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Journal Article
委託決策、委託交易品質與成交量能：加快撮合之實證觀察
2024
Overview
本文分析2013-2015年臺股分盤時距由20減至15秒（變革I）、10秒減至5秒（變革II）之加快撮合對投資人委託決策、自然人委託交易品質、個股成交量能有何直接影響效應。實證結果指出，「時間壓迫」效應導致新委託申報與撤單意願皆多呈遞減。機構投資人時效需求偏高，價位積極狀態升溫，盤距降至5秒時對大型股似有拆單活躍跡象。象徵弱勢方的自然人，時效需求較低且「監看」能力薄弱，在變革II中「觀望」效應躍居主導地位，對大型股委託積極狀態轉趨保守。雖然自然人當盤成交比例未有清楚升降方向，但對大型股委託當盤成交率下滑，而變革II後限價單綜合曝險度遞減。變革I直接激勵熱門交易股票成交值增長10.57%，變革II促成機構投資人交易比1.56%之增幅。
