|摘要: ||臺灣股票市場約三成的限價委託單為刪單，而且其中近四成的刪單會發生在下單後的一分鐘內，故本研究定義一分鐘內的刪單為快速刪單。根據Van Ness et al. (2015)，本研究旨在探討影響快速刪單的因素，首先探討下單積極度對全市場與各類別投資人的快速刪單之影響，將委託單分為買單與賣單兩部分，以分別觀察同向與反向委託單積極度對快速刪單之影響，之後探討交易成本對全市場與各類別投資人的快速刪單之影響。|
Nearly 30% of limit orders in Taiwan Stock Market are cancellation orders, among which, four out of ten happen in one minute after the orders placed, so that this thesis defined cancellation orders in one minute as fleeting orders. This thesis, based on Van Ness et al. (2015), aims to investigate the factors that influence fleeting orders, by firstly exploring the effect that submit aggressiveness makes on the whole market and different kinds of investors’ fleeting orders. Orders are divided into buy orders and sell orders, which are observed respectively to find out the influence that the aggressiveness of same side orders and opposite side orders make on fleeting orders. Then the impact that cost-to-trade makes on fleeting orders in whole market and kinds of investors is also discussed.
The empirical results indicate that for same side orders, either buy and sell orders, investors will increase fleeting orders when aggressiveness is bad. With regard to opposite side orders, either buy and sell orders, investors will increase fleeting orders when aggressiveness is bad. Furthermore, the reduction of cost-to-trade can result in the increase of fleeting orders. In conclusion, orders aggressiveness in Taiwan Stock Market, along with cost-to-trade, can influence market liquidity, thus changing fleeting orders in the market.