台股指數期貨未平倉量、市場深度與成交量互動之研究

The Interaction between Open Interest, Market Depth and Trading Volume: Evidence from the Taiwan Futures Exchange

林彥均(Yen-Chun Lin)

指導教授 ： 謝文良

淡江大學/商學院/財務金融學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00039

摘要

Bessembinder and Seguin（1992,1993）首度將未平倉量當作市場深度的代理變數來探討對現貨市場的影響，並且認為未平倉量代替市場深度的說法相當具有合理性，而本文依照Kyle(1985)對市場深度的定義，以直接的方式來衡量，透過委託單的總和來代表市場深度，探討與未平倉量間的相互關係，並且加入成交量變數來予以討論分析。以台灣股價指數期貨作為研究標的，研究期間從2003年4月1日至2004年3月31日。實證結果發現未平倉量領先於市場深度及成交量，以及市場深度與成交量之間互為因果關係；且非預期未平倉量與市場深度呈現顯著地正向關係，而與預期的部分卻沒有明顯地證據証明兩者之間具有相關，此部分驗証了Bessembinder and Seguin的說法。此外，未平倉量之絕對增量幅度對市場深度呈現不顯著的影響，而未平倉量絕對減量幅度卻顯著地與市場深度有正向關係。最後，將市場深度區分成買(賣)方，則發現到不論是對未平倉量還是對成交量的影響，皆是對賣方市場的影響程度較買方來得大。而本文的實証結果提供了證據証明未平倉量、市場深度與成交量之間可能具有規則性的改變。

關鍵字

市場深度 ； 未平倉量 ； 市場微結構

並列摘要

Bessembinder and Seguin(1992,1993) use market depth as a proxy of open interest to investigate the impact on spot market. Based on Kyle (1985), this paper uses the sum of limit orders to measure market depth and examines the relationships between open interest and market depth. The analysis uses data from Taiwan stock index futures contracts. The sample period is from April 1, 2003 to March 31, 2004. Results show that open interest Granger-causes market depth and trading volume, with depth and trading volume provide feedback information. Results confirm the statements by Bessembinder and Seguin (1993) that there exists a significant positive relation between unexpected open interest and market depth. However, no relationship is found between expected open interest and market depth. Furthermore, there is no significant relation between market depth and increases in open interest, but market depth and decreases in open interest are positive correlated. Finally, when market depth is partitioned into the buyer depth and seller depth, we find that the seller's market is more influential than buyer's market. This result provides evidence that the relation between open interest, market depth and trading volume may vary in some regular patterns.

並列關鍵字

Market depth ； Open interest ； Market microstructure

參考文獻

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