期刊詳細資料 Journal detailed information
作者(Author)詹場、李志宏
篇名(Article title)市場穩定與競價制度-臺灣期貨市場之實證
期刊名(Journal name)經濟論文叢刊
國際期刊(International Journal)TSSCI
中文摘要(Abstrct)本研究藉由台灣期貨交易所由每10秒撮合1次之集合競價(call auction)改為連續競價(continuous auction)之機會，探討集合競價與連續競價之市場波動性差異的原因。我們用約500萬筆日內交易資料進行實證，結果顯示集合競價市場暫時性的價格波動較低，其主要原因有二：1.集合競價的買賣價跳動(bid ask bounce)情形較緩和，2.集合競價每次交易之參與者較多，成交價格偏離均衡價值之幅度較小。此外，我們發現集合競價穩定市場價格之功能優於連續競價，在下列兩種情境更顯著：1.資訊不對稱程度較高時，2.交易較熱絡之商品。本研究之結果提供何以世界主要股市開盤採取集合競價，以及何以在市場異常時實施暫停交易(trading halt)措施之解釋；同時提供主管機構如何藉由競價機制選擇穩定金融市場之訊息，此訊息對處於金融危機、發生重大政治經濟事件時期、以及市場較不成熟(例如以散戶為主)階段的交易機制決策，深具參考價值。
ABSTRCTThis research aims to investigate the reasons why the market volatility of call auction is different from that of continuous auction, by means of the change from call auction (one clearing every 10 seconds) to co ntinuous auction in Taiwan Futures Exchange. Through an empirical study of 5,000,000 intraday transactions data, we find that there is lower temporary price volatility in call auction. The lower volatility of call auction is attributed to two major reasons: first, the bid ask bounce in call auction is moderate; second, more participants join each transaction of call auction and the transaction price is less devious from the equilibrium value. Moreover, we also find that call auction may stabilize market price, especially under the following two circumstances: first, when information is highly asymmetric; second, when actively-traded instrument is transacted. The findings of this research help to explain why the major stock markets in the world adopt call auction in their openings and why trading halt is implemented when the market is unstable. The result also offers the governing authority the way to choose financial-market-stabilizing information through auction mechanism. The information is worthwhile for the market’s policy decision under financial crisis, at the occurrence of important politico-economic events, and at the stage of immature market (e.g. the market dominated by individual investors).
中文關鍵字(Keyword)集合競價，連續競價，波動性，台灣期貨市場，金融危機
KEYWORDcall auction, continuos auction, volatility, Taiwan futures market, financial crisis
卷期(Volume No)第卷 第期
頁數(Page number)第463~510頁
年份(Year)2014
語言(Language)1