快速交易在期貨市場波動率所扮演的角色

Does Fast Trading Push or Relate to the Volatility in the Futures Market?

廖偉晟(Wei-Cheng Liao)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓

淡江大學/商管學院/財務金融學系碩士班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00026

摘要

本研究探討快速交易與期貨市場波動率之關聯性以及對其影響之效果。然台灣目前缺乏高頻交易的環境，因此本研究利用高頻交易的主要特色之持倉時間短以篩選出快速交易。並依Hasbrouck and Saar (2010)之研究，探討快速交易是否與市場波動率存在關聯及進一步研究是否會影響市場的波動率，也分析在市場高波動期間的情形。也將快速交易以不同身分之交易者做區分為外資、自營商、散戶以及其他國內法人探討與波動率之間的不同效果。
本研究發現全市場的快速交易與波動率存在正向關聯性，而此關聯在高波動期間更加明顯。外資在市場出現大量資訊時能利用自身的資訊優勢在市場中交易，而使得其快速交易僅在高波動期間與波動率成正向關係。其餘交易者身分別之快速交易與波動率之關聯與全市場的情形相同。
此外快速交易在非高波動期間對於波動率有降低效果，表示快速交易產生的流動性實能提供予市場，進而使得市場波動率能夠有減緩的趨勢。但其在高波動期間相較於非高波動期間有相反的影響。不同交易者身分的快速交易在非高波動期間也皆能降低波動率，而在高波動期間有一反向影響。

關鍵字

波動率 ； 快速交易 ； 期貨市場

並列摘要

I would like to find out how the fast trading connects with the volatility in futures markets. The effects of fast trading on volatility in futures markets are also taken into account. Due to a lack of the environment for high frequency trading in Taiwan, I integrate high frequency trading with short holding periods to analyze types of fast trading. Based on Hasbrouck and Saar (2010)’s study, I investigate the impact of fast trading on the future market volatility and their correlations. I further analyzed the correlations between volatility and different fast traders such as foreign institutions, domestic dealers, retail investors, and the other domestic institutions during periods of high market uncertainty.
The result reveals that there is a positive correlation between fast trading and volatility in futures markets, particularly more significant during periods of high market uncertainty. Giving full play to their advantages, foreign institutions yield a positive relation with the level of volatility during periods of high market uncertainty. On the other hand, the other traders contribute to similar results between fast trading and volatility in futures markets.
Fast trading, furthermore, has a degrading effect on volatility in futures markets during normal periods. In other words, fast trading brings about higher market liquidity, which in turn slows down volatility in futures markets. In contrast, opposite results are found during periods of high market uncertainty. Generally speaking, different fast traders reduce volatility, which is opposed to some situations in times of high market uncertainty.

並列關鍵字

volatility ； fast trading ； futures market

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