|摘要: || 本研究探討臺灣股票市場實施現股當日沖銷交易制度對市場品質之影響，進而瞭解現股當日沖銷制度是否達成預期之功效。本研究以流動性、波動性及效率性三個構面衡量市場品質。流動性的市場品質衡量變數為買賣價差、有效價差、市場深度及價格衝擊；波動性以報酬率之標準差衡量；效率性則以變異數比率衡量。研究期間為2013年10月1日至2014年3月31日，研究樣本為臺灣上市、上櫃公司。|
This study aims to evaluate the impact of the the stock day-trading system on the Taiwan stock market’s Quality, and whether accomplish expected effect. We measure the market quality by three dimensions – liquidity, volatility, and efficiency. Bid-ask spread, effective spread, market depth, and price impact, these variables are employed to measure the liquidity of market quality. To measure the volatility, the standard deviation of return are applied to it; we use variance ratio to measure the efficiency as well. The sample period is between October 1, 2013 and March 31, 2014, and the samples consist of the listed companies of Taiwan Stock Exchange (TSE) and the GreTai Securities Market (OTC).
The findings are as follows. First, the implementation of the day-trading of stocks on the TSE market significantly increases bid-ask spread and effective spread, and it causes a decrease in the liquidity of market and an increase in transaction cost of investors. Market Depth significantly increase indicates the quantity of order increase and the liquidity increase. Price impact increase but it didn’t reach the significantly level. Second, the implementation of the day-trading on the TSE market significantly increase the standard deviation of return, which indicates an increase in volatility of market. Final, after the TSE market is implemented day-trading, the variance ratio decrease significantly, which is indicate the pricing errors increase and the efficiency of market decrease.
After the implementation of the day-trading on the OTC market, due to the increase of bid-ask spread, effective spread and price impact, it leads to a decline in market liquidity. The empirical results of market depth are inconsistent. The standard deviation of return increase significantly, it would increase market volatility. The variance ratio declines significantly, it causes the pricing errors increase and the efficiency of market decrease.