臺灣股市收盤資訊揭露制度與價格效率的關聯性

Information transparency on the closing session and price efficiency in the Taiwan stock market

台灣股市過去在收盤5 分鐘的集合競價階段並未揭露任何買賣資訊，導致最後收盤價可能與前一盤有所差距，亦即尾盤容易發生作價的情形。自 2012 年2 月20 日開始實施新的收盤揭示制度，收盤最後5 分鐘每隔20 秒，揭露模擬撮合後之最佳1 檔買賣價格，同時也實施配套措施－－個股收盤最後1 分鐘漲跌幅超過3.5%時，暫緩2 分鐘收盤。本文以台灣股市為研究對象，探討收盤資訊揭露制度與價格效率的關聯性。研究發現，尾盤透明度提升可以改善價格發現過程，不僅降低報酬波動，同時也增加價格的資訊效率性。更重要的是，新制在防止尾盤刻意拉抬或摜壓價格的成效，會隨個股規模而有所不同，對於中小型股而言，新制確實可以減少最後一盤人為作價的情形，但權值股尾盤作價並無顯著降低，大型股的期貨『結算行情』不受影響，同時也出現提前作價的傾向。

This paper examines price efficiency responding to the new rule posted by the Taiwan Stock Exchange (TSE), effective on 2/20/2012. To improve price efficiency, TSE has revised the rule of the closing session, starting from five minutes before the close, wherein real trades are replaced with a sequence of simulated call auctions. The best quotes and the indicative trading prices are disseminated on line, instead of “trading in dark” as before. If a stock’s final simulated price deviates from the previous trading price by 3.5%, the stock’s final auction will be postponed by two minutes. Evidence shows that the rising transparency overall improves price efficiency by lowering price volatility. More importantly, the improvement varies with firm size. That for small- and medium-cap stocks is more pronounced than that for large-cap stocks, tightly linked to the index futures. No obvious expiration-day effect on large-cap stocks exists; and price manipulations on them shift ahead of the closing session.