淡江大學機構典藏:Item 987654321/105098
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    題名: 頻繁交易對於期貨市場流動性之影響
    其他題名: The impact of Frequent Trading on futures market liquidity
    作者: 蕭勛豪;Hsiao, Hsun-Hao
    貢獻者: 淡江大學財務金融學系碩士班
    林蒼祥;蔡蒔銓;Lin, Tsalm-Hsiang;Tsai, Shih-Chuan
    關鍵詞: 頻繁交易;流動性;Frequent Trading;Liquidity
    日期: 2015
    上傳時間: 2016-01-22 14:47:40 (UTC+8)
    摘要: 本文主要探討頻繁交易行為對於期貨市場流動性的影響，根據Hendershott, Jones and Menkveld (2011)之實證模型套用於臺灣加權股價指數期貨，藉由委託單下單時間間距對頻繁交易行為定義，透過臺灣期貨交易所提供之日內期貨委託檔與成交檔資料重建揭示簿，並由最佳一檔買賣有效價差以衡量市場流動性，試圖看出臺灣期貨市場中頻繁交易行為是否有助於增加市場流動性。由於各類投資人所掌握之資訊與技術不同，為觀察出彼此間之差異，故更深入探討頻繁交易與非頻繁交易之各類投資人之會受何種市況因子影響其提供流動性。
    研究結果顯示，頻繁交易的確有助於增加市場流動性，並解析頻繁交易之各類投資人幾乎都能使市場流動性提高，而非頻繁之各類投資人則會使市場流動性降低。而進一步解析各類投資人之流動性供需後，我們發現頻繁交易的自營商在市場高波動時大部分為流動性的消耗者，而頻繁的機構投資人在掌握委託單不平衡之資訊後，即可能觸發此方向性的下單以賺取報酬，因此產生流動性需求。
    This paper investigates about the impact of Frequent Trading on futures market liquidity by examining the model which developed by Hendershott, Jones and Menkveld (2011) on Taiwan futures market. To define the Frequent Trading, this paper measured the time gap between order and order to classify Frequent Trading behavior, and measured the futures market liquidity by the best bid and ask spread. Deeply, we separated investors into frequent type and non-frequent type, and provided the analysis of how market factor effect on all type investor’s liquidity provision.
    　　Empirical result shows that frequent trading is significantly improve futures market liquidity, and especially in frequent trading type of foreign institutions、frequent trading type of dealers and frequent trading type of individual investors. On the other hand, non-frequent trading type of investors are all significantly reduce futures market liquidity. Furthermore, this paper analysis liquidity into liquidity supply and liquidity demand throw all types investors, it shows that frequent trading type of dealers would have a strong liquidity demand in high market volatility, and frequent trading type of institutional investors tend to demand liquidity in high order imbalance.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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