The Impact of New Trading Rules on Liquidity, Volatility and Efficiency in Taiwan Security Market

[[abstract]]台灣證券交易所為促進交易制度更公平、效率及資訊更透明，自民國91年7月1日起實施新交易制度，包括盤中撮合上下兩檔限制的取消、盤中瞬間價格穩定措施、收盤改採五分鐘集合競價、增加揭露未成交的買賣委託價量。而民國92年1月2日後，開始揭示最佳五檔買賣委託價量資訊。 本研究將針對新制度中，收盤改採五分鐘集合競價與盤中揭露上下五檔價量資訊的部份進行研究。觀察新制度的實施，是否會影響台灣證券集中市場流動性、波動性與效率性的績效表現。依性質上而言，收盤五分鐘集合競價，乃降低撮合頻率與市場透明度；而盤中揭露五檔價量資訊，則是提高盤中交易的透明度。 實證結果發現收盤改採五分鐘集合競價後，收盤交易的流動性減少、波動性降低、效率性變差；此外，由於收盤透明度的降低，市場參與者有提早出場的跡象，使得收盤前五分鐘波動度大幅上升，但也移轉過往收盤波動劇烈的現象；最後，盤中揭露五檔價量資訊後，日內交易的流動性變佳、波動性也降低，然而效率性是變差的。 資本市場的國際化乃大勢所趨，必須積極對內整合、對外結盟，才能提高台灣證券市場的全球競爭力，否則極可能走向邊緣化的窮途末路。台灣過去深植良好的發展根基，若能善加利用，將有機會成為全球重要的金融重鎮，再創另一個經濟奇蹟。[[abstract]]Since July 1, 2002, Taiwan Stock Exchange Corporation (TSEC) carried out new trading rules, including : (1) to eliminate the two up / down ticks rule on intraday trading; (2) to adopt intraday volatility interruption; (3) to adopt 5 minutes call auction at the close, and (4) to disclose the price and volume of the best bid / ask. After January 2, 2003, TSEC started to disclose the information of the best five up / down quotes and quantities. This study focuses on 5 minutes call auction at the close and disclosures of the best five up / down quotes and quantities. We observe whether new trading rules would affect liquidity, volatility and efficiency on TSEC or not. The 5 minutes call auction at the close represents lower trading frequency and market transparency. On the other hand, disclosure of the best five up / down quotes and quantities would increase the market transparency. The results indicate that the practice of new trading rule at the close causes significant decrease in liquidity, volatility and efficiency. As a result of lower transparency at the close, market participants are forced to write off early. That causes more volatile before close period and also transfers the keen volatility at the close; Changes in disclosure rules bring about significant increase in liquidity and decrease in volatility and efficiency. Capital market Internationalization is an irresistible trend. If we can use excellent economic foundation in the past, Taiwan will be a key financial position of the world and create another economy miracle