交易持續時間與交易價格衝擊之關係

The Relationship between Time Duration and Price Impact of Trades

菅瑞昌(Andy Chien)王健聰(Jan-Chung Wang) ； 闕河士(Horace Chueh)

《管理與系統》 16卷4期 (2009/10) Pp. 533-554

摘要

本研究以採取電腦自動撮合制度的台灣期貨交易所爲研究對象，檢驗台股指數期貨的交易持續時間與交易價格衝擊的關係。實證發現，兩者之間存在著倒U型的非線性關係，而過去文獻卻指出，在具有造市者的報價驅動市場中，二者則具有負的線性關係。此項差異可能是起因於，電腦自動撮合市場的限價委託單交易者，無法如同造市者一般快速地調整報價。此外，實證結果也顯示，位於開收盤時段和成交量較大的交易，以及交易前較小的報價深度，都會使價格產生較大的變動。

關鍵字

市場微結構 ； 交易持續時間 ； 資訊不對稱

並列摘要

This study examines empirically the relationship between the time duration and the price impact of trades for the TAIEX index futures traded on TAIFEX which is an electronic order-driven market. The results show that a U shape nonlinear relationship between the time duration and the price impact of trades. In contrast, the previous literature documents a negative relationship in the quote-driven market with market makers. The phenomenon may attribute to the slower adjustment of quote by limit order providers in the electronic order-driven market than by market makers. In addition, trades have a greater impact on quotes in the open and the close of a trading day. Trades with larger trading volume and smaller depth have a greater impact on quotes.

並列關鍵字

Market Microstructure ； Trade Time Duration ； Asymmetric Information

參考文獻

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