Closing Call Transparency and Market Quality: Evidence Fromtaiwan


[[abstract]]無論是國內或國外的證券市場中,收盤價格的使用是相當普遍的。舉凡收盤股價指數、開盤參考價格、除權除息參考價等,無不以收盤價格作為計算基準。而其他證券相關機構,諸如基金公司募集共同基金之資產淨值,以及衍生性金融商品契約的結算價格等,亦均引用收盤價格為計算基礎。有鑑於此,各國證券交易所莫不審慎議定收盤價格之決定原則,祁使收盤價格兼具客觀及代表性,並避免人為炒作之可能。 台灣證券集中市場自民國九十一年七月一日起實施新交易制度,內容包括收盤改採五分鐘集合競價制度,即由以往連續競價(即兩檔限制之分盤集合競價)方式收盤,改為收盤前五分鐘暫停撮合,並接受買賣申報輸入後,再以集合競價方式收盤。證交所推行此新制度的立意,在於促進交易公平,減少人為作價並降低特定人士操縱收盤價的情況(或藉提高其成本,降低其意願與能力),回歸市場機制的運作。然而證交所的收盤新制異於大多數其他國家,其在收盤前五分中皆無揭露交易相關資訊,投資人只能摸黑交易。黃玉娟與蔡沛霖 (2008) 探討台股收盤集合競價新制的有效性,發現此新制有效降低市場收盤之波動性,並提升市場效率性,然而市場尾盤流動性卻惡化,因為投資人不願意摸黑交易,因此會選擇在收盤五分鐘以前提前下單交易,此舉降低了市場收盤流動性。黃玉娟與蔡沛霖 (2008) 並建議證交所於收盤五分鐘集合競價期間,應提供有關限價簿之資訊以提高收盤之透明度。 為提供投資人更即時的交易資訊,經參酌國外主要交易所實行方式,台灣證交所自民國101年2月20日起實施收盤前五分鐘資訊揭露新制,每日收盤前五分鐘開始,約每20秒揭露模擬撮合後最高一檔買進價格及最低一檔賣出價格。在最後收盤前一分鐘內,只要有個股股價變化超過前一次模擬參考價的3.5%,就啟動暫緩收盤,將收盤時間延長至13時33分。證交所推行此新制度的立意,在於防止有心人士在尾盤刻意拉抬或摜壓大幅作價,並讓散戶投資人可買賣到較合理的收盤價以及多些時間決定繼續下單或取消。 本計劃的主要目的即是針對證交所改採收盤前五分鐘資訊揭露這項措施進行研究。觀察新制度的實施,是否會影響到台灣證券集中市場的績效表現,以及是否能有效降低收盤價之操縱,以作為證券交易主管機關改革市場的參考。具體而言,本計畫主[[abstract]]Optimal market design has long been an important issue for both academics and practitioners. More and more studies have focused on the impact of market mechanisms on market quality because this understanding may shed light on the question of which current market design is likely to induce the desirable characteristics of an efficient market. On July 1, 2002, the Taiwan Stock Exchange (TWSE) changed its closing price procedure to a five-minute call auction in an attempt to reduce the market volatility observed at the close and enhance the fairness of the closing price. The TWSE’s new closing method is very unusual, however; the limit order book is completely opaque during the five-minute call auction, which can increase the risk of transactions at the closing call and change traders’ submission behavior at the close. Huang and Tsai (2008) examine the effectiveness of this new mechanism for the TWSE. They find that the closing call has effectively reduced market volatility at closing and enhanced market efficiency by reducing noise in stock closing prices. However, market liquidity has declined. Huang and Tsai attribute the decline of closing liquidity to the fully opaque of the TWSE’s limit order book during the five-minute call period, and suggest that the TWSE should provide the transparency of the limit order book for the closing call period. On February 20, 2012, the TWSE changed its pre-market closing auction system from an entirely black box into a more transparent system with indicative best bid and ask prices disseminated every 20 seconds throughout the pre-closing period. The purpose of this study is to examine the impact of that change on the market quality and market manipulation. This research will first examine the effect of the new transparency regime that took place on the TWSE. We will examine the intraday effects of the introduction of the new information disclosure mechanism on market liquidity, volatility, efficiency, and price discovery. In the second year, this project will examine whether the new transparency regime has any effect on closing price manipulation. The main focus is to examine the changes of manipulation proxies after the new transparency regime of the TWSE. Comerton-Forde and Putnins (2011b) find strong evidence of large increases in day-end returns, return reversals, trading activity and bid-ask spreads in the presence of closing price manipulation. We use these proxies to examine the changes of manipulation behavior. In addition, we try to figure out whose behavior trigger off the manipulation by examining the trading and submission behaviors of each investor type (such as foreign institutions, retail investors, mutual fund managers, and other domestic institutions).[[note]]NSC102-2410-H327-01

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This paper was published in FirstTech Institutional Repository.

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