研究結果發現當頻繁交易者之成交量上升時，顯著的使得市場相對買賣價差縮小。而且不論是人為下單或者非人為下單之頻繁交易者，皆可以使得市場相對買賣價差縮小。在刪改單部分，本文發現不同以往之結果，雖然頻繁且存在非人為下單交易者之刪改單可改善市場相對買賣價差。但是，頻繁且不存在人為下單交易者之刪改單會使得買權買賣價差擴大！最後，本文發現不論是何種類別之頻繁交易者皆會使得非頻繁交易之市場成交量提升。 What if there are traders whose trading behaviors are similar to market makers, will they bring the merits to the liquidity of Taiwan options market? First, this paper defines those traders as Frequent Traders (FT), whose trades are more than others and whose positions holding period is shorter than others. And then, I observe the relationship between the trading volume of FTs and market relative bid - ask spread. Besides that, based on the interesting findings, there is around 86 percent of FTs orders are cancelled. I shed light on the relationship, the cancellations and modifications to the market relative bid – ask spread. Furthermore, the orders of FTs equal to 400 times the orders of non-FTs. Ergo, this paper unveils the effect of cancellations and modifications on the market relative bid – ask spread. In addition, this paper further separate FTs into two groups, the existing of non-human behavior and otherwise. The results show that when the trading volume of FTs increases, the market relative bid – ask spread decreases. Either the trading volume from the existing of non-human or otherwise among FTs can deduce the market relative bid-ask spread. In the part of cancellations and modifications, this paper finds out the different outcomes that although the FTs of non-human behavior can reduce the market bid - ask spread, the FTs of otherwise would enlarge the bid – ask spread on call options. Last but not least, all of the FTs would make non-FTs trade more in the Taiwan options market.
