臺灣股票市場撮合頻率改變對價格發現之影響

Abstract

跟隨國際趨勢及評估國內環境，臺灣股票市場於2020年3月23日更改交易機制，從五秒的集合競價調整為逐筆撮合。系本文旨在探討撮合頻率改變之後，對於現貨市場和期貨市場兩市場間，價格發現能力的影響以及不同類別的投資人(外資、國內法人和自然人)在逐筆撮合的交易機制下，對現貨市場價格發現能力的貢獻程度。系本文以臺灣加權指數及臺灣指數期貨為樣本，時間區間為2019年9月至2020年9月，並運用Hasbrouck提出的Information Share Model(IS)以及Gonzalo and Granger的Component Share Model(CS)來衡量價格發現能力。實證結果顯示，在逐筆撮合交易機制下，現貨市場價格發現能力有所提升；而外資會降低現貨市場的價格發現能力，反而國內法人和自然人對於現貨市場的價格發現能力有所貢獻。

Following international trends and assessing the domestic environment, the Taiwan stock market changed its trading mechanism on March 23, 2020, from a five-second call auction to continuous trading. This article aims to discuss the impact of the change in the matching frequency on the price discovery ability between the stock market and the futures market, as well as the contribution of market price discovery ability on the stock market from different types of investors (foreign investors, domestic institution investors and retail investors) under the transaction mechanism of continuous trading.This article uses Taiwan weighted index and Taiwan index futures as samples, the time interval is from September 2019 to September 2020, and is measured by Hasbrouck's Information Share Model (IS) and Gonzalo and Granger's Component Share Model (CS) to figure out the capabilities of price discovery. The empirical results show that under the transaction matching mechanism of continuous trading, the price discovery ability of stock market has been improved; while foreign investors reduce the price discovery ability of stock market, but domestic institution investors and retail investors have contributed to the price discovery ability of stock market.