期貨快速交易對流動性的影響

The Impact of Futures Fast Trading on Liquidity.

於卓逸(Zhuo-Yi Yu)

指導教授 ： 蔡政言 ； 林蒼祥

淡江大學/商管學院/國際企業學系碩士班/碩士(2019年)

https://doi.org/10.6846/TKU.2019.00096

摘要

本研究探討台灣期貨市場快速交易對流動性之影響。Lin et al. (2017)指出台灣為新興市場，散戶在市場中的作用舉足輕重，所以本文也將探討不同身份別快速交易者對於市場流動性的不同之處。Brogaard et al. (2014)認為不同積極度的交易者會擁有著不同的資訊，故本文將進一步探究不同積極度快速交易者對市場流動性的影響。本文依據歐洲證券及市場管理局 (ESMA)歸納出的高頻交易者特徵：委託對成交比例高、平均持倉時間短，來做為本研究定義快速交易之條件。最後利用篩選出的快速交易者，探討其對台灣期貨市場流動性之影響。基於台灣市場為委託單驅動之特性，本文不使用歐美所常用流動性代理變數-價差，而採用交易成本(CTT)來衡量市場流動性。
本文研究發現快速交易與交易成本呈現顯著負相關，即快速交易有利於市場流動性。本文進一步將快速交易依交易者身份別分解，發現散戶快速交易者為流動性的供給者，外資、本地法人快速交易者為流動性的需求者。最後通過對快速交易者以積極度分類，發現積極類型與中性類型的散戶快速交易者對於市場流動性改善貢獻最大。
本文也通過選用不同研究樣本與篩選比例、高波動區間進行了穩健性檢驗，都取得了類似結果。

關鍵字

快速交易 ； 流動性 ； 台股期貨 ； 積極度 ； 交易人身份別

並列摘要

This study explores the impact of fast trading in Taiwan's futures market liquidity. Lin et al.(2017) believe that Taiwan is an emerging market, the role of retail investors is very important, so this article will also explore the differences between different identity investors. Brogaard et al.(2014) believe that different enthusiasm traders have different messages that have different effects on market liquidity, so this article will further explore the impact of different positive investors on market liquidity.According to the high-frequency trader characteristics summarized by The European Securities and Markets Authority, the conditions for defining fast trading for this study are that the order-to-trade ratio is high and meantime is low . Finally, the use of selected fast traders to explore their impact on Taiwan’s futures market liquidity .Because of the order driven market of the Taiwan’s futures market, this paper apply the cost-to-trade(CTT) to measure market liquidity.
The study found that fast trading and CTT are significantly negatively correlated, that is, fast trading can improve market liquidity. In this paper, the fast trading are further decomposed according to the investors, and it is found that retail ' fast trading are the suppliers of liquidity, Foreign and Domestic Institutional Investors' fast trading
III
are the requester of liquidity. And we found that the aggressive and netural retail investors contribute the most to the improvement of market liquidity.
Finally, the paper uses different samples and high fluctuation intervals to carry out the robustness test, and all have achieved similar results.

並列關鍵字

Fast trading ； Liquidity ； Taiwan futures market ； Cost to trade ； Aggressiveness ； Trader identity

參考文獻

參考文獻

1. Bagehot, W. (1971), “The only game in Town.” Financial Analysis Journal, 27, 12-14.

2. Bloomfield, R., O’hara, M., & Saar, G. (2005). The “make or take” decision in an electronic market: Evidence on the evolution of liquidity. Journal of Financial Economics, 75(1), 165-199.

3. Benos, E.,& Sagade, S (2016). Price discovery and the cross-section of highfrequency. Journal of Financial Markets, 30, 54-77

4. Brogaard, J., Hendershott, T., & Riordan, R. (2014). High-frequency trading and price discovery. Review of Financial Studies, 27(8), 2267-2306.