台股期貨的快速交易和價格發現

Fast Trading and Price Discovery in TAIEX Futures

黃子璜(Zi-Huang Huang)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓(Shih-Chuan Tsai)

淡江大學/商管學院/財務金融學系博士班/博士(2021年)

https://doi.org/10.6846/TKU.2021.00559

摘要

研究使用台股期貨(TX)日内資料逐日統計投資人的交易量和持倉量定義出快速交易，並將快速交易進行流動性拆解為流動性需求和供給。而後通過狀態空間模型將台股期貨價格拆解為恆常性價格和暫時性價格，並考量市場壓力亦將樣本日期區分爲高恆常波動日和高恐慌日分析，以多方面探尋快速交易對價格發現的作用。此外也考量流動性對快速交易的影響，以及快速交易及分類投資人對報酬率的預測。
研究結果顯示台股期貨中確實存在與高頻交易近似的快速交易，且使用此方法篩選出的投資人符合研究的預期。快速交易具有價格發現能力，並在市場壓力時期更為顯著。此外快速交易能獲取委託簿訊息，且市場資訊繁複會影響其流動性需求和流動性供給。而且快速交易流動性需求可以預測報酬率，其中專業投資人預測能力佳。最後的穩健性結果也證明研究結果的合理性。

關鍵字

台股期貨 ； 快速交易 ； 價格發現 ； 市場壓力

並列摘要

This study uses the intraday data of TAIEX Futures (TX) to count the investors' trading volume and position size to define Fast Trading (FT) and dissolves the liquidity of the FT into liquidity demand and supply. Then, the prices were divided into the permanent price and transitory price by the state space model, and the sample dates were divided into High-permanent volatility days and High-VIX days by considering the market stress, to explore the effect of FT on price discovery in various aspects. This study also considers the impact of liquidity on FT, and FT classified investors can predict return.
The results show that there exists FT similar to High-Frequency Trading (HFT) in TX, and the investors selected by this method meet the research expectations in many aspects. FT has price discovery capabilities and is more pronounced under market stress. Also, FT can obtain order book information, and the market information will affect its liquidity demand and liquidity supply. Moreover, FTs’ liquidity demand can predict return, and institutional investors have better predictive ability. The robustness test also proves the results of this study.

並列關鍵字

TAIEX Futures ； Fast Trading ； Price Discovery ； Market Stress

參考文獻

參考文獻

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