期貨跨月價差的價格發現

The price discovery of futures spread

李兆益(Lee, ChaoI)

指導教授 ： 張焯然

國立清華大學/科技管理學院/計量財務金融系/碩士(2013年)

摘要

在期貨市場當中，次近月或遠月契約的交易量經常小於近月之交易量，但是彼此的價格變動卻是高度相關的同向變動，故我們想利用市場微結構中的買賣方啟來探討期貨近月和次近月之間的價差變化是否存在有時間序列的相關性或者近月領先次近月之情形。
在市場微結構裡面，常用買方啟動(buyer-initiated)和賣方啟動(seller-initiated)去判斷市場存在訊息交易機率(probability of informed trading；PIN)或者市場摩擦(market friction)之情況，亦有學者拿其來估實際波動率(realized volatility)和不同投資者之買賣行為表現；在早前，我們通常使用Tick Rule和Quote Rule來判斷買方啟動和賣方啟動之情形；之後在Lee and Ready(1991)、Ellis, Michaely and O’Hara(2000)等文章中提到了結合上述兩種方法的檢定方法，改善了此兩種方法的不能分類的部分，提升他們預測的成功率(success rate)。
根據實證模擬後，我們選擇使用Lee and Ready(1991)的方法來判斷買賣方啟動的結果，將近月和次近月之期貨成交之tick資料整理成買賣方啟動的數列，以進行近月遠月期貨契約的價差變動研究，看其是否存在特別的關係。
我首先利用近月、次近月契約期貨的買賣方啟動數列嘗試去解釋近月和次近月期貨價格的變動，而 Huang and Chou(2007)利用買賣方啟動組成OI( order imbalance)的數列去解釋市場上不均衡情況，我們亦利用此一方法來估計期貨價差變化的絕對值，同時也利用買賣方啟動數列與理論價差去解釋期貨價差的變化，比照兩種結果以求推論出買賣方啟動是否具有解釋價差變動方向的能力。

關鍵字

市場微結構 ； 期貨價差 ； 買方啟動 ； 賣方啟動

並列摘要

In the futures market, the volumes of second-nearby contacts are often less than the volume of nearby contacts, but there is high positive correlation of price changes. Thus, the purpose on buyer-initiated and seller-initiated of market microstructure to explain futures spread, we guess there are time series or nearby contracts which lead to second-nearby contracts.
To discuss the percentage of the informed trading in the market and the situation of market friction, we usually use buyer-initiated and seller-initiated to analyze probability of informed trading and market friction , and also estimate realized volatility or trading behavior for different traders. In the past, we use tick rule and quote rule to determine buyer-initiated and seller-initiated. Lee and Ready(1991) and Ellis, Michaely and O’Hara(2000) combine two rules and increase the classification success rate.
By Empirical simulation, we decide to use Lee and Ready(1991) to determine buyer-initiated and seller-initiated , and we use the method to arrange tick data of futures spread research.
First, we use buyer-initiated and seller-initiated series of nearby and second-nearby contracts to explain price change. Huang and Chou(2007)combine buyer-initiated and seller-initiated to explain order imbalance(OI) series. Therefore, we also use this method to the absolute value of estimation of futures spread. Besides, we try to use buyer-initiated and seller-initiated to interpret to futures spread change between these two methods.

參考文獻

Chung, Kee H. and Chairat Chuwonganant (2002): ”Tick size and quote revisions on the NYSE”, Journal of Financial Markets Vol. 5, Issue 4, pp. 391-410

Frino, Alex and Michael D. Mckenzie (2002): ”The Pricing of stock index futures spreads at contract expiration”, The Journal of Futures Markets, Vol. 22, No. 5, 451–469

Gideon Saar (2001) :“Price impact asymmetry of block trade: an institution trading explanation”,The Review of Financial Studies, Vol.14 no.4 pp.1153-1181.

Huang and Chou(2007): “Order Imbalance and Its Impact on Market Performance: Order-driven vs. Quote-driven Markets”,Journal of Business Finance & Accounting,Vol.34,No.9 & 10, 1596–1614, 0306-686X

Lee, Charles M. C. and Mark J. Ready (1991): ”Inferring Trade Direction from Intraday Data”, The Journal of Finance, Vol. 46, No. 2, pp. 733-746