頻繁交易與期貨市場交易成本之關聯性

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题名:	頻繁交易與期貨市場交易成本之關聯性
其它题名:	The relationship between frequent trading and cost to trade in futures market
作者:	洪振傑;Hung, Chen-Chieh
贡献者:	淡江大學財務金融學系碩士班林蒼祥;蔡蒔銓
关键词:	交易成本;期貨市場;頻繁交易;Cost to Trade;Fututrs Market;Frequent Trading
日期:	2016
上传时间:	2017-08-24 23:33:58 (UTC+8)
摘要:	本文主要探討頻繁交易與期貨市場交易成本之關聯性, 本文根據 Carrion (2013)作為論基礎套用於臺灣加權股價指數期貨, 藉由定義頻繁交易者特徵為交易量大且留倉時間短暫。進一步將頻繁交易者區分為流動性需求者與流動性供給者, 並利用重建委託簿建立出各時間點之交易成本代理變數 Cost-to-Trade(CTT), 試圖研究出頻繁交易者較常在何種交易成本之情況下消耗流動性亦或是提供流動性。研究結果顯示頻繁交易者偏好在交易成本低時去消耗流動性也在交易成本低時提供流動性, 此研究說明了頻繁交易者偏好在交易成本低且流動性高時去做交易。且更進一步將頻繁交易者分類為外資、自營商、散戶及國內其他法人之後去做研究, 也皆得到一樣的結果。 This thesis investigates the correlations between frequent trading and cost to trade of futures market. By applying Carrion(2013)’s theory to Taiwan Weighted Stock Index Futures, and defining Frequent Trader by huge volume and short holding periods and classifying Frequent Trades as liquidity demander and liquidity provider, along with reconstruction of limit order book to set up trade cost agent variables Cost-to-Trade(CTT) at different points-in-time, this study attempts to discover what kind of cost to trade may trigger frequent trader to consume or provide liquidity. The research result shows that frequent traders prefer to consume liquidity when cost to trade is low, and provide liquidity as well, which indicates that frequent traders tend to trade on the condition of low cost to trade and high liquidity. Frequent traders can be further classified into foreign institutions, dealers, retail investors and domestic other institutions, with whom the same result could be obtained.
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