選擇權快速交易對價格發現能力之影響

本文參照美國證券交易委員會(SEC)以及歐洲證券及市場管理局(ESMA)歸納之歐美高頻交易特徵篩選臺灣選擇權市場的快速交易(Fast trading)；同時，依循Lien and Shrestha (2009) 提出的修正資訊份額模型(MIS)衡量臺灣選擇權市場與加權指數之間的價格發現能力，並且探討選擇權快速交易對於加權指數價格發現能力之影響，最後更分別針對不同投資人的選擇權快速交易探討對於加權指數價格發現能力的影響。本文結果顯示買權與加權股價指數之價格發現能力相近，賣權相較下價格發現能力則較不明顯。全市場選擇權快速交易似乎對於加權指數價格發現能力並無明顯影響；然而值得注意的是，進行快速交易的散戶對於加權指數價格發現能力有著顯著正向影響。最後，調整快速交易條件進行的穩健性檢驗亦提供了相似結果。

關鍵字

快速交易；選擇權市場；價格發現；修正資訊份額模型

並列摘要

This article applies the Fast Trading (FT) of Taiwan options market screened out by traits of Western High-Frequency Trading from SEC and ESMA. Meanwhile, it measures price discovery between Taiwan options market and TAIEX according to MIS from Lien and Shrestha (2009), and discusses the influences options FT has on TAIEX price discovery. And at last it focuses on options FT of different investors to discuss the impact options FT has on TAIEX price discovery. The result shows call option is similar to TAIEX price discovery, and price discovery of put option is not obvious comparatively. It seems market option FT does not impact on TAIEX price discovery. And it’s worth noting that there is positive influence on retail investor conducting FT for TAIEX price discovery. At last, Robustness Test adjusting the conduction of FT also provides the similar result.