本文研究停板限制對於策略性資訊交易和市場績效的影響。我們發現機制性的停板限制會影響資訊交易者的策略，進而增加小流動性交易者的成本和增加波動性。有別於過去的研究，本研究關注於資訊交易者的策略及資訊競爭性在決定資訊交易者的策略上扮演的角色。當私有資訊競爭性很低時，機制性的穩定機制會鼓勵資訊交易者改下較小的委託單以隱藏其私有資訊，進而扭曲價格動態和增加小流動性交易者的成本，此外也降低市場流動性、提高價格波動性。除了模型外，本文也利用台灣證交所高頻率的交易資料進行實證的研究，我們發現，在價格被停板所限制時，資訊交易者會降低其委託單的規模，使得小單的價格衝擊、波動性皆提高；此外，對於資訊競爭性、或資訊流通速度較慢的個股，這種負面的影響更為顯著。本文的研究顯示，停板限制對於市場績效所造成的負面影響，尤其是對於資訊流通速度較低的個股，有違主管機關設立此機制所欲達到：降低市場波動、保護小投資人的目標。

This paper investigates the effect of price limits on strategically informed trading and market performances. We show that a price limit will increase the costs of liquidity traders and volatility spillover by its ex ante effects on strategically informed trading. Our study differs from prior research by focusing on informed traders’ strategies and information competitiveness. With long-lived information or less information competitiveness, the price limit rule encourages stealthily informed trading, distorts the price dynamics and increases the trading costs of small liquidity traders. Volatility subsequent to a limit-hit is also increased. By using the listed firms in the Taiwan Stock Exchange, we provide empirical evidences that informed traders switch to trade with small orders when they encounter a price limit and volatility spillover exists. Furthermore, this negative effect is more sever for those stocks with less information competitiveness. Our findings suggest that the ex ante effects of price limits on market performances may be contrary to what the stabilizing mechanism is intended to achieve, especially for those firms with less information competitiveness.

Table of Contents................................................................................................... i
List of Tables........................................................................................................... iii
Acknowledgements................................................................................................. iv
論文摘要.................................................................................................................. vi
Abstract................................................................................................................... vii

CHAPTER
1. Introduction......................................................................................................... 1
2. Literature Review............................................................................................... 7
2.1 Trading Halts.................................................................................................. 7
2.2 Price Limits..................................................................................................... 11
2.3 Discussions..................................................................................................... 13
3. Benchmark Model.............................................................................................. 16
4. Two-Period Model and Price Limit Rule......................................................... 23
4.1 Two-Period Model.......................................................................................... 23
4.2 Separating Equilibrium................................................................................... 25
4.3 Price Limit Rule.............................................................................................. 27
5. The Effects of Price Limits on Market Performances..................................... 33
6. Other Equilibriums............................................................................................ 39
6.1 Hybrid Equilibrium......................................................................................... 39
6.2 Pooling Equilibrium....................................................................................... 45
7. Empirical Study.................................................................................................. 50
7.1 Data Description............................................................................................. 52
7.2 Distribution of order size................................................................................ 55
7.3 Informed Trading on Limit-hit Days.............................................................. 59
7.3.1 The Price Impacts by Order size............................................................ 59
7.3.2 Regression on Price Impact................................................................... 61
7.3.3 Institutional Traders’ Trading................................................................ 67
7.4 Volatility Spillover.......................................................................................... 73
7.5 Does Information Competitiveness Matter? .................................................. 75
7.5.1 Measuring Information Competitiveness.............................................. 75
7.5.2 Price Impact and Information Competitiveness.................................... 79
7.5.3 Volatility Spillover and Information Competitiveness.......................... 91
8. Conclusion........................................................................................................... 95
References................................................................................................................ 104

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