在更透明的市場誰獲益？誰損失？臺灣股票市場日間與日內之實證分析

WhoWins andWho Loses in TransparentMarkets? Daily and Intraday Analysis of Taiwan StockMarket

本研究探討交易前透明度增加對於下市價單與限價單之法人、散戶福利變化之影響。為瞭解投資人福利變化與市場透明度之關聯性， 首先必須先驗證投資人因應市場透明度增加之行為調整（下單積極性與委託單規模調整）。本研究發現散戶與法人在市場透明度增加後提供流動性之意願皆增加； 散戶投遞限價單與市價單時之行為皆更為積極， 且投遞更大規模之委託單； 但法人相較於散戶因應透明度增加之行為調整較為保守，且投遞較小規模之委託單。本文以執行差額法（implementation shortfall） 衡量投資人之福利； 執行差額為價格衝擊與機會成本之加權平均。實證結果顯示， 對於流動性有需求之法人與散戶（特別是法人）在交易前透明度增加後獲益最多，然而散戶在更透明之市場提供流動性時反而蒙受損失。本文日內分析進一步顯示交易前透明度增加後， 散戶在接近收盤時段提供流動性蒙受之損失最大； 相反的， 投資人（法人與散戶） 於接近收盤時段對流動性有需求者因透明度增加獲益最多。

This paper provides evidence regarding thewelfare effect of pre-trade transparency according to investor and order type. In order to appreciate the manner in which welfare varieswithmarket transparency, it is necessary to examine investors’ behavioral adjustments (aggressiveness and order size adjustments) with respect to market transparency. We find that both individual and institutional investors aremore willing to supply liquidity following the enhancement of market transparency. Although individual investors behave more aggressively and submit larger orders when they supply and demand liquidity, institutional investors are relativelymore conservative and submit smaller orders in an open environment. The welfare of investors is measured in terms of implementation shortfall,which is theweighted average of price impacts and opportunity costs. Our main conclusion is that both institutional and individual investors, but especially institutional investors,who demand immediacy benefit frompretrade transparency; however, individual investors who supply liquidity lose on account of pre-trade transparency. Further, intraday analysis indicates that although transparency enhancement ismost detrimental for individual investors providing liquidity during the period approaching market close, it is most beneficial for institutional and individual investors demanding liquidity during the period approaching the close ofmarkets.