期貨快速交易對價格發現能力之影響

The Effect of Fast Trading on Price Discovery in Taiwan Futures Market

張藝耀(Yi-Yao Chang)

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(2018年)

https://doi.org/10.6846/TKU.2018.00905

摘要

本研究探討臺灣期貨市場快速交易對價格發現能力之影響。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、交易量大及委託對成交比率高。此外，透過 Lien and Shretha (2009) 提出的修正資訊份額模型來衡量臺股期貨與加權股價指數的價格發現能力。最後利用篩選出快速交易者，探討其對臺股期貨價格發現能力之影響。
研究結果顯示快速交易總成交量增加，會降低臺股期貨對股價指數的價格發現能力。在不同投資人類型中，境內機構法人快速交易增加時，不論是從全市場、買方或賣方的角度，發現皆會降低臺股期貨之價格發現能力；境外機構法人及散戶快速交易只有在其淨買賣量增加時，才會降低臺股期貨之價格發現能力。

關鍵字

快速交易 ； 修正資訊份額 ； 價格發現 ； 期貨市場

並列摘要

This thesis investigates the effect of fast trading on price discovery in Taiwan Futures Market.According as the United States Securities and Exchange Commission (SEC) and the European Securities and Markets Authority (ESMA) induces the transaction characteristics of high-frequency traders,we use these conditions to define fast trading in this thesis, namely short holding time, large volume, and high Order to trade ratio.In addition, we use a modified information share model proposed by Lien and Shretha (2009) to measure the price discovery ability of Taiwan Futures Market.At last, the thesis has discussed the influence of fast traders on the price discovery ability of Taiwan Futures Market.
The results shows that the increase in fast trading will weaken the price discovery ability of Taiwan Futures Market.In different types of investors,when the fast trading of domestic institutional investors increase, whether from the perspective of the whole market, the buyer or the seller,the price discovery ability of Taiwan Futures Market will weaken.Foreign institutional and retailer weaken the price discovery ability of Taiwan Futures Market only when net sales increase.

並列關鍵字

Fast Trading ； Modified information share ； Price dicovery ； Futures Market

參考文獻

1.謝文良，(2002)，「價格發現、資訊傳遞、與市場整合-臺股期貨市場之研究」，財務金融學刊，第十卷第三期，頁1-31。

2.Adämmer, P., Bohl, M. T., & Gross, C. (2016). Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?. Journal of Futures Markets, 36(9), 851-869.

3.Aldridge, I. (2013).High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems. John Wiley & Sons.

4.Baillie, R. T., Booth, G. G., Tse, Y., & Zabotina, T. (2002). Price discovery and common factor models. Journal of Financial Markets, 5(3), 309-321.

5.Booth, G. G., So, R. W., & Tse, Y. (1999). Price discovery in the German equity index derivatives markets.Journal of Futures Markets, 19(6), 619-643.