買賣單不平衡、價差和報酬之探討：以台指期貨在台灣期貨交易所及新加坡交易所為例

Order Imbalance, Spread and Return: Evidence from TAIFEX and SGX-DT

黃玉娟(Yu-Chuan Huang) ； 林明白(Ming-Po Lin)

《財務金融學刊》 11卷2期 (2003/08) Pp. 71-98

https://doi.org/10.6545/JFS.2003.11(2).3

摘要

本研究以新加坡交易所之摩根台指期貨契約次台灣期交所之台灣指數期貨契約為樣本，實證不同交易機制下買賣單不平衡和價差型態，以及日內交易型態並比較二市場在處理買賣單不平衡方面的能力。實證結果發現在委託單驅動市場，TAIFEX之買賣單不平衡和價差呈現倒U型態，即在買賣單不平衡時價差為最小；而在報價驅動市場，SGX-DT之買賣單不平衡和價差呈現U型態，即在買賣單不平衡時價差為最大。由此型態隱含在委託單驅動市場發生買賣單不平衡時交易成本降低，此時應能吸引交易者較迅速重新回到市場交易的意願；而報價驅動市場在發生買賣單不平衡時交易成本的高漲，應抑制交易者的交易意願，使市場發生停滯的現象。經由買賣單不平衡和報酬的衝擊反應函數分析，發現TAIFEX報酬受買賣單不平衡的衝擊較SGX-DT小，且買賣單不平衡回覆均衡的時間較快，顯示TAIFEX在買賣單不平衡時，較SGX-DT更具市場深度反彈性。

關鍵字

交易機制 ； 買賣單不平衡 ； 價差 ； 日內型態 ； 流動性

並列摘要

We use Taiwan stock index futures traded on TAIFEX and SGX-DT to examine the spread patterns under order imbalances. The Results show that the spreads are maximized when orders are imbalanced and minimized when orders are balanced in quote driven market (SGX-DT), Whereas, the spreads are minimized when orders are imbalanced and maximized when orders are balanced in order driven market (TA IFEX). The intraday patterns of buyer (seller) initiated number of trade are found to be U-shaped. We investigate the dynamic relation between return and order imbalances. The results show that the TAIFEX is more resilient and deeper than SGX-DT.

並列關鍵字

Trading Mechanism ； Order Imbalance ； Spread ； Intraday pattern ； Liquidity

參考文獻

Admati, A. R.,Pfleiderer, P.(1988).A Theory of Intraday Patterns: Volume and Price Variability.The Review of Financial Studies.1

Admati, A. R.,Pfleiderer, P.(1989).Divide and conquer: A theory of intraday and day of the week mean effects.Review of Financial Studies.2

Amihud, Y.,Mendelson, H.(1987).Trading Mechanism and Stock Returns: An Empirical Investigation.The Journal of Finance.42(3)

Blume, M.,Mackinlay, A.,Terker, B.(1989).Order imbalances and stock price movements on October 19 and 20, 1987.Journal of Finance.44

Brock, W. A.,Kleidon, A. W.(1992).Periodic Market Closure and Trading Volume: A Model of Intraday Bids and Asks.Journal of Economic Dynamics and Control.16(3)