臺灣博碩士論文加值系統

台灣股票市場交易機制於2020年3月23日由集合競價改為連續競價，交易機制改變可能提升撮合速度、改變市場績效。本文採用「台灣經濟新報資料庫」（TEJ），抓取台灣上市股票交易機制改變前後各5個月的交易資料(2019年10月23日至2020年8月23日)，其中2019年10月23日至2020年3月20日為估計期，2020年3月23日至2020年8月23日為事件期，並依據公司的資本額將公司分為小公司及大公司，探討台灣股票交易機制改變對深度、波動及價格誤差之影響。
研究顯示雖然事件後股票市場深度更佳，不論在大公司或小公司事件前後市場深度皆沒有顯著差異；而波動方面，由於大公司撮合頻率在事件前後差異不大，即使交易機制改為逐筆交易後股價報酬率波動沒有顯著差異，小公司則可能撮和頻率增加，故其波動性有顯著差異；在價格錯誤方面，由於資訊更新速度加快，使得事件後大小公司之價格錯誤顯著降低。

Taiwan's stock market trading mechanism changed from call auction method to continuous Trading on March 23, 2020,Changes in the trading mechanism may increase the speed of matching and change market performance. This article uses
Taiwan Economic Journal Co., Ltd, Grab the trading data of 5 months before and after the change of the trading mechanism of listed stocks in Taiwan(October 23, 2019 to August 23, 2020), Among them, October 23, 2019 to March 20, 2020 is the estimated period, March 23, 2020 to August 23, 2020 is the event period, and according to the company's capital, the company is divided into Small firms and large firms, discuss the impact of changes in Taiwan's stock trading mechanism on depth, volatility, and price errors.
Research shows that while stock market depth is better after the event, There are significant differences in market depth before and after the events of large firms and small firms, In the aspect of volatility, Since there is little difference in the matching frequency of large firms before and after the event, there is no significant difference in the stock price return rate fluctuation even if the trading mechanism is changed to transaction-by-deal, Smaller firms may have increased frequency of summing, so there is a significant difference in volatility, In the aspect of price errors, due to the faster update of information, the price errors of large and small companies were significantly reduced after the event.

摘要....i
Abstract....ii
誌謝....iv
目錄....v
表目錄....vii
圖目錄....viii
第一章、 緒論....1
1.1 研究動機....1
1.2 研究目的....1
1.3 架構....2
第二章、 文獻回顧....3
2.1 交易機制對波動性影響相關文獻....3
2.2 深度、價格誤差相關文獻....4
第三章、 研究設計與方法....5
3.1 資料來源與研究期間....5
3.2 研究方法.... 6
3.2.1 深度....6
3.2.2 波動....6
3.2.3 價格誤差 6
第四章、 實證結果與分析 7
4.1 波動 7
4.2 深度 7
4.3 價格誤差 8
第五章、 結論與建議 9
5.1 結論 9
5.2 研究建議 9
參考文獻 10
附錄 11
Extended Abstract 13

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