跌幅限制對交易型態影響之研究

A Study of the Price Limit Impact on Trading Patterns

潘少珠(Shau-Chu Pan)

指導教授 ： 邱建良 ； 李彥賢

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.00752

摘要

論文提要內容：本研究以Engle and Russell (1998)的ACD模型探討2008年因次級房貸導致全球性金融危機並引發全球股災，而我國於實施跌幅限制縮小為3.5%措施之前、中、後三段期間內，交易者分別為本國自然人、期貨自營商及外國機構投資人等三種類別之下，其對於台股指數期貨之交易時距與交易量和報酬之間的關係。實證結果為：1. 惟有交易者為期貨自營商之交易時距具有持續力。2. 台股指數期貨之交易量確實因跌幅限制縮小而受影響，並於限制解除後交易量大增，其增加程度為期貨自營商大於本國自然人大於外國機構投資人。3.交易者為本國自然人、期貨自營商與外國機構投資人於實施跌幅限制縮小為3.5%措施之前、中、後三段期間內，其台股指數期貨之交易時距與交易量之間的關係，僅外國機構投資人於實施中及實施後不顯著，其餘二者顯著呈現負向關係；交易時距與交易量和報酬之間的關係，以本國自然人於實施中與期貨自營商於實施後的期間內為顯著。

關鍵字

交易時距 ； 漲跌幅限制

並列摘要

Abstract：
This thesis applies the ACD model to describe the influence of the 2008 price down limit 3.5% on the trading durations of TAIEX futures contracts. We establish three sub-sample periods to examine the relationship of the trading durations of TAIEX futures on the 2008 price down limit 3.5% of Taiwan upon. In three periods, our object have three kinds trader that they are domestic natural person (retail investors), futures dealer and foreign investment institution. In addition, this study investigates the relationship among trading durations, volume and return. According to our results, we found that 1. Futures dealer of trading duration has sustaining power. 2.The influence of volume increase on TAIEX futures is due to price down limit and increases degree of futures dealer is bigger than domestic natural person to be bigger than foreign investment institution. 3.The influence of volume on trading durations are negatively significant in period II and period III of foreign investment institution. The influence of volume and return on trading durations are significant in period II of natural person and in period III of futures dealer .

並列關鍵字

Trading Durations ； Price Limits ； ACD Model ； Cubic Spline

參考文獻

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