跟隨國際趨勢及評估國內環境，臺灣股票市場於2020年3月23日更改交易機制，從五秒的集合競價調整為逐筆撮合。系本文旨在探討撮合頻率改變之後，對於現貨市場和期貨市場兩市場間，價格發現能力的影響以及不同類別的投資人(外資、國內法人和自然人)在逐筆撮合的交易機制下，對現貨市場價格發現能力的貢獻程度。

系本文以臺灣加權指數及臺灣指數期貨為樣本，時間區間為2019年9月至2020年9月，並運用Hasbrouck提出的Information Share Model(IS)以及Gonzalo and Granger的Component Share Model(CS)來衡量價格發現能力。實證結果顯示，在逐筆撮合交易機制下，現貨市場價格發現能力有所提升；而外資會降低現貨市場的價格發現能力，反而國內法人和自然人對於現貨市場的價格發現能力有所貢獻。

Following international trends and assessing the domestic environment, the Taiwan stock market changed its trading mechanism on March 23, 2020, from a five-second call auction to continuous trading. This article aims to discuss the impact of the change in the matching frequency on the price discovery ability between the stock market and the futures market, as well as the contribution of market price discovery ability on the stock market from different types of investors (foreign investors, domestic institution investors and retail investors) under the transaction mechanism of continuous trading.

This article uses Taiwan weighted index and Taiwan index futures as samples, the time interval is from September 2019 to September 2020, and is measured by Hasbrouck's Information Share Model (IS) and Gonzalo and Granger's Component Share Model (CS) to figure out the capabilities of price discovery. The empirical results show that under the transaction matching mechanism of continuous trading, the price discovery ability of stock market has been improved; while foreign investors reduce the price discovery ability of stock market, but domestic institution investors and retail investors have contributed to the price discovery ability of stock market.

Baillie, R. T., Booth, G. G., Tse, Y., Zabotina, T. (2002) Price discovery and common factor models, Journal of Financial Markets 5 (2002) 309–321.
Bohmann, M. J., Michayluk, D., Patel, V. (2019) Price discovery in commodity derivatives: Speculation or hedging?, Journal of Futures Markets. 2019;1-15.
Brogaard et al. (2014), High-frequency trading and price discovery, The Review of Financial Studies, Volume 27, Issue 8, August 2014, Pages 2267–2306.
Carrion, A. (2013), Very fast money: High-frequency trading on the NASDAQ, Journal of Financial Markets, Volume 16, Issue 4, Pages 680-711.
Charles M. Jones (2013), What do we know about high-frequency trading?, working paper, Columbia Business School.
Chen, WP., Chung, H., Lien, D. (2016), Price discovery in the S&P 500 index derivatives markets, International Review of Economics & Finance, Volume 45, September 2016, Pages 438-452.
Chou (2014), The impact of shorten matching time on security market transaction quality, National Chung Cheng University master thesis.
Choy, SK., Zhang, H. (2010), Trading costs and price discovery, Review of Quantitative Finance and Accounting, 34:37–57.
Diebold and Strasser (2013), On the correlation structure of microstructure noise: A financial economic approach, Review of Economic Studies.
Fernandez‐Perez, A., Frijns, B., Gafiatullina, I., Tourani‐Rad, A., (2018), Determinants of intraday price discovery in VIX exchange traded notes, Journal of Futures Markets.
Fleming, J., Ostdiek, B., Whaley, R.E. (1996), Trading costs and the relative rates of price discovery in stock, futures, and option markets, The Journal of Futures Markets (1986-1998); New York Vol. 16, Iss. 4, 353. Author links open overlay panel.
Garbade, K. D., Silber, W. L. (1979), Structural Organization of secondary markets: Clearing frequency, dealer activity and liquidity risk, The Journal of Finance, 34(3), 577-593.
Garman, M.B. (1976), Market microstructure, Journal of Financial Economics, Volume 3, Issue 3, June 1976, Pages 257-275.
Gonzalo, J., Granger, C. (1995), Estimation of Common Long-Memory Components in Cointegrated Systems, Journal of Business & Economic Statistics, Vol. 13, No. 1 (Jan., 1995), pp. 27-35.
Hirschey, N. (2018), Do high-frequency traders anticipate buying and selling pressure?, London Business School, working paper.
Hasbrouck, J. (1991), Measuring the information content of stock trades. The Journal of Finance, 46(1), 179-207.
Hasbrouck, J. (1991), The summary informativeness of stock trades: An econometric analysis. The Review of Financial Studies, 4(3), 571-595.
Hasbrouck, J. (1995), One security, many markets: Determining the contributions to price discovery. The journal of Finance, 50(4), 1175-1199.
Hsieh, W. L.G. (2002), Market Integration, Price Discovery, and Information Transmission in Taiwan Index Futures Market, Journal of Financial Studies, Vol 10, No 3 (2002).
Kalay, A., Wei, L., Wohl, A. (2002), Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchange, The Journal of Finance, Volume 57, Issue 1, Pages. 523-542.
Kwan, A., Philip, R. (2015), High-frequency trading and execution costs, EFMA Annual Meetings-2015, Amsterdam.
Lang, L. H. P., Lee, Y. T. (1999), Performance of various transaction frequencies under call markets: The case of Taiwan, Pacific-Basin Finance Journal, Volume 7, Issue 1, February 1999, Pages 23-39.
Lee E.J. (2015), High frequency trading in the Korean index futures market, Journal of Futures Markets, 35(1), 31-51.
Lin, W. T., Tsai, S. C., Chiu, P. (2016), Do foreign institutions outperform in the Taiwan options market?, The North American Journal of Economics and Finance Volume 35, January 2016, Pages 101-115.
Muscarella, C. J., Piwowar, M. S. (2001), Market microstructure and securities values: Evidence from the Paris Bourse, Journal of Financial Markets, Volume 4, Issue 3, June 2001, Pages 209-229.
Peter Gomber, Björn Arndt, Marco Lutat, Tim Uhle (2011), High-Frequency Trading, white paper, Goethe-Universität Frankfurt.
Putniņš, T. J. (2013) What do price discovery metrics really measure?, Journal of Empirical Finance 23 (2013) 68–83.
Riccó,R., Wang, K (2021) Frequent Batch Auctions vs. Continuous Trading: Evidence from Taiwan, papers.
Said and Dickey (1984), Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, Volume 71, Issue 3, December 1984, Pages 599–607.
So and Tse (2004), Price discovery in the hang seng index markets: Index, futures, and the tracker fund, Journal of Futures Markets.
Yana, B., Zivot E. (2010), A structural analysis of price discovery measures, Journal of Financial Markets 13 (2010) 1–19.