台灣券商發行之權證市場品質及造市績效評比

Market Quality and Market Making Performance: Evaluating the Issuers of Warrants in Taiwan Stock Markets

本研究針對台灣各券商發行之權證的市場品質、造市機制實施後各券商發行權證之價差及深度進步幅度、以及各券商造市成效進行評比。由一年半樣本期間、20家券商、8千3百檔權證，共1千2百萬筆日內交易資料所得之評比結果為：1、發行權證之市場品質最佳的5家券商為寶來、凱基、元大、群益及統一；2、造市機制實施後價差及深度進步幅度最大的5家券商為日盛、工銀、元富、統一及兆豐；3、造市成效最佳的5家券商為寶來、工銀、元大、統一及凱基。綜合而言，實施造市機制使得台灣權證市場價差下降2／3，深度提升3倍，平均每年為權證投資人節省63億之交易成本。投資人選擇價差最高的5家券商發行之權證，其交易成本是價差最低的5家券商發行之權證的3.6倍，致使其報酬率減少11%；深度最高的5家券商發行之權證深度是深度最低的5家券商發行權證的6.5倍。

In order to improve the liquidity of the warrant market, Taiwan Stock Exchange announced operation directions, requiring the issuer (Securities Firm) of the warrants to perform the market making obligations after 1st January, 2009, i.e., to provide liquidity for the warrants that it issues. The aim of the paper is to evaluate the issuers of the warrants. We explore the following three questions. First, we ask how the market quality of the warrants varies across issuers for our overall sample period between 1st July, 2008 and 31st December, 2009. Second, we compare the market quality of the warrants before and after 1st January, 2009 across issuers, i.e., to examine whether or not the market quality is improved due to the operation directions, and if so, to what extent this goes on across issuers. Third, we examine the performance of the market making across issuers after 1st January, 2009. Our samples consist of twenty securities firms, 8,300 warrants, and about 12,000,000 intraday transaction data. The findings show that the top five issuers with the best market quality for the overall sample period are Polaris, KGI, Yuanta, Capital, and President, respectively; the top five issuers with the biggest improvement in market quality due to the operation directions are Jihsun, IBT, Masterlink, President, and Mega, respectively; the top five issuers with the best market making performance after 1st January, 2009 are Polaris, IBT, Yuanta, President, KGI. In summary, the market making mechanism amazingly reduced the bid-ask spread of the warrant market by nearly two-thirds, increase the depth by three times, and thus save investors the transaction cost about 6.3 billions on average. The transaction cost of the top five issuers with highest bid-ask spread is 3.6 times as high as that of the top five issuers with lowest bid-ask spread. The depth of the top five issuers with highest depth is 6.5 times as high as that of the top five issuers with lowest depth.