台灣證券交易所撮合成交時間縮短對成交量影響

Abstract

提升台股量能與周轉率，台灣證券交易所董事長李述德5月28日公告提出活絡股市新政策，台股集合競價撮合時間，由現行的20秒縮短至15秒，估計可提升1.33倍的市場交易量，2013年7月1日起實施。第二階段更將每筆撮合時間縮至 10 秒，估計成交量與周轉率可增加2倍，預估在2014年實施，遠程目標為逐筆即時撮合，讓成交速度與國際接軌。證交所目前每20秒集合競價撮合一次，每日4.5小時交易時間可完成797筆撮合交易，撮合時間縮短至15秒，可交易筆數增至1060筆，撮合的速度增加1.33倍，有利提升台股的量能與周轉率，達到流通證券、活絡證券的目標。國際股市歐、美各國及亞洲的日本、新加坡、香港、中國股市等國，已採行逐筆即時撮合方式交易，台灣採取集合競價撮合交易，早期每50秒撮合一次，今年7月1日後撮合秒數將縮短至15秒，2014年底預估縮短至5秒，最終切換系統為逐筆即時撮合。 實證方法使用單根檢定、迴歸分析、虛擬變數、因果檢定。結果顯示，縮短集合競價時間，並無顯著增加成交量，但集合競價撮合轉換逐筆即時撮合對成交量有顯著增加

In an effort to increase stock transaction and turnover, the President of the Taiwan Stock Exchange Corporation (TSEC) announced a new policy on 28th of May to shorten the stock matching time from the current 20 second to 15 seconds in Taiwan’s call auction system. The new policy is set to be implemented starting 1st of July and is expected to increase the transaction volume by 1.33 times. In the next stage, to be implemented by 2014, the matching time will eventually be shortened to 10 second, and transactions and turnover are expected to increase twofold by then. The final plan is to implement continuous trading, which involves immediate transactions, following international trends. The current call auction occurs every 20 seconds in the stock market. 797 matching transactions are made in the 4.5-hour daily transaction period. Once the matching time is shortened to 15 seconds, transactions volume will increase to 1,060. The 1.33 times increase of transaction speed will efficiently improve the trading volume and turnover, achieving the ultimate goal of “circulation and vitalization of securities.” Stock markets in the US, Europe, Japan, Singapore, Hong Kong, and China all apply the continuous trading system. The matching system time was initially 50 seconds in Taiwan’s call auction system in the early days. Starting from 1st of July, 2013, it will be shorten to 15 second and expected to be 5 seconds by end of 2014. This thesis use unit root, regression, dummy variable, Granger causality test. The result is matching time no increase in volume but implement continuous trading improve the volume