| 摘要: | 本研究將探討透明度，投資人下單速度以及對其獲利能力之間的關係，特別是本研究透過探討不同類型投資者對委託簿內容可見性的反應是否會影響其獲利能力。除了使用能夠識別每個投資者身份，不同下單速度類型，委託單和成交單的獨特資料以外，本研究研究期間基於台灣證券交易所縮短盤中集合競價間時間：自2014年7月1日從20秒減少至15秒，以及自2014年2月24日起進一步縮短至10秒。本研究將為現存文獻做出以下三項貢獻。首先，本研究驗證了透明度（委託簿掲露）對不同類型投資人下單的影響。其次，本研究有助於擴大對交易中對委託簿的掲露對於不同速度投資人以及在交易中使用更先進的資訊技術的投資者公平性的探討。最後，本研究有助於研究下單速度與獲利能力之間的關係。
This study will investigate the relations among transparency, speeds of investors’ submission, and the impacts on their profitability. In particular, this paper examines whether investors’ reactions to visibility of the contents of limit order book influence their profitability. In addition to use the unique dataset that can recognize each investor’s identity, submission type, orders and trades, this study is based on the nature experiment, i.e., modification of auction interval on the TWSE, which decreased the auction interval to 15 seconds from 20 seconds since July 1st, 2014, and further to 10 seconds since February 24th, 2014.This study contributes to the extant literature in at least three ways. First, this study verifies the influence of transparency (disclosure of limit order book) on order submissions, particularly on the basis of each participant by investor type in the market. Second, this study contributes by extending the understanding of fairness of fast and slow responses to limit order book in trading and whether investors using more advanced information technology in trading take advantages of limit order book. Finally, this study contributes on studies of relationship between speed and profitability, as well as strategies investors use to profit, which is an arduous task because of availability of detailed transaction data of each investor. |
