台指選擇權快速交易對市場流動性之影響

The impact of Fast Trading on Liquidity in the Options Market

李庭瑄(Ting-Hsuan Lee)

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.2019.00949

摘要

本研究探討台指選擇權(TXO)快速交易對市場流動性之影響。根據Locke and Mann (2005) 採用平均持倉時間和交易量等標準，依據條件，篩選出台指選擇權中的快速交易者，並計算出快速交易者買賣成交量佔市場中的比例。本研究使用Kang and Yeo (2008) 和 Lin et al. (2012) 建構之交易成本衡量台指選擇權市場之流動性，檢驗快速交易是否有助於改善市場流動性，探討當快速交易者為流動性需求者或流動性供給者，兩種不同角色時，對市場流動性之影響。由於各類投資人所掌握之資訊與技術設備不同，為觀察出彼此間的差異，再依據投資人身分類別進行分類，分為全市場、外資、本地法人及散戶。最後，本研究將篩選出的快速交易者依照Benos and Sagade (2016) 區分為三種不同的積極度類型探討其分別對於市場流動性之影響。
從全市場的快速交易者對市場流動性的影響中可發現，快速交易可以降低交易成本，進而提高市場流動性。不同類別的投資人對於流動性的貢獻也不相同，在將快速交易者分為外資、本地法人及散戶三類之後，從買權方面而言，又以外資對市場流動性影響最大，因其掌握資訊的能力較佳，為主要的流動性供給者。從賣權方面而言，又以散戶對市場流動性影響最大，為主要流動性供給者。進一步區分積極度後可發現不同積極度的投資人對於市場流動性的影響亦為不同。從買權方面而言，積極型外資快速交易者為市場上主要的流動性供給者，由於其對市場上的變動有較好的反應能力；從賣權方面而言，被動型的本地法人快速交易者為正向顯著相關，顯示消耗了市場流動性，為市場上主要的流動性需求者。

關鍵字

快速交易 ； 積極度 ； 選擇權 ； 交易成本 ； 流動性

並列摘要

This study explores the impact of the fast trading of TXO on market liquidity. According to Locke and Mann (2005), the fast traders in the option of the index finger are selected, and the proportion of the fast trader's trading volume in the market is calculated. This study uses the transaction costs constructed by Kang and Yeo (2008) and Lin et al. (2012) to measure the liquidity of the market for the option market, and to test whether fast trade can help improve market liquidity and explore how fast traders are mobile. Since the information and technical equipment possessed by various investors are different, in order to observe the differences between them, they are classified according to the investor's identity categories, and are divided into the whole market, foreign investment institution, domestic institution and retail investors. Finally, this study will explore the impact of their respective market liquidity on three different types of aggressiveness.

Different types of investors have different contributions to liquidity. After dividing fast traders into foreign investment institution, domestic institution and retail investors, from the perspective of call, foreign investment institution has the greatest impact on market liquidity. The ability to have information is better and is the main liquidity provider. In terms of put, retail investors have the greatest impact on market liquidity Also, they are the main liquidity providers. Further differentiation of enthusiasm can reveal that investors with different enthusiasm have different effects on market liquidity. In terms of call, aggressive fast traders of foreign investment institution are the main liquidity providers in the market, because they have better responsiveness to market changes; From the perspective of put, passive fast traders of domestic institution are significantly positively correlated, indicating that market liquidity is consumed and is the primary liquidity demander on the market.

並列關鍵字

Fast Trading ； Aggressiveness ； Option ； Trading Costs ； Liquidity

參考文獻

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