不同市場波動下快速交易對期貨流動性的影響

The Impact of Fast Trading on Futures Liquidity under Different Market Volatility

潘俊羽(Jun-Yu Pan)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓

淡江大學/商管學院/財務金融學系碩士班/碩士(2019年)

https://doi.org/10.6846/TKU.2019.00761

摘要

本研究探討台灣期貨市場快速交易對流動性之影響。依據美國證券交易委員會(SEC)以及歐洲證券及市場管理局(ESMA)歸納出的高頻交易者特徵來做為本研究定義快速交易之條件，即持倉時間短、交易量大。
此外，再依據Carrion(2013)將快速交易者分為流動性供給以及流動性需求，透過Kang and Yeo(2008)和Lin et al.(2012)之構建的交易成本變數，探討台股期貨快速交易對流動性的影響。後續研究根據Zhang (2010)以及Lin et al.(2017)利用VIX指數所篩選之市場高波動區間方法，繼續探討台股期貨快速交易在市場高波動區間對流動性是否有不同影響。
本研究結果發現，台股期貨快速交易者在市場正常波動區間或高波動區間對流動性均有改善，但在市場高波動區間對流動性的改善效果較低。

關鍵字

台股期貨 ； 快速交易 ； 流動性 ； 高波動區間

並列摘要

This study explores the impact of fast trading in Taiwan's futures market on liquidity. According to the high-frequency trader characteristics summarized by the US Securities and Exchange Commission (SEC) and the European Securities and Markets Authority (ESMA), the conditions for defining fast transactions for this study are short-term and large trading volume.
In addition, according to Carrion (2013), fast traders are divided into liquidity supply and liquidity demand. Through the transaction cost variables constructed by Kang and Yeo (2008) and Lin et al. (2012), the fast trading of Taiwan stock futures is discussed. The impact on liquidity. Subsequent research, according to Zhang, Frank (2010) and Lin et al. (2017), using the market high volatility interval method selected by the VIX index, continues to explore whether the fast trading of Taiwan stock futures has different effects on liquidity in the market high volatility range.
The results of this study show that the fast-track traders of Taiwan stock futures have improved liquidity in the normal fluctuation range or high fluctuation range of the market, but the improvement effect on liquidity is low in the high fluctuation range of the market.

並列關鍵字

Taiwan stock futures ； Fast trading ； Liquidity ； High volatility range

參考文獻

參考文獻

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