微結構因素的影響：小數化及股票分割事件之研究

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李婉真(Wan-Chen Lee) 查詢紙本館藏

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財務金融學系

論文名稱

微結構因素的影響：小數化及股票分割事件之研究
(The Impact of Microstructure Effects: Evidence from Decimalization and Stock Splits)

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摘要(中)

摘要
本文由二篇有關市場微結構效應之文章構成。第一篇論文研究紐約證券交易所小數化 (Decimalization) 之後對於市場交易品質的影響。過去的實證研究結果指出：報價價差在小數化之後顯著的下降，但是市場深度與平均每筆交易數量亦同時下跌。這樣的現象似乎顯示小數化後有較多的搶單者(front-runners)進入市場交易。在本文中，我們採用一個新的方法直接檢定小數化前後搶單(front-frunning)的程度變化，結果發現搶單者在小數化之後的確變多了。此外，我們亦發現，小數化對於市場交易品質的影響會因股票的特質相異而有所不同。因此，本文實證結果支持：不同特性的股票，在進行交易時各有其最適升降幅度(optimal tick sizes) 的論點。
第二篇論文檢視股票分割之後的風險變化情形及辨認風險變化的成因。本文發現，相較於股票未分割公司(non-splitting firms)，分割公司(the splitting firms)之股票報酬率波動性（代表總風險）在分割之後有顯著的增加，而這樣的增加是暫時性的。這是在過去文獻上尚未被提及的論點。我們也發現，分割後樣本公司權益總風險的暫時性增加，是源自於其系統風險與非系統風險的暫時性增加。而系統風險的增加在控制來自於交易活動所可能導致的偏誤後，亦同。進一步探究股票分割公司系統風險變化的原因，我們認為系統風險的變化係來自於其資產風險 (asset betas) 的變化，而非公司財務槓桿 (financial leverage)的變化。又股票分割公司資產風險的變化，可能源自於股票分割後，公司資產的重整 (restructuring)。

摘要(英)

Abstract
This dissertation purposes two essays on the impact of microstructure effects. In the first essay, we study the impact of decimalization on the NYSE. Empirical results indicate that spreads decrease significantly after decimalization, but the market depth and average volume per trade also decline significantly. It is likely that more front-runners are entering the market. We test the degree of front-running surrounding decimalization directly and confirm the conjecture. Furthermore, stocks with different characteristics have different reactions to decimalization. Our results lend support to multiple optimal tick sizes for stocks with different characteristics, instead of a uniform minimum tick size for all stocks.
In the second essay, we examine changes in the riskiness of stocks following split ex-dates and identifies sources of these changes. We show that increases in stock return volatility after splits appear to be transitory, a phenomenon that has not been documented in the literature. We also find that the temporary post-split increases in the splitting firms’ total equity risk are due to the temporary increases in their systematic and unsystematic risks. The transitory increases in the splitters’ systematic risk subsequent to stock splits, in turn, are shown to result from the transitory increases in their underlying riskiness of assets. Finally, we find that the splitting firms’ asset restructurings are responsible for the temporary post-split increases in their asset risk.

關鍵字(中)

★ 市場品質
★ 搶單
★ 小數化
★ 升降幅度
★ 股票分割
★ 分割日
★ 風險
★ 交易活動

關鍵字(英)

★ Market Quality
★ Tick Size
★ Stock Splits
★ Ex-dates
★ Risk Changes
★ Trading Activity
★ Front-running
★ Decimalization

論文目次

Contents
Essay 1: Decimalization and Market Quality
1. Introduction 1
2. Data 7
3. Research methodology 9
3.1. Spreads 10
3.2. Depth 10
3.3. Trading Activities 11
3.4. Clustering 12
3.5. Front-running 12
4. Empirical results 14
4.1. Spreads 14
4.2. Depth 14
4.3. Trading Activities 15
4.4. Clustering 16
4.5. Front-running 17
4.6. A Closer Look at Decimalization 18
4.6.1. Quintiles by Average Stock Prices 18
4.6.2. Quintiles by Number of Trades 19
4.6.3. Quintiles by Average Volume per Trade 19
5. Conclusions 20
References………………………………………………………………………………22
II. Essay 2: Risk Changes Following Ex-Dates of Stock Splits
Introduction 40
1. Hypotheses Development 44
2. Sample Selection and Data Sources 46
2.1. The stock splitting firms 46
2.2. Matched sample selection procedure 48
3. Changes in the Components of Total Equity Risk Following Split Ex-Dates 49
3.1. Evidence on changes in total equity risk 49
3.2. Evidence on changes in systematic and unsystematic risks 52
3.2.1. Changes in systematic risk 53
3.2.2. Changes in unsystematic risk 55
4. Changes in the Components of Equity Systematic Risk Following Split Ex-Dates 57
4.1. Evidence on changes in asset risk 57
4.2. Evidence on changes in financial risk 59
5. Changes in Capital Outlays Following Split Ex-Dates 60
6. Robustness Checks 64
6.1. The impact of trading activity on the estimation of systematic risk and asset risk surrounding stock split ex-dates 64
6.2. Estimation of risk using weekly returns data 67
7. Conclusion 68
References………………………………………………………………………..71

參考文獻

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指導教授

周冠男、陳聖賢
(Robin K. Chou、Sheng-Syan Chen)

審核日期

2005-1-7

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