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題名：臺灣股市收盤資訊揭露制度與價格效率的關聯性
書刊名：管理學報
作者：王子湄 引用關係／蕭朝興 引用關係／丁信瑜
作者(外文)：Wang, Zi-mei／Chiao, Chao-shin／Ting, Hsing-yu
出版日期：2014
卷期：31:2
頁次：頁107-134
主題關鍵詞：市場透明度；尾盤人為作價；價格效率；Transparency；Closing price manipulation；Price efficiency
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:26
  • 點閱點閱:48
臺灣股市過去在收盤5分鐘的集合競價階段並未揭露任何買賣資訊，導致最後收盤價可能與前一盤有所差距，亦即尾盤容易發生作價的情形。自2012年2月20日開始實施新的收盤揭示制度，收盤最後5分鐘每隔20秒，揭露模擬撮合後之最佳1檔買賣價格，同時也實施配套措施－個股收盤最後1分鐘漲跌幅超過3.5%時，暫緩2分鐘收盤。本文以台灣股市為研究對象，探討收盤資訊揭露制度與價格效率的關聯性。研究發現，尾盤透明度提升可以改善價格發現過程，不僅降低報酬波動，同時也增加價格的資訊效率性。更重要的是，新制在防止尾盤刻意拉抬或摜壓價格的成效，會隨個股規模而有所不同，對於中小型股而言，新制確實可以減少最後一盤人為作價的情形，但權值股尾盤作價並無顯著降低，大型股的期貨『結算行情』不受影響，同時也出現提前作價的傾向。
This paper examines price efficiency responding to the new rule posted by the Taiwan Stock Exchange (TSE), effective on 2/20/2012. To improve price efficiency, TSE has revised the rule of the closing session, starting from five minutes before the close, wherein real trades are replaced with a sequence of simulated call auctions. The best quotes and the indicative trading prices are disseminated on line, instead of ＂trading in dark＂ as before. If a stock’s final simulated price deviates from the previous trading price by 3.5%, the stock’s final auction will be postponed by two minutes. Evidence shows that the rising transparency overall improves price efficiency by lowering price volatility. More importantly, the improvement varies with firm size. That for small- and medium-cap stocks is more pronounced than that for large-cap stocks, tightly linked to the index futures. No obvious expiration-day effect on large-cap stocks exists; and price manipulations on them shift ahead of the closing session.
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8.Bernhardt, D.、R. Davies(2004)。Painting the Tape: Aggregate Evidence。Economics Letters，89(3)，306-311。  new window
9.Carhart, Mark M.、Kanile, Ron、Musto, David K.、Reed, Adam V.(2002)。Learning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds。Journal of Finance，57(2)，661-693。  new window
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11.Eom, K. S.、Lee, E. J.、Park, K. S.(2013)。Microstructure-Based Manipulation: Strategic Behavior and Performance of Spoofing Traders。Journal of Financial Markets，16(2)，227-252。  new window
12.Fricke, C.、L. Menkhoff(2011)。Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares。Journal of Banking and Finance，35(5)，1057-1072。  new window
13.Fung, J. K. W.、Yung, H. H. M.(2009)。Expiration-Day Effects-An Asian Twist。Journal of Futures Markets，29(5)，430-450。  new window
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18.Chou, H. C.、Chen, W. N.、Chen, D. H.(2006)。The Expiration Effects of Stock-index Derivatives。Emerging Markets Finance and Trade，42(5)，81-102。  new window
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會議論文
1.Tian, G. G.、D. Gerace、A. Frino(2008)。Call Auction Transparency and Market Liquidity: Evidence from the Shanghai Stock Exchange。PBFEAM 2008: 16th Annual Conference on Pacific Basin Finance Economics Accounting Management。Brisbane：Queensland University of Technology。  new window
研究報告
1.Kang, J.、D. Lee(2007)。The Effect of a Transparency Change in the Pre-opening Session on Price Discovery。  new window
2.Suen W.、K. M. Wan(2011)。Sniping to Manipulate Closing Prices in Call Auctions: Evidence from the Hong Kong Stock Exchange。  new window
3.Hendershott, T.、C. M. Jones(2003)。Island Goes Dark: Transparency, Fragmentation, Liquidity Externalities, and Multimarket Regulation。  new window
學位論文
1.林雅玲(2008)。交易透明度改變對投資人下單決策、市場績效及限價簿資訊內涵的影響(博士論文)。國立中山大學。new window  延伸查詢new window
2.黃志宏(2009)。委託簿資訊的揭露對於散戶投資績效的影響(碩士論文)。國立中山大學。  延伸查詢new window
圖書
1.O'Hara, Maureen(1995)。Market Microstructure Theory。Cambridge, Massachusetts：Basil Blackwell Publisher Inc.。  new window
 
 
 
 
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