台指選擇權之造市者是否為市場上流動性之供給者

本研究使用了台指選擇權2008年1月至2009年3月之日內資料，以15分鐘為一區間來探討造市者是否為選擇權市場流動性供給者。本研究使用市場相關變數以及造市者相關變數利用分組觀察、交易人行為分析以及迴歸分析去衡量造市者與非造市者的報價行為，並考慮造市者在造市所產生的避險成本Delta及隱含波動度之偏斜程度作為控制變數對造市者買賣報價的影響。根據實證結果發現，非造市者於非最佳報價下單比例高於造市者之下單比例，顯示造市者對於流動性的需求較積極。橫斷面分析結果發現，買賣報價皆為造市者時，當去除掉控制變數的變因之後，選擇權越是價外，隱含波動率的偏斜程度越大，則會導致造市者越會擴大價差來獲取持有風險性資產的溢酬。觀察造市者穩定度及競爭程度皆與買賣雙邊皆為造市者之價差呈顯著的正相關，顯示市場流動性佳時，造市者才願意參與造市活動。ILLIQ與價差亦呈負的顯著相關，顯示在市場流動性增加時，造市者有擴大價差的行為，由以上研究發現台指選擇權之造市者並非市場流動性之供給者，而是需求者。

關鍵字

流動性；波動偏斜；報價價差；造市者；穩定度

並列摘要

This paper applies intraday data from 2008/01 to 2009/03, then we also use 15 minutes as a period to discuss whether market makers are liquidity providers or not. We separate data into five sub-data. Furthermore, we use estimated variables and regression model to analysis between the behavior of marker maker and non-market maker. In the regression model, we consider the hedging cost and volatility skew for controlling the effect on market maker’s holding commodity. The estimated variables showed that the proportion of the order by the Non-Marker-maker in best quote is higher than the proportion of the order by the Market-Maker in best quote. This result found that the Marker-Maker is an aggressive market liquidity demander. The regression model showed that when the option is out of money, implied volatility skew will be larger and Market-Maker will widen the quote spread to earn risk premium. The stable rate and the competition rate of Market-Maker were significantly positively correlated with Market-Maker quote spread, it showed that Market-Maker will willing to Market making when the market liquidity is better. The significantly negatively correlation of ILLIQ and quote spread showed that the quote spread will be widen when the market liquidity increased. In brief, this paper found that the Market-Maker of Taiwan option market was liquidity demander instead of liquidity provider.

並列關鍵字

Liquidity ； Volatility Skew ； Quote Spread ； Market Maker ； Stable Rate

參考文獻

1. Amihud, Y., 2002, “ Illiquidity and Stock Returns : Cross-section and Time-series Effects,” Journal of Financial Markets 5, 31-56.

2. Amihud, Y.and H. Mendelson , 1986,“Asset Pricing and the Bid-ask Spread,” Journal of Financial Economics 17, 223-249.

3. Bacidore, J. and G. Safianos , 2002, “ Liquidity Provision and Specialist Trading in NYSE-listed non-U.S. Stocks,” Journal of Financial Economics 63, 133-158.

4. Bakshi, G., C. Cao and Z. Chen, 1997, “Empirical Performance of Alternative Option Pricing Models,” Journal of Finance 52, 2003-2049.

5. Bakshi, G., N. Kapadia, and D. Madan, 2003, “ Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options ,” Review of Financial Studies 16, 101-143.

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台指選擇權之造市者是否為市場上流動性之供給者

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