本文欲探討快速交易對波動率的衝擊。首先依據持倉時間作爲標準去定義文中快速交易，而後依循Hasbrouck and Saar(2013)探討高頻交易與市場品質之方法，研究市場中的波動率，從而分析快速交易對市場波動率的衝擊。本文研究資料為臺灣期貨市場日內選擇權資料。探討本研究定義之快速交易和波動率的關係與影響。並分類研究不同交易人的快速交易，以及市場高波動下的情況。 本文研究結果顯示：1.在選擇權市場中，快速交易與波動率有正向相關。2.在市場高波動情況下，快速交易與波動率正向關係提升，而且買權較賣權明顯。3.本土法人與散戶快速交易量與波動率正向關係較高，其中散戶交易人對波動率敏感度高。4.本研究得出波動率對快速交易影響大於快速交易對波動率影響，其中散戶交易人快速交易會減緩波動率。 This paper aims at finding out the impact of fast trading on volatility. First, I will give a definition of the fast trading based on the holding periods as a standard. Second, I will follow the Hasbrouck and Saar (2013) to investigate the method between high-frequency trading and market quality, and to study the importance of volatility in market quality as well, so as to analyze the impact of fast trading to market volatility. The datum in this paper are based on the intraday option data from Taiwan futures market. I intend to discuss the relationship and impact between fast trading and volatility defined in this study, and to classify and study the fast trading among different traders, as well as the fast trading under the high volatility in the market. The result of this study shows: 1. In the option market, the fast trading is positively related to the volatility. 2. In the case of high volatility, the positive relationship between fast trading and volatility improves. Moreover, comparing to the right to sell, the right to buy is more pronounced. 3. There is a highly positive relationship between deal domestic institutions or retail fast trading traders and market price fluctuation, and among these traders, it is the later who are highly sensitive to market price fluctuation. 4. This study brings to a conclusion that the impact of price volatility on fast trading is greater than that of fast trades on price volatility, in which the fast trading of retail traders will slow down the volatility.
