A Closing Call’s Impact on Market Performance：Evidence from Taiwan Security Market

[[abstract]]摘要 台灣證券交易所為提升收盤交易之公平及效率，自民國91年7月1日起，收盤 改採五分鐘集合競價制度。本文之主目的在於探討此一措施對市場績效造成的影 響，進一步研究於指數到期日，探討樣本股在收盤集合競價下，相較過去以上下 兩檔內近似連續競價收盤方式，是否較能有效降低指數到期日之市場操縱情形。 實證結果發現，在收盤五分鐘集合競價制度實施後，市場流動變差、波動性 降低，效率性則無明顯改善。由於收盤五分鐘集合競價降低市場收盤前五分鐘之 資訊透明度，致使市場參與者提早進行部位進出，以規避收盤交易之不確定性。 在指數到期效果方面，發現在制度實施後異常委託降低、價格反轉無改變，價格 波動性也大幅降低，這些現象反應收盤改採集合競價能藉由提高操縱收盤價的成 本，降低特定人士操縱收盤價的意願及能力。[[abstract]]ABSTRACT Taiwan Stock Exchange Corporation (TSEC) carried out 5-minutes call auction at the close since July 1 2002 This paper examines the impact on market performance of the introduction of the closing call Further we study on expiration day and examine whether manipulation of the closing price was reduced effectively under this new closing trading rule compared with the past The results show that market liquidity decreases efficiency is not obviously improved but significantly decreases in volatility As a result of lower transparency at the close market participants are forced to write off early in order to avoid closing uncertainty For the results of expiration day effects indicate anomalous orders decrease price reversal is unchanged and the price volatility is also decreasing significantly This phenomenon reflects that specific persons will increase the cost of manipulating closing price and reduce their will and ability to handle the closing pric