本研究主要探討當日沖銷交易與選擇權市場流動性之關聯性，根據Chung et al.(2009)之理論基礎套用於台灣加權股價指數選擇權，定義當日沖銷比例，並將交易人區分為流動性需求者與供給者以及四類投資人－外資、造市商、國內其他法人以及散戶，透過重建委託簿計算流動性變數CTT，試圖了解當沖銷交易在各類投資人分別為流動性供給者與需求者時與市場流動性的關聯。最後以向量自我迴歸模型分析當日沖銷與選擇權市場流動性的因果關係。 研究發現，當日沖銷之比例與選擇權市場之交易成本成負相關，即當沖行為與市場的流動性成正向關聯。實證結果亦發現，當日沖銷比例增加會正向影響未來的市場流動性，而流動性的增加亦會正向影響未來的當沖比例。說明當日沖銷沖交易人多傾向在交易成本低且流動性大的時候進行交易，而其當沖比例的增加也可以進而對未來市場的流動性有正向的影響。 This study investigates the correlation between day-trade and options liquidity.By applying Chung et al.(2009) to Taiwan TAIEX Options, defining day-trade ratio, and classifying traders into liquidity demander and liquidity provider, and four types of investors, namely, market makers, foreign institutions, retail investors and domestic other institutions, along with the reconstruction of limit order book to calculate liquidity variable CTT, this study tries to discover the correlation of day-trade in liquidity demander and liquidity provider to market liquidity, and analyze the causal relationship between day-trade and options market liquidity through Vector Autoregressions Model. The research finds that day-trade ratio correlates negatively with trading costs in the options market. In other words, day-trade behavior correlates positively with market liquidity. The empirical results indicate that day-trade ratio can affect positively market liquidity in the future, while increase of liquidity can affect positively day-trade ratio in the future. Day-traders tend to trade when trading costs is low and liquidity is high; and increase of day-trade ratio can also further influence positively the liquidity of market in the future.
