| Abstract: | 本研究欲藉由指數現貨市場上三大法人交易行為及未平倉量來解釋到期日效應，以及探討愈接近到期日期貨市場存在的異常價格波動度之情形，並利用期貨交易人的下單行為來說明此異常現象。本文以最後結算價制度改變時點將樣本分為兩個區間，結果顯示現貨市場三大法人的交易行為確實與到期效應存在顯著相關，在舊制下以自營商之影響程度最為明顯，而新制下則以投信之交易行為具有較顯著之影響。
在研究期貨到期當週短期價格波動度時，以十五秒為一個區間，研究結果發現，期貨交易人下單行為對期貨市場的價格波動度存在顯著之影響，大致上來說，當交易人前一期買的行為愈積極，也就是較偏好使用市價買單，會導致下一期的短期價格波動度下跌，然而當交易人下賣單的行為愈積極，反而會使得下一期短期價格波動度提高。又進一步的討論影響交易人下單行為之原因後發現，當整體市場交易人觀察到前一期市場價格上升時，會偏好使用市價委買單以及限價委賣單，反之亦然。再者，由於台灣期貨市場是屬於委託單驅動市場，亦即市場流動性是由期貨交易人所提供，根據本文研究結果顯示，市場交易人使用限價委託單的行為存在負的自我相關，表示當期貨交易人發現市場上限價單量較為缺乏時，會傾向於使用限價單以彌補市場缺乏流動性之情形，由此可知，台灣期貨市場之委託單確實存在自動調整機制以維持市場之流動性。
The objective of this paper is to find out how the futures market is affected by the traders’ behavior. We not only investigate whether the institutional traders’ activities and open interests are the main factors causing expiration-day effect of index futures contracts, but examine the relationship between the role of limit-order trading and abnormal volatility in the futures market. We separate the data into two panels according to the timing that changes the settlement mechanisms, and the result reveals that there is a significant correlation between institutional traders’ activities and expiration-day effect. Before changing the settlement mechanisms, Proprietary Dealer’s level of effect is the greatest. However, the Trust’s level of effect is the greatest after they change the settlement mechanisms.
When we did the research on the transitory price volatility at futures expiration week, the empirical analysis was conducted based on 15-second intervals. The result reveals that there is a significant correlation between the trader’s order behavior and the price volatility of the future market. Basically, if the trader’s buying behavior was aggressive in the previous period, in other words, to use more market buy orders, it would cause the transitory price volatility to decline in the next period. However, if the trader’s selling behavior was aggressive in the previous period, it would cause the transitory price volatility to rise in the next period. After further discussion about the reasons effecting the trader’s prefer to use market buy orders and limit sell orders when they observe a rise on the market price in the previous period, and vice versa. Moreover, Taiwan futures market is and order driven market, which means that the market liquidity is provided by the futures traders, and according to our research result, there is a negative autocorrelation when the market traders use limit sell order, which means that when traders observe that there is a scarcity of limit orders, they will prefer to submit limit orders to replenish the scarcity of liquidity. This result reflects the self-adjusting mechanism of the order flow in Taiwan futures market to maintain the market liquidity. |
