磁吸效果、委託型態與流動性供給的關聯性

Magnet Effect, Order Submission Behavior and Liquidity Supply

價格限制一直是政府用來穩定股票市場的斷路措施之一，目的在於避免價格出現巨幅波動，但對市場品質的影響，仍是產官學界爭論之焦點。價格限制的負面影響中，磁吸效果（magnet effect）備受討論，此效果是指價格限制像一塊磁鐵，當股價接近漲跌停板時，會有加速靠近之傾向。過去研究大都聚焦磁吸效果是否存在以及何時發生，囿於資料限制，探討磁吸效果來源的研究並不多。本研究因取得臺灣證交所提供的逐筆委託與成交資料，可以更完整地探討磁吸效果的相關議題。研究發現：第一、台灣股市價格限制確實會造成磁吸效果，在到達漲跌停之前，股價出現明顯的加速現象。雖然個別投資人積極的買（賣）超是磁吸效果主要的價格壓力來源，但個股過去績效表現會改變各類投資人對磁吸效果的相對影響力，甚至是磁吸效果的強度。第二、價格限制會影響流動性供給者的下單策略，當價格接近漲跌停時，投資人會提高流動性需求，減少使用非可市價化限價單的頻率，轉而改下可市價化限價單，並且更頻繁地取消非可市價化限價單，尤其是個別投資人與自營商。這些下單策略的調整，造成市場流動性供給降低，使得股價波動加劇，因而產生磁吸效果。

Though the aim of setting price limit is to prevent excessive price variations, its role as circuit breakers is often doubted. Among the adverse effects of price limits, magnet effect continues to attract a lot of attention. It refers to the phenomenon that the price limit acts as a magnet for stock prices. Most previous studies focus on whether the magnet effect exists, yet the causes are not well explored. Applying order- and trade-level data, this paper examines the magnet effect in the Taiwan Stock Market. Evidence shows, first, that the price limit acts as a magnet and further pulls the price even closer to the limit. Although the price pressure before hitting the limit is mainly caused by the order imbalances by individual investors, the precious stock returns could change the relative influences of institutional and individual trading activities, and, thus, the strength of the magnet effect. Second, price limit affects investors’ order submission behaviors. When approaching the price limit, order submission behaviors, especially of individuals and security dealers, become more aggressive by switching from nonmarketable to marketable limit orders and cancelling more frequently nonmarketable limit orders. These changes in investors’ submission strategy reduce stock liquidity supply and raise volatility, leading to the so-called magnet effect.