自2010年起，台灣證券市場逐步縮短集合競價撮合頻率，從每25秒逐步調整為每5秒，並於2020年全面實施連續競價制度，與國際主流市場接軌。
本研究選取台灣加權股價指數及29個產業指數作為樣本，並依據產業的價格波動性進行分組，系統性地檢驗撮合頻率縮短對市場流動性、市場深度及價格波動性的影響。研究方法使用Hui-Heubel Liquidity Ratio（HHR）、Martin ratio（MR）與價格波動性（Volatility）三項指標，透過多元迴歸模型，分別從整體樣本期間（Full Sample Period）、制度變革期間（Structure Change）及單一事件分析（Single Event）三個視角進行深入實證研究。
研究結果顯示，集合競價撮合時間縮短能有效提升市場整體流動性與承接買賣單的能力（即市場深度）；但在高波動性市場環境下，市場深度反而顯著下降。這是因為價格更新頻率提高雖有助於提升報價效率，卻也加速訂單撮合，使掛單更快被消耗，導致瞬時市場深度降低。在低波動性市場中亦觀察到類似現象，投資人為因應價格變化加快，普遍傾向縮短掛單時間，並採取更頻繁的撤單與重掛策略，使訂單簿中「有效掛單」數量減少，整體市場深度因而惡化。此外，撮合頻率提升亦有助於降低價格波動性，顯示其在穩定市場價格方面具有正向效果。
本研究亦進一步比較集合競價與連續競價兩種制度的市場表現。實證結果顯示，隨著連續競價制度的導入，市場流動性與深度均顯著提升，價格波動性亦明顯下降，反映制度轉型對市場運作產生正面影響。

This study examines the impact of shortened matching intervals on market functioning, using Taiwan’s equity market as a case study. Between 2010 and 2020, the Taiwan Stock Exchange (TWSE) gradually reduced the frequency of call auctions from every 25 seconds to 5 seconds, eventually transitioning to a fully continuous trading system.
Using the Taiwan Capitalization Weighted Stock Index (TAIEX) and 29 industry indices as the sample, the analysis incorporates key metrics such as the Hui-Heubel Liquidity Ratio (HHR), Martin Ratio (MR), and price volatility. A multivariate regression framework is employed to systematically assess changes in market liquidity, depth, and stability. The findings indicate that shortening the call auction interval significantly improved overall market liquidity and depth. However, under both high- and low-volatility conditions, market depth declined notably. At the same time, increased matching frequency contributed to a reduction in price volatility.
Overall, the results suggest that a gradual, phased approach to market reform helps facilitate a smoother transition, minimizing disruptions and offering valuable policy insights for other emerging markets. Looking ahead, further improvements in market efficiency will require a continued focus on microstructure analysis, thoughtful adjustments to trading mechanisms, and enhanced investor education to strike a healthy balance between efficiency and stability—ultimately supporting the sustainable development of capital markets.

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