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NTU Management Review
Vol. 34 No. 2 Aug. 2024, 139-184
https://doi.org/10.6226/NTUMR.202408_34(2).0004

Order Choices, Order Execution Quality and Trading Volume:
Evidence from Reductions in the Call Auction Interval

委託決策、委託交易品質與成交量能：加快撮合之實證觀
察

Yi-Heng Tseng, College of Management, Yuan Ze University
曾翊恆 / 元智大學管理學院
Received 2019/7, Final revision received 2023/10
Abstract
From 2013 to 2015, the Taiwan Stock Exchange (TWSE) first reduced the call auction
interval from 20s to 15s (hereafter denoted as Reform I), and then from 10s to 5s (hereafter
denoted as Reform II), providing natural experiments to test the direct impact on order
choices, order execution quality and trading volume. The present study provides evidence
that the “time contraction” effect causes the decrease in the number of order submissions
and cancellations. We find that with more frequent auctions, institutional investors raise
order aggressiveness because of their higher demand for immediacy and tend to engage
more in order splitting particularly when the auction interval is reduced to 5s. We also find
that for individual investors who symbolize the uninformed traders having lower demand
for immediacy and incurring higher monitoring cost, the “wait-and-see” effect becomes
dominant in Reform II and lowers their order aggressiveness in large cap stocks. Although
the direction of changes in the trade-to-auction ratio remains unclear, we show that the
probability of limit-order execution of individual investors becomes lower in large cap
stocks, and the comprehensive risk of limit-orders becomes smaller subsequent to Reform
II. Following Reform I, the trade value of heavily traded stocks increases by 10.57%. After
Reform II, the increase in percentage of trade value attributable to institutional investors is
about 1.56%.
【Keywords】Taiwan stock exchange, call auction interval, order choices, order execution
quality, trading volume

領域主編：張森林教授

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