快速交易積極度對期貨價格變動的影響

The effect of fast trading aggressiveness on price changes in futures markets

田行健(Xing-Jian Tian)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓(Shi-Quan Cai)

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.2019.00776

摘要

本文篩選出台灣期貨市場之快速交易者，為探討快速交易對台股期貨價格變動的影響，根據Carrion (2013)將日內交易區分為流動性供給與流動性需求，計算交易者當日的積極度比率，並將快速交易者分為三個不同類別的積極度，即積極類型(Aggressive)、中性類型(Neutral)、被動類型(Passive)三種類型之快速交易者，探討快速交易積極度對於期貨價格變動的影響。
研究結果顯示，全市場快速交易者對價格變動為顯著正相關，交易量增加會增加市場價格變動程度。本文進一步將快速交易者分為本土法人、外資及散戶，探討這三類快速交易者交易行為對價格變動的影響。外資與本地法人快速交易者對價格變動為顯著負相關，散戶快速交易者對價格變動為顯著正相關。且外資與本地法人被動類型之快速交易對價格變動的降低影響更為明顯，而散戶積極類型至快速交易對價格變動的增加影響更為明顯。外資與本土法人在資訊上具有領先優勢，因此降低市場價格變動幅度，而散戶在資訊上落後於其他類型交易者，因此使市場價格變動幅度增加。且台灣是一個以散戶為主體之新興市場，因此全市場迴歸結果與散戶一致。

關鍵字

快速交易 ； 積極度 ； 價格變動

並列摘要

This thesis screens out the fast traders in the Taiwan futures market.The purpose of this thesis is to investigate if fast traders can affect futures price.Based on Carrion(2013), Benoa and Sagde(2016),fast traders’ aggressiveness can be examined by observing their Demand and Supply toward liquidity.To observe how different aggressiveness affect futures price.This thesis divided fast traders by their trading aggressiveness into three categories:Aggressive,Neutral,Passive.Furthermore,this study has divided fast traders into three categories:Foreign Institutions,Domestic Institutions and Retail,as well as discussed their abilities to affect the futures price.
The results of the study show that fast-trading traders in the whole market have a significant positive correlation with price changes, and an increase in trading volume will increase the degree of market price changes. The Aggressive fast traders have more obvious impact on market price changes than neutral fast traders.When Aggressive fast traders increases trading volume, the market price changes more intensely. This paper further divides fast traders into Foreign Institutions,Domestic Institutions and Retail, and discusses the impact of these three types of fast traders on price changes. Foreign Institutions and Domestic Institutions fast traders have a significant negative correlation with price changes, and retail fast traders have a significant positive correlation with price changes.
Foreign Institutions and Domestic Institutions have a leading position in information and can provide market liquidity, thus reducing market volatility, while retail investors lag behind other types of traders in information and consume market liquidity, thus increasing market volatility. Taiwan is an emerging market with retail investors as the mainstay, so the return of the whole market is consistent with retail investors.

並列關鍵字

Fast Trading ； Aggressiveness ； Price Changes ； Futures Market

參考文獻

1. Baron, M., Brogaard, J.,& Kirilenko, A. (2012). The trading profits of high frequency traders. Unpublished Manuscript

2. Baron, M., Brogaard, J.,& Kirilenko, A. (2014). Risk and return in high frequency trading. Working paper, Cornell University

3. Benos, E., & Sagade, S. (2012). High-Frequency Trading Behaviour and Its Impact on Market Quality: Evidence from the UK Equity Market. Bank of England.Quarterly Bulletin, 52(4), 370

4. Benos, E.,& Sagade, S (2016). Price discovery and the cross-section of high-frequency. Journal of Financial Markets, 30, 54-77 5. Brogaard, J. (2010). High frequency trading and its impact on market quality. Northwestern University Kellogg School of Management Working Paper, 66.

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