在各種交易方式與策略快速變遷下，市場環境與過去已大不相同，相關市場干預措施在各國重新備受重視。然而過去文獻上對於個股規則性暫停機制較少有著墨，且大部分皆在討論暫停對於市場績效的影響。有鑑於此，本研究除了探討瞬間價格穩定措施對於市場品質的影響外，另一主要分析則著重在不同暫停原因下散戶與法人下單行為之差異，以及兩者相對交易績效的變化，試圖從中了解現行之暫停機制是否達到減緩資訊不對稱，降低異常波動的目的。其市場品質實證結果顯示價格穩定措施雖可減少重新開盤的過度反應，但暫停後續5分鐘的的流動性則下降、且波動性增加。在投資人下單行為方面則發現瞬間暫停將使散戶的下單行為趨於保守，並且法人在資訊不對稱越高的暫停樣本其下單行為將傾向更為積極，最後，從散戶相對於法人暫停後續20分鐘成交之vwap比值，發現暫停將可改善散戶之交易績效。

Due to the rapid revolution in trading strategies, market environment is very different from the past, and the market intervention in national stock exchanges has been taken seriously again . However, very few studies discussed the rule-based trading suspension for individual stocks in the past, and most of them only focused on the impact of trading halt on market performance. For this reason, this study in addition to measures impact of market performance, another major analysis focuses on the differences between individual and institutional investors order behavior under different halt conditions. We try to understand whether the current halt mechanism achieves the purposes of reducing the information asymmetry and the abnormal volatility. The market performence empirical results show that transitory trading halt can reduce the overreaction of re-opening, but the halt of follow-up 5 minutes of the liquidity decreased, and volatility increased. Next, we find the individual investors order aggressive tend to be conservative in the period of suspension. In contrast, Institutional investor behavior will tend to be more positive with higher information asymmetry and will not be affected by the trading halt. Moreover, from follow-up 20 minutes individual-institutional transaction VWAP ratio, we find that the trading halt will improve the performance of individual investors transactions.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 5
第二章 瞬間價格穩定措施相關介紹 6
第一節 瞬間價格穩定措施 6
第二節 收盤前5分鐘資訊揭露 7
第三節 瞬間價格穩定措施與國外其他交易所暫停機制之差異 8
第三章 相關文獻探討 10
第一節 關於暫停交易支持者與反對者的論點 10
第二節 關於暫停交易之實證結果 11
第三節 投資人下單策略 16
第四章 研究方法與假說 19
第一節 資料與樣本選取 19
第二節 研究假說 21
第三節 變數定義 23
第四節 實證模型: 28
第五章 實證結果 31
第一節 基本敘述統計 31
第二節 瞬間暫停對於市場品質之影響 39
第三節 瞬間暫停對於投資人下單行為之影響 43
第四節 瞬間暫停對於投資人交易績效之影響 53
第五節 穩健度測試 55
第六章 結論與建議 57
參考文獻 60
附錄 63

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