金融市場微結構之探討：升降單位與流動性議題之分析

Abstract

本研究主要在於探討兩個金融市場微結構的重要議題。第一個議題是在分析美國證券市場在實施小數化制度（Decimalization）之後，也就是交易升降單位由十六分之ㄧ調整成百分之ㄧ的措施，對於期貨市場與現貨市場之間的套利關係之影響。研究結果發現小數化制度的施行，對於套利者而言，會因為執行風險的提高而降低其套利意願，進而降低期貨與現貨市場之間的定價效率。由於套利者對於可套利交易的價格偏離程度之要求變大，因此在分量迴歸（Quantile Regression）的分析中，可以得到較大的定價誤差會在小數化制度實行後具有顯著改善的結果。第二個議題則是在分析公司治理（Corporate Governance）與股票流動性（Equity Liquidity）之間的關係。藉由內部與外部公司治理指標的討論，研究結果顯示公司治理程度與其股票流動性高低具有顯著的相關性，而此意味著公司治理程度較弱的企業，可能會因為較高的資訊不對稱成本（Asymmetric Information Costs）而使其股票流動性變差。

This dissertation consists of two separate essays. The first essay investigates the impact of decimalization (penny pricing) on the arbitrage relationship between index exchange-traded funds (ETFs) and E-mini index futures. The empirical results show that the overall pricing efficiency has deteriorated in the post-decimalization period; however, the pricing efficiency is improved only when an extreme large mispricing signal is observed, implying that the introduction of decimalization has in general resulted in weakening the ability and willingness of arbitrageurs to initiate arbitrage trades. The second essay examines the effects of internal and external corporate governance mechanisms on equity liquidity. The empirical results reveal that both internal and external governance measures have significant relationships with the liquidity measures, implying that the economic costs of equity liquidity are greater for those companies with poor corporate governance.