本研究旨在探討盤中零股交易是否會提升股票流動性，並影響股票超額報酬率。臺灣在開放盤中零股交易後，總體市場與特定個股交易量的確比過去以往提升不少。我們利用「台灣五十指數」的成分股為研究樣本，依流動性指標分組後，分析盤中零股交易，成分股的超額報酬率是否顯著異於零。我們利用市場溢酬、規模溢酬、淨值市價比溢酬、動能因子與流動性因子定價模型進行迴歸分析，驗證盤中零股交易的超額報酬率與風險定價因子的關係。根據本研究結果我們認為盤中零股交易的確能影響股市的流動性與股票超額報酬率，而且隨著股票的流動性的提升，可能會降低ETF50成分股等中大型股票的超額報酬率。 This study is to investigate whether odd lots intraday trading increases stock market liquidity and stock excess returns. The trading volume of the overall market and specific stocks have indeed increased compared to the past. Our sample comes from the constituents of the ETF 50 and we group them according to liquidity indicators. We use the multi-factors asset pricing model to analyze the relation between excess returns on these constituents these are significantly affected by different kinds of pricing factors after the announcement of odd lots intraday trading. Moreover, regression analysis is carried out by using market premium, size premium, book-to-market premium, momentum and liquidity factor pricing model to verify the relationship between the excess return of odd lots intraday trading events and the risk pricing factor.According to the results of this study, we believe that intraday odd lots trading actually affect the liquidity of the stock market and the excess returns on the stocks of ETF. As the market liquidity increases, the liquidity premium may decrease.
