臺灣股市委託價格群聚現象之實證研究

An Empirical Study of Order Price Clustering in the Taiwan Stock Market

本文利用日內逐筆委託資料來檢測台灣股市投資人委託價格的群聚現象。研究發現，無論是何種價格群組，偶數與整數價格都有異常高的委託頻率，當升降單位過度精細時，會妨礙價格決定過程，因而提高價格群聚程度。另外，本文發現價格群聚現象主要來自於一般法人與個別投資人，相較於可市價化限價單，非可市價化限價單價格偶數化與整數化的程度較高，表示較積極的委託單包含較多的資訊內涵。雖然偶數價格有較厚的深度，但成交比率並沒有比奇數價格來的低，最後，我們也發現投資人有因應整數價格群聚現象而出現搶單行為。

In standard pricing theories, asset prices could take any value over available units of account. In reality, however, certain prices are preferred to others. This tendency for asset prices to fall more frequently on certain fractions or integers is called price clustering. Although price clustering has been widely documented in major financial markets, very limited papers on price clustering are explored for the Taiwan Stock Market. Employing order-level data on the Taiwan Stock Exchange (TSE), this paper examines the clustering pattern of the order prices to gain a better understanding of this issue. Our empirical results show an abnormally high frequency of even and integer limit-order prices. Unlike the evidence for the US markets, the degree of price clustering does not increase with price levels within each class. This pattern seems to be related to the tick size schedule imposed on the TSE which the relative tick sizes are relatively constant across different price levels. We also observe that an extremely small tick size itself becomes a binding constraint to hinder the price resolution process and leads to a stronger clustering. Furthermore, the results support the negotiation hypothesis, implying that the degree of clustering is a positive function of stock price and various proxies for the dispersion in investors’ reservation prices. The price clustering pattern is mainly driven by corporate investors and individuals. Because foreign investors’ limit orders display the least price clustering among professional institutions, we could indirectly infer that foreign investors have an information advantage, in terms of the level of price precision as a proxy for the amount of information. The non-marketable limit orders display stronger clustering than marketable limit orders, indicating that the more aggressively the orders are submitted, the more information they carry. We observe that investors might rationally use round prices to increase the probability of finding market participants willing to take the other side of the trade. The number of investors willing to transact at round prices will be high (low) when the stock price is high (low) and when there is wide (small) dispersion in investors’ reservation prices. Therefore, even though there are a greater number of even-price limit orders, the proportion of executing limit orders submitted with even prices is not lower than those submitted with odd prices. Finally, we find that recognizing the existence of price clustering, investors are front running others’ orders in order to capitalize on opportunities created by integer-price clustering.