- 期刊
台灣期貨市場波動性及流動性之動態關聯分析
A Dynamic Analysis of Volatility and Liquidity in Taiwan Futures Market
摘要
本文以臺灣期貨市場交易撮合制度改變事件對日內波動性與流動性動態關係之影響進行研究。由於台灣期貨市場屬於電腦自動競價，市場流動性與潛在成交之報價資訊由交易者共同提供。當市場價格波動加劇時，如果交易者衡量交易成本過大，缺乏報價意願，市場流動性之供給可能因此受影響。實證結果發現，波動性與流動性間之動態關係，在撮合制度改變後當期及落後一期之波動性對於市場買賣雙方之流動性均具有顯著之正向效果，顯示與價單供需自動均衡效果相符合，即短期價格的波動，會使市場深度增加，而市場深度的增加，又會造成回饋效應使短期價格波動減少。證實採逐筆撮合制度，會提高交易者進入市場的意願，因此吸引更多交易者下單進行交易，此時市場的報價深度也隨之增加。此外，流動性本身存在高度的自我相關性，符合本文理論模型所預測之流動性會有群聚效果的現象。另外，流動性的衝擊會降低期貨價格的波動性，而交易撮合制度改變後的流動性衝擊，又可以使波動性在更短時間內反應完畢，此亦證實撮合效率的提高可以使價格反應更加快速。
並列摘要
This paper analyzes the dynamic relationship between the intra-day volatility and liquidity for periods before and after the introduction of continuous auction in Taiwan futures market. The empirical evidence shows that there is a significant positive relationship between the volatility of current and lagged periods and market depth from bids and asks after the adoption of continuous auction trading system. The results indicate that the demand and supply of orders will adjust themselves automatically; in other words, the volatility of short-term prices will enhance the market depth and such enhancement will create a feedback effect and reduce the volatility of short-term prices. The continuous auction system is proved to boost the traders' willingness of liquidity supply. Meanwhile, liquidity is autocorrelated, demonstrating the clustering effect of liquidity. The impulse response function analysis shows that the shock to liquidity will reduce the volatility of future price. In particular, the shock to liquidity after the change of the trading system also shortens the response time for volatility, indicating that the introduction of continuous auction mechanism improves the trading efficiency and hence fasten the price responses.