快速刪單對執行差異之影響：不同波動度之情境分析

Abstract

本研究以2013年01月03日至2022年12月31日台灣證券交易所上市公司股票的日內資料為研究樣本期間，探討快速刪單對於執行差異之影響，並進一步分析在納入高波動度的因素後，如何影響快速刪單對於執行差異之關係。實證結果發現：(1)快速刪單比率越高會造成當期與預期執行差異的增加以及(2)在高波動度以及前一期高波動度的情境之下，會讓快速刪單對於執行差異之正向關係增強。此結果不僅有助於理解快速刪單行為在台灣股票市場中的運作機制，也突顯出市場波動度在其中所扮演的調節角色，有助於投資人掌握並因應潛在的市場風險，為投資實務提供風險控管之參考依據。This study used the intraday data of listed companies in the Taiwan Stock Exchange from January 3, 2013, to December 31, 2022 to explore the impact of fleeting orders on implementation shortfalls. Furthermore, it examines how high market volatility influences the relationship between fleeting orders and implementation shortfalls. The empirical results found that: (1) higher proportion of fleeting orders increases the current and expected implementation shortfalls; and (2) during both current and previous periods of high volatility, the positive impact of fleeting orders on implementation shortfalls are strengthened. These findings not only enhance our understanding of the mechanism behind fleeting order behavior in Taiwan’s stock market but also highlight the moderating role of market volatility in this relationship, providing practical insights for investors in identifying and managing potential market risks.