最佳五檔買賣價量與限價單委託簿之實證研究-以台灣證券市場為例

Abstract

本研究主要探討台灣證券市場在實施揭露未成交五檔買賣價申報價與量之後，市場上平均各檔買賣價差及市場深度的行為為何，對於所有市場參與者而言，如能更了解市場上委託簿價差的情況，及委託單集中的情形，就能了解市場上對於流動性的需求高低，進而增進下單時決定價格的能力。實證結果發現，在考慮樣本所在價位的升降單位之後，第一檔買賣價差顯著比買端與賣端各檔價差來的大；申報量則出現不對稱情形，買端越高報價其申報量越多，賣端也是較高報價申報量較多，可見在買端出現投資人下單積極度較高的情形，願意用比較高的價格來進行交易。進一步將台灣證券市場的相對升降單位比例與其他國家交易所相比較之後，發現台灣市場的相對升降單位比例較大，這也是除了資訊不對稱較嚴重之外造成買賣價差相對其他檔價差大的另外原因。 本研究亦探討了各檔報價價差以及各檔報價之申報量在日內以及一週內的型態之實證研究，結果發現開盤和收盤時因為資訊的累積和資訊的不確定，所以使得市場的流動性變差，因此在日內型態中，價差呈現U字型、申報量呈現倒U字型；而一週內的型態較不一致，各類價差在一週內不同交易日並無顯著不同的情形，而申報量雖然在一週內不同交易日有顯著不同的情形，但是並沒有明顯之型態可循。

This paper extensively employs the order and trade data to analyze the shape of limit order book. We try to give the spreads and depths of the five best bid /ask quotes a brief relationship. Taking the tick size into account, we find that the bid-ask spread is larger than other spreads away from the market. The depths of the five best bid/ask quotes have a different shape between bid and ask side. On the bid side, the depth at the market is the largest compared with the other depths away from the market, but on the ask side the depth at the market is the smallest. We contributed the larger bid-ask spreads to a larger tick size and the information asymmetry problems. Moreover, we analyze the intraday and intraweek type of spreads and depths. This study first shows that the spreads and depths have a similar intraday pattern. The spreads have a U-shaped pattern, and the depths have a inverted U-shaped pattern. Second, the spreads are not significantly different during a week. Oppositely, the depths are significantly different during a week, but have no pronounced intraweek pattern.