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    Title: 實施現股當日沖銷制度對臺灣股票市場品質之影響
    Other Titles: The impact of the stock day-trading system on the Taiwan stock market’s quality
    Authors: 謝家瑋;Hsieh, Chia-Wi
    Contributors: 淡江大學會計學系碩士班
    陳薇如;Chen, Wei-Ju
    Keywords: 現股當日沖銷;買賣價差;市場深度;價格衝擊;訂價誤差;Day-Trading;bid-ask spread;Market Depth;Price Impact;Pricing Errors
    Date: 2015
    Issue Date: 2016-01-22 14:55:31 (UTC+8)
    Abstract:   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。
      本研究的實證結果發現,上市公司實施現股當日沖銷交易制度之後,買賣價差、有效價差顯著增加,代表市場流動性下降,投資人的交易成本增加。市場深度顯著增加,表示市場上的委託量增加,流動性上升。價格衝擊增加,但較不顯著。波動性的部分,報酬率的標準差在實施現股當日沖銷制度後顯著上升,代表市場波動性增加。而變異數比率在制度實施後顯著下降,表示訂價誤差增加,市場效率性降低。
      上櫃公司部分,於實施現股當日沖銷交易制度之後,買賣價差、有效價差、價格衝擊皆顯著增加,表示流動性下降。市場深度的結果較不一致。波動性及效率性同上市公司,報酬率的標準差顯著增加,波動性上升;變異數比率顯著下降,訂價誤差增加,效率性下降。
      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.
    Appears in Collections:[會計學系暨研究所] 學位論文

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