台湾股市为集合竞价、散户为主的市场,异于欧美股市为连续竞价、机构法人为主的市场。通过采用60秒内之删单和改单作为快速删单,实证结果发现:全市场、散户、外资和其他本土法人的快速删单比例增加时,价差缩小,市场流动性增加;自营商的快速删单对价差无显著的影响,这可能源于其快速删单的定价积极度;其中,小型股票的流动性对快速删单更加敏感。进一步的实证发现,价差缩小源于各类型投资者观察到买(卖)单快速删单后,虽然投资者提交的同向买(卖)单变得消极,但反向的卖(买)单积极度增加更多,使得价差缩小,市场流动性增加。Taiwan stock market is organized as a call auction system and the majority participants are retail investors, which is different from European and American stock markets characterized by continuous auction and institutional legal persons. Fleeting orders are defined as those cancelled or updated within 60 seconds. The empirical results show that an increase in fleeting order ratios of the overall market, retail investors, foreign institutions and other domestic institutions will contribute to narrowing the spread, thus increasing market liquidity. However, the proprietary traders' fleeting orders have no significant effect on the spread, and this may results from aggressive pricing of their fleeting orders. In addition, the liquidity of small cap stocks is more sensitive to fleeting orders. Further study finds that the narrowed spread is the net effect of more aggressive selling(purchasing) orders on the ask side and less aggressive purchasing(selling) orders when all types of investors observe a purchasing fleeting order, thus increasing market liquidity.国家自然科学基金青年项目“投资者风险偏好:度量与应用”(71101121);国家自然科学基金项目“波动率微笑:隐含信息与动态建模”(71471155);国家自然科学基金项目“资产价格中隐含通货膨胀信息的提取、分析与应用”(71371161);国家自然科学基金青年项目“限价指令簿的信息内涵研究:基于市场微观结构的视角”(71301137
