臺灣實施盤中零股交易制度與上市櫃公司股票流動性之關聯性實證研究

Abstract

本研究以臺灣排除金融業之上市櫃公司為研究對象，並以盤中零股交易制度實施前後五個交易日，即2020年10月19日至2020年11月2日為主要樣本區間，採用雙重差分法配合最鄰近匹配法，分析「盤中零股交易制度之實施對股票流動性之影響」。研究結果顯示，盤中零股交易制度僅於實施前後五個交易日對股票流動性具顯著之正向關聯性，且具體而言該效果係反映於實施當日；而進一步分析政策實施前後十至三十個交易日資料則能發現，長期而言盤中零股交易制度對股票流動性並無顯著影響力；最後，本研究透過使用採用其他參數之最鄰近匹配法所得資料，重現政策實施前後五個交易日之迴歸分析，發現所有結果顯示盤中零股交易制度確於該時間範圍內具提升股票流動性之政策效果。總體而言，盤中零股交易制度在當日與股票流動性具正向關聯性，且該影響力於實施隔日便逐漸消弭，顯示該政策僅於當日對市場具較為強烈之激勵效果，顯著提升投資人之交易意願，進而提升股票之流動性。

This thesis examines the relationship between intraday odd-lot trading policy and stock liquidity by analyzing all listed companies in Taiwan excluding the financial industry from October 19, 2020 to November 2, 2020. Utilizing Difference-in-Differences with Nearest Neighbor Matching method, we observe a positive relationship between intraday odd-lot trading policy and stock liquidity during this time period. Specifically, this effect is significant only on the day the policy implemented, that is October 26, 2020. In addition, we also extend the sample period to include 10, 15, 20, and 30 trading days before and after the policy implementation day respectively. The empirical results indicate that in the long term, intraday odd-lot trading policy doesn’t have influence on stock liquidity. Last, by reprocessing the analysis by applying alternative parameters during matching, we consistently find that in the short term, intraday odd-lot trading policy indeed contributes to an increase in stock liquidity. This suggests robustness in our research findings. In summary, there exists a short-term positive association between intraday odd-lot trading policy and stock liquidity, with the policy’s impact being significant only on the day of implementation, implying that the incentive effect of this policy is short-lived.