本文由二篇關於金融市場執行成本之文章構成。第一篇論文旨在探討台灣證券交易所鉅額新制對鉅額與拆單交易之影響。本文發現鉅額交易之標的股多為流動性較差之個股; 鉅額（拆單）交易比率為標的股流動性之減（增）函數。台灣之大額委託單多經由集中市場拆單完成，但交易規模愈大、資訊交易機率較低、價格波動性較小時，大額委託單投資人則會傾向選擇鉅額交易管道。新制實施後，鉅額（拆單）交易之條件執行成本降低（未下降），且鉅額（拆單）交易比率增加（下降）。實証顯示鉅額交易多為非資訊交易，交易動機為避稅、一般交易與股權移轉; 避稅動機之鉅額交易執行成本最低，一般交易動機執行成本最高。拆單交易則多由資訊所驅動; 然而鉅額交易執行成本卻高於拆單交易，非資訊交易較高的執行成本似乎反映『與特定交易對象交易』之貼水。本文模擬鉅額交易至集中市場拆單之執行成本，結果顯示鉅額交易市場之成本節省為流動性之減函數，亦即對流動性較差之個股，鉅額交易市場更能彰顯其成本節省之功能。
第二篇文章探討交易前透明度提升對於不同類型投資人與不同類型委託單之福利效果。為了瞭解透明度引發之福利變化，必須先探究投資人因應透明度提升後之下單行為調整。本文之下單行為包括委託單積極性與委託單規模。我們發現法人與散戶在透明度提升後，提供流動性之意願皆增加。在更透明的市場，散戶下市價單與限價單時都更為積極;然而法人只在投遞限價單時會因透明度增加而較為積極。本文以執行差額（implementation shortfall）衡量投資人在透明度提升後之福利變化。執行差額是成交委託單造成的價格衝擊與未成交委託單承受的機會成本之加權平均。我們發現，具有流動性需求之法人與散戶受益於透明度的提升，特別是機構投資人; 然而，散戶在提供流動性時，並未因透明度增加而受益。日內分析進一步指出，在接近收盤時提供流動性之散戶在透明度增加後損失最多;反之，接近收盤時下市價單之法人與散戶受益於透明度最多。

This dissertation consists of two essays on the execution cost of financial markets. In the first essay, we study impacts of new block trading rules on two kinds of large trades, block trades (BTs) and splitting order trades (STs). We find some results with policy implications. First, targets traded in the block trading market are illiquid. The proportion of BTs (STs) is the decreasing (increasing) function of stock liquidity. Second, large orders are mainly executed by STs except for illiquid stocks, but investors prefer to trade in block trading market at times when trade size is large, probability of informed trading is lower and price volatility is mild. Third, under the new system, the conditional execution costs of BTs (STs) decline (do not decline) and the percentage of BTs (STs) increases (decreases).Fourth, BTs are uninformed with motivations of tax minimization, general trades and ownership transfer trades, while STs are information based. BTs for tax minimization (general trades) incur the lowest (highest) execution costs. Uninformed BTs incur higher execution costs than informed STs, reflecting “premiums of trading with the specific counterparty” of BTs. Finally, simulation analyses confirm that the block trading market functions well especially for illiquid stocks.
In the second essay, we attempt to provide evidence regarding the welfare effect of pre-trade transparency affected by investor and order types. In order to understand the effect of transparency on welfare, we need to explore investors’ behavior adjustments (aggressiveness and order size adjustments) reacted to transparency. We find both individual and institutional investors are more willing to supply liquidity after transparency enhancement. Individual investors behave more aggressively and submit larger order as they supply and demand liquidity, while institutional investors are relatively conservative and submit smaller order in an open environment. We measure welfare of investors in terms of implementation shortfall, which is weighted average of price impacts and opportunity costs. Our main result is, on average, institutional and individual investors who demand immediacy benefit from pre-trade transparency, especially for institutional investors, while traders who supply liquidity are worse off except institutional investors. Intraday analysis further notices individual investors providing liquidity near the end of day lose most from transparency enhancement, while institutional and individual investors demanding liquidity win most in close interval.

Table of Contents
Table of contents Ⅰ
List of Tables Ⅳ
List of Figures Ⅵ
謝誌 Ⅶ
中文摘要 Ⅷ
Abstract IX


Chapter1: Introduction
1. Explicit costs 2
2. Implicit costs 2
2.1. Spread 3
2.2. Price impacts 4
2.3. Opportunity costs 6
2.4. Determinants of Costs 6
3. Overview of Two Essays 7
Chapter2: Essay1
The Price Impact of Block Trades and Splitting Order Trades: Evidence from Taiwan
1. Introduction 8
2. The related literatures on block trading and institutional settings 15
2.1. The related literature on block trading 15
2.2. Market Structure and Block Trading Mechanisms of TWSE 17
3. Sample Selection, Sample Period and Methodology 20
3.1. Sample Selection and Sample Period 20
3.2. Methodology 23
3.2.1. Measures of Price Effects 23
3.2.2. Regression analysis 24
3.2.3. Simulation 27
4. Empirical Results 28
4.1. Execution qualities and trading characteristics of targets for two large trading venues of TWSE 28
4.2. Determinants of choosing trading venues of large orders 30
4.3. Influence of New Block Trading System on Trading Volumes 33
4.4. Execution cost analysis of trading venues for large orders 37
4.4.1. Price impact analysis of block trades and splitting order trades 37
4.4.2. Motivations and Execution Costs for Block Trades 40
4.4.3. The regression analysis of the total execution cost of large orders 44
4.4.4. Simulation of Execution Costs for Block Trades If Orders were Routed to the Primary Market 47
4.4.5. Robustness test of regression analysis and simulation 53
5. Conclusions 57
Appendix 59
Chapter3: Essay2
Who Wins and Who Loses in Transparent Markets? Evidence from Taiwan
1. Introduction 60
2. Market and Data Description 70
2.1. Taiwan market rules 70
2.2. Sample and Data Description 71
3. Methodology 72
3.1. Measuring order aggressiveness 73
3.2. Measuring welfare changes 76
3.3. Regression analysis 78
4. Empirical Results 82
4.1. Behavior adjustments by investor types 82
4.2. Execution quality and costs 87
4.3. Regression results of limit orders 91
4.4. Regression results of market orders 95
4.5. Robustness of Regression analysis 98
4.6. Intraday Analysis 102
4.6.1. Intraday order placement behaviors 103
4.6.2. Intra-day pattern of various costs 108
5. Conclusion 119
Reference 121

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