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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’s stock market is a market of collective auctions and retail investors. It is different from European and American stock markets in continuous bidding and institutional corporate-based markets. Through the use of 60 seconds to delete a single and change orders as a quick list, the empirical results show that: the rapid increase of the entire market, retail, foreign and other local corporations, the spread narrows, the market liquidity increases; self-employed There was no significant impact on the spread between the rapid ex-orders, which may be due to the pricing proactiveness of its rapid ex-orders; among them, the liquidity of the smaller stocks is more sensitive to rapid ex-orders. Further evidence shows that the spread narrowed down after various types of investors observed that the same-way buying (selling) orders submitted by the investors became negative after the rapid deletion of buying (selling) orders, but the reverse selling Increased more actively, making the spread narrowed, increased market liquidity.