加寬漲跌幅限制與暫緩收盤觸動之時正觀察

AN EMPIRICAL STUDY OF WIDENING DAILY PRICE LIMIT AND EXTENDING THE CLOSING CALL

國內集中市場「漲跌幅限制」於2015年6月1日放寬至10％後，股價整體振幅隨之加劇。使用日內資料下，本文透過實證模型分析變革如何影響投資人委託決策與弱勢方委託成效。結果指出，機構投資人憑藉「監看」盤面優勢，不僅撤單意願增加，也提高申報大型股新委託頻率，對小型股拆單則見收斂。自然人新委託次數減少，但對大型股出價轉趨急迫。象徵弱勢方的自然人於大型股成交機率上升，惟委託綜合曝險度礙於偏高「監看成本」，下仍傾向遞增。至於「暫緩收盤」措施，觸動後非但未「降溫」投資人整體委託積極度，反倒「激化」原本對小型股出價相對保守者。

This study employs intra-day data to investigate how the reform of widening the daily price limit to ±10% on 1 June 2015 affects order choices along with performance. Using several empirical models, I find that by virtue of lower ‘monitoring’ costs, institutional investors tend to withdraw their orders more frequently, submit more new orders for large cap stocks, and make fewer order splitting activities in small cap stocks. Individual investors, symbolizing the uninformed traders in the Taiwan Stock Exchange, submit fewer new orders, but they deliver more aggressive orders for large cap stocks. Although fill rates in large cap stocks increase, the individual investors nonetheless suffer from further integrated risk on limit order submissions owing to their high ‘monitoring’ cost. As regards delaying closing calls, this measure fails to ‘cool down’ the entirety of order aggressiveness, but it may instead stimulate the investors who originally submit conservative orders for small cap stocks.