do Reductions in Tick Sizes Influence Liquidity?。Accounting and Finance，45(2)，171-184。
53.	ap Gwilym, O.、Clare, A.、Thomas, S.(1998)。Extreme Price Clustering in London Equity Index Futures and Options Markets。Journal of Bonking and Finance，22(9)，1193-1206。
54.	Kavajecz, K. A.(1999)。The Specialist's Quoted Depth and the Limit Order Book。Journal of Finance，54(2)，747-771。
55.	Lee, C. M. C.、Mucklow, B.、Ready, M. J.(1993)。Spreads, Depths, and the Impact of Earnings Information--An Intraday alysis。Review of Financial Studies，6(2)，345-374。
56.	Porter, D.、Weaver, D.(1997)。Decimalization and Market Qualiyt。Financial Management，26(1)，5-26。
57.	Battalio, R.、Jennings, R.(2003)。Getting 'Pennied'--The Effect of Decimalization on Traders' Willingness to Lean on the Limit Order Book at the New York Stock Exchange。Journal of Futures Markets，6(3)，337-362。
58.	Bessembinder, H.(2003)。Trade Execution Costs and Market Quality after Decimalization。Journal of Financial and Quanititative Analysis，38(4)，747-777。
59.	Bloomfield, R., O'Hara, M.、Saar, G.(2005)。Make or Take' Decision in an Electronic Market--Evidence on the Evolution of Liquidity。Journal of Financial Economics，75(1)，165-200。
60.	Christie, W.、Schultz, P.(1994)。Why do NASDAQ Markers Avoid Odd-Eighth Quotes?。Journal of Finance，49(5)，1813-1840。
61.	Chung, K. H.、Kim K. A、Kitsabunnarat, P.(2005)。Liquidity and Quote Clustering in a Market with Multiple Tick Size。Journal of Financial Research，28(2)，177-195。
62.	Chung, K. H.、Van Ness, B.、Van Ness, R.(2004)。Trading Costs and Quote Clustering on the NYSE and NASDAQ terecimalization。Journal of Financial Research，27(3)，309-28。

研究報告
1.	Harris, L. E.,(1997)。“Decimalization: A Review of the Arguments and Evidence,”。
2.	Amihud, Y. and Mendelson, H.,(1991)。“Option Market Integration: An Evaluation,”。
3.	Battalio, R. and Jennings, R.,(2001)。“Getting ‘Pennied’: The Effect of Decimalization on Traders’ Willingness to Lean on the Limit Order Book at the New York Stock Exchange,”。
4.	Bessembinder, H.,(1997)。“Endogenous Changes in the Minimum Tick: An Analysis of Nasdaq Securities Trading Near Ten Dollars,”。
5.	Edwards, A., and Harris, J.,(2000)。“Stepping Ahead of the Book,”。
6.	Harris, L. E.,(1996)。“Does a Large Minimum Price Variation Encourage Order Exposure?”。
7.	Huson, M., Kim, Y., and Mehrotra, V.,(1997)。“Decimal Quotes, Market Quality, and Competition for Order Flow: Evidence from the Toronto Stock Exchange,”。
8.	Ikenberry, D. and Weston, J. P.,(2003)。“Clustering in U.S. Stock Prices after Decimalization,”。
9.	Rock, K.,(1996)。“The Specialist's Order Book and Price Anomalies,”。
10.	Amihud, Y.、Mendelson, H.(1991)。Option Market Integration--An Evaluation。
11.	Battalio, R.、Jennings, R.(2001)。Getting 'Pennied'--The Effect of Decimalization on Traders' Willingness to Lean on the Limit Order Book at the New York Stock Exchange。
12.	Bessembinder, H.(1997)。Endogenous Changes in the Minimum Tick--An Analysis of Nasdaq Securities Trading Near Ten Dollar。
13.	Harris, L. E.(1996)。Does a Large Minimum Price Variation Encourage Order Exposure?。
14.	Huson, M.、Kim, Y.、Mehrotra, V.(1997)。Decimal Quotes, Market Quality, and Competition for Order Flow--Evidence from the Toronto Stock Exchange。
15.	Ikenberry, D.、Weston, J. P.(2003)。Clustering in U.S. Stock Prices after Decimalization。
16.	Edwards, A.、Harris, J.(2000)。Stepping Ahead of the Book。
17.	Rock, K.(1996)。The Specialist's Order Book and Price Anomalies。

圖書
1.	Peake, J. W.,(1995)。“Brother Can You Spare a Dime: Let's Decimalize U.S. Equity Markets,”。R. A. Schwartz Eds., Global Equity Markets: Technological, Competitive, and Regulatory Challenges,。Chicago, IL。
2.	Peake, J. W.(1995)。Brother Can You Spare a Dime--Let's Decimalize U.S. Equity Markets。Global Equity Markets--Technological, Competitive, and Regulatory Challenges。Chicago, IL。

其他
1.	O'Connell, V.(1997)。Conversion to Decimal System in Stocks Could Prove a Boon to Small Investors。

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