快速交易與台灣期貨市場波動率之關聯

Fast Trading and Volatility in Taiwan Futures Market: The Role of Liquidity

王茲民(Tzu-Min Wang)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓(Dr.Shih-Chuan Tsai)

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.2019.00915

摘要

本研究主要探討台灣期貨市場上的快速交易者對期貨市場波動率的影響，根據Hasbrouck and Saar (2013)研究高頻交易和波動率之間的關係，而Chordia et al. (2005)指出如果市場上出現了一筆大額的委託單，則會引起價格的波動，Chordia et al. (2005)又發現當流動性較低時這種效果會更加明顯，Pereira and Zhang (2010)發現流動性的不確定性會影響市場上交易者的投資意願。
研究結果顯示，當流動性上升時，使得快速交易者對於波動率的影響為顯著負相關，顯示當交易成本上升時，快速交易者的交易意願下降而使其對市場波動率的影響下降。
而當流動性的不確定性增加時，快速交易者對市場波動率影響為顯著負相關，說明當流動性的不確定性增加時，快速交易者的交易意願降低，對市場波動率的影響也隨之減少，而外資則具有較為良好的資訊能力，當流動性的不確定性減少時，則會進入市場，消耗掉市場的波動率。

關鍵字

快速交易 ； 流動性 ； 台股期貨 ； 波動率

並列摘要

This study focuses on the impact of fast traders on the futures market volatility in Taiwan's futures market, and studies the relationship between fast traders and volatility according to Hasbrouck and Saar (2013), while Chordia et al. (2005) pointed out that if there is a large amount of orders in the market, it will cause price fluctuations, Chordia et al. (2005) also found that this effect is more pronounced when liquidity is low. Pereira and Zhang (2010) find that liquidity uncertainty affects investors' willingness to invest in the market.
The results of the study show that when the liquidity rises, the natural person's influence on the volatility is significantly negatively correlated, indicating that when the transaction cost rises, the natural person's willingness to trade decreases and its influence on the market volatility decreases.
When the uncertainty of liquidity increases, the influence of fast traders on market volatility is significantly negatively correlated, indicating that when the uncertainty of liquidity increases, the investor's willingness to trade decreases, and the market volatility decreases. The impact is also reduced, while overseas investors have better information capabilities. When the uncertainty of liquidity is reduced, they will enter the market and consume the volatility of the market.

並列關鍵字

Fast trading ； Liquidity ； Volatility

參考文獻

1. Benos, E., & Sagade, S. (2016). Price discovery and the cross-section of high-frequency trading. Journal of Financial Markets, 30, 54-77.

2. Berger, D., Chaboud, A., & Hjalmarsson, E. (2009). What drives volatility persistence in the foreign exchange market? Journal of Financial Economics, 94(2), 192-213.

3. Blau, B. M., Bowles, T. B., & Whitby, R. J. (2016). Gambling preferences, options markets, and volatility. Journal of Financial and Quantitative Analysis, 51(2), 515-540.

4. Boehmer, E., & Kelley, E. K. (2009). Institutional investors and the informational efficiency of prices. The Review of Financial Studies, 22(9), 3563-3594.

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