盤前資訊意涵──開盤前資訊透明化之實證觀察

THE INFORMATION CONTENT OF THE PRE-OPENING LIMIT ORDER BOOK AN EMPIRICAL STUDY OF TRANSPARENCY REFORM AT THE OPENING CALL

台灣證交所於2015年6月29日開始揭露盤前試撮資訊，本文乃以改革前後各80日觀察實施效果。撮合成效方面，開盤報酬率波動加劇，盤前股價加權貢獻度上升，而大型股開盤局部時段作價減少。「價格發現效率」在盤前多數時間呈現下滑，但資訊揭示品質不佳情況會在開盤前五分鐘內大幅改善。試撮成交價格、限價簿最佳一檔價量與均衡股價頗為攸關，大型股限價簿最佳第四、五檔價量資訊價值會在競價末五分鐘浮現。透明化改革還「激勵」自然人、機構投資人出價急迫意願，其委託積極度決策對買賣價差敏感度在開盤前後半小時差異顯著，隱含對盤前揭示資訊相對缺乏「信賴感」。此外，文中各項實證發現皆通過盤面走勢穩健性測試。

"The adoption of the pre-open disclosure mechanism in June 29, 2015 has made the limit order book (LOB) highly transparent during the opening call. Our studyfinds that, after this reform, though the close-to-open return volatility becomes higher, the weighted price contribution (WPC) at the opening call still increases and the opening prices are less manipulated in large cap stocks. Although the price discovery efficiency declines most of the time during the opening call, the poor quality of pre-opening quotes and depths disclosed in the LOB has greatly improved since 8:55. Moreover, the reference prices and best‘unexecuted’quotes along with depths are highly related to the changes in equilibrium prices. For large cap stocks, the information content in the 4th and 5th best quotes emerges in the lastfive minutes of the opening call. This transparency reform also raises the probability of individual and institutional investors submitting aggressive orders. The sensitivity of order aggressiveness to the bid-ask spread variation is significantly different during the half hour before and after the market opening, implying that both types of investors have less confidence in the pre-opening quotes and depths. Ourfindings pass robustness checks precluding the scenario of market rise or fall."