美國的主要三大交易所（AMEX、NYSE、NASDAQ）其升降單位均採取單一之升降單位。然而，世界上大部分的交易所卻採行多級距的升降單位機制，其升降單位會隨著股價價位的升高而上升。透過研究台灣證交所六種級距之升降單位制度無疑提供了我們對多級距證券市場微結構的了解。台灣交易所於2005年3月1日縮小股價之最小升降單位，本文將利用經濟新報之資料庫來檢視升降單位改變後對市場流動性之影響，其流動性衡量之指標包括價差、市場深度及交易量。

研究結果顯示，升降單位縮小後其絕對買賣價差、相對買賣價差、有效價差和相對有效價差皆呈現顯著的下降，另外若以股價區間做探討，升降單位維持不變之股價區間，買賣價差若以相對買賣價差、有效價差和相對有效價差衡量，其於事件後竟也呈現下降之現象。另一有趣的發現，當我們衡量市場深度與相對市場深度，在事件後除了範圍5元-10元之股價其相對市場深度沒有下降外，其餘不論在任何區間之股票，其深度與相對深度竟同樣也呈現下降之現象。另外亦發現較大的升降單位在升降單位縮小後經歷較大的交易情形（交易量、成交值和成交筆數）之改善，而中價位之股價範圍在升降單位改變後成交情形變化不顯著，但低價位之股價範圍卻造成交易情形顯著下降。

In the United States, the tick size is invarinant to stock prices. In contrast, most other stock markets in the world employ a step-function tick structure, where the tick size increases with stock price.So it is a good opportunity to understand the mutiplt-tick-sizes microstructure in Taiwan because it uses six tick sizes. On 1 March 2005, the Taiwan Stock Exchange reduced the minimum tick sizes.We use the TEJ (Taiwan Economic Journal) deta to examine the impact of tick size reducetions on liquidity which including spreads, depth and volume.

This study document significantly decreases in the quoted dollar sprads, quoted percentage spreads, effective dollar spreads and effective percentage spreads after tick-size reducetion. Interestingly, we find that liquidity measured by the total depth and relative depth declines significantly in all price ranges. We also find that stocks with larger relative tick sizes experience the greatest increases in volume, while stocks with smaller tick size experience decreases in volume.

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中文
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2.詹場 “台灣證券市場交易方向之推導與資訊含量”，博士論文，2002年。

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