This article mainly discusses the impact of the
improvement of market transparency and liquidity on investor withdrawal
behavior after the Taiwan Stock Exchange shortened the matching seconds from 10
seconds to 5 seconds. We use the intraday trading data of 5 months before and
after December 2014 for actual measurement. We use the ratio of canceled orders
as an indicator and use the paired sample T-test to examine whether there is a
significant difference in the ratio of canceled orders between institutional
investors and individual investors before and after the system change. The
empirical results show that, except for the significant increase in the
cancellation rate in Step 1 of legal persons and retail investors, all others have
decreased significantly. Since the possibility of the cancellation in Step 1
being caused by manipulation is not high, it can be inferred that it is a
purely wrong order, and the decrease in the ratio shows that the new system is
helpful to the entire market, because investors have become more cautious when
placing orders.
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