- 學位論文
各VPIN指標於市場崩跌時之差異–以臺灣加權股價指數期貨於2015/8/24崩跌為例
The Effects of Different VPIN Indicators during the Crash–Evidence from Taiwan Stock Index Futures on August 24th, 2015
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摘要
對於 2015 年 8 月 24 日臺灣加權股價指數期貨（台指期）發生的崩跌，在實證中本文發現Easley、Prado and O’Hara 之 VPIN（volume-synchronized probability of informed trading）累積機率密度函數之圖形近似於 Easley et al.（2012）的研究結果。Ke and Lin（2016）額外加入時間資訊之 VPIN 之累積機率密度函數圖形則呈現先下滑後上升的 V 形走勢，初步地提供了本次崩跌或許並非知訊交易者所造成的證據。本研究進而檢驗 VPIN 相關之估計參數，發現整體知訊交易者與非知訊交易者的比例 (μ/ε) 卻反而是無差異或減少的，代表知訊交易者的相對佔比在台指期崩跌時並無顯著增加的情形。基於 VPIN 估計參數之迴歸分析結果，同樣證實了本次崩跌是因投資人對於全球經濟之不確定性所產生的恐慌性賣壓而導致，並非由知訊交易者所造成，但知訊交易者在認知到市場已然超跌之後，方開始進場買入台指期，使知訊交易者對台指期價格之效果為正。因此，本研究認為得力於時間資訊之 VPIN（Ke and Lin, 2016），的確比起僅使用買方或賣方驅使交易量資訊估計之 VPIN 更能合理地解釋本次台指期崩跌的來由。 最後，本研究以台指期價格之實際波動定義 price duration，若價格滿足一預設條件後即為一個 bucket，並用於估計 VPIN。本文發現在市場的波動增加時，bucket 的數量增加、VPIN 更新的頻率亦相對較快，相比 Easley et al.（2012）以一固定交易量切割 bucket 的方式，本研究認為 price duration 於金融市場中更為適用。
並列摘要
For the crash of Taiwan Stock Index Futures (TX) on August 24th, 2015, we found that the cumulative distribution function of Easley, Prado and O’Hara’s VPIN (volume-synchronized probability of informed trading) is similar to Easley et al. (2012). The VPIN model that Ke and Lin (2016) add time information into shows a V shape curve, preliminarily providing the evidence that informed trader did not cause the crash. Afterwards, from the test results of VPIN parameters, we found that the ratio of informed to uninformed traders (μ ε) ⁄ is either less or unchanged, indicating that informed traders compared to total traders did not statistically increase during the crash. According to the regression of price on VPIN parameters, it also proves that the crash was caused by the panic selling from uninformed traders due to the uncertainty of global economy. What informed traders did was to buy TX when market was remarkably low. Therefore, we argued that the VPIN with information of time and buy or sell volume (Ke and Lin, 2016) can more reasonably explain the origin of the crash compared to VPIN with only buy or sell volume information. Finally, we used practical volatility to define price duration. A VPIN will be computed if a predetermined condition is satisfied and a new bucket is defined. We found that bucket numbers increased and VPIN renewed more often when market was unstable. Compared to Easley et al. using a fixed volume to define bucket, we believed price duration is more suitable for financial data.
參考文獻
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