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    題名: 頻繁交易對選擇權市場交易成本之影響
    其他題名: The impact of frequent trading on options market trading costs
    作者: 黃勢棋;Huang, Shih-Chi
    貢獻者: 淡江大學財務金融學系碩士班
    林蒼祥;蔡蒔銓
    關鍵詞: 交易成本;流動性;頻繁交易;Trading Costs;Liquidity;Frequent Trading
    日期: 2016
    上傳時間: 2017-08-24 23:33:35 (UTC+8)
    摘要: 本研究探討臺指選擇權(TXO)市場中頻繁交易對市場交易成本的影響。藉由Brogaard et al. (2014)採用交易量與留倉時間等標準,選出臺指選擇權市場中的頻繁交易者。根據Carrion (2013) 所提出的實證模型,計算頻繁交易者的成交次數。並藉由Kang and Yeo (2008)所提出衡量限價委託簿之流動性變數,以衡量市場交易成本(Cost-to-Trade),檢驗當頻繁交易者充當流動性供給或需求不同角色時,對市場交易成本的影響。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,故加入交乘項,更深入探討何種市況因子影響其交易成本。

    實證結果發現交易成本與頻繁交易流動性需求成正向顯著關係,因此可以表示臺指選擇權中的頻繁交易流動性需求增加使交易成本變大;交易成本與頻繁交易流動性供給成負向顯著關係,因此可以表示臺指選擇權中的頻繁交易流動性供給增加使交易成本變小。在波動大的時候,頻繁交易者會顯著的大量增加交易成本;在交易量很大的時候,頻繁交易者才會顯著的降低交易成本。
    Based on the sifting approach of frequent traders proposed by Brogaard et al. (2014), this thesis investigates the influence that frequent trading(FQT) in TAIEX Options(TXO) makes on market trading cost, on the conditions of holding periods and the features of high frequent traders (high trading volume and short holding periods). According to Carrion’s empirical model (2013), to calculate frequent traders the number of trades. Kang and Yeo (2008) propose fluidity variables of limit order book to measure Cost-to-Trade, this study attempts to find whether FQT behavior in TXO can influence market trading cost when FQT is liquidity demanding or liquidity supplying. Because different kinds of investors hold different information and technology, interaction is included to observe the gap, so as to explore which market factor can influence the trade cost.

    The empirical result discovers that trade cost correlates positively to FQT’s liquidity demanding, which indicates that as increase in FQT’s liquidity demanding in TXO leads to the increase of trading cost. While trading cost correlates negatively to FQT’s liquidity supplying, which shows that as increase in FQT’s liquidity supplying in TXO can result in the decrease of trading cost. With great fluctuation, FQT provider will increase significantly trading cost; while they will reduce greatly trading cost, when volume is large.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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