隱藏性交易假說研究：以台灣期貨市場為例

Stealth-trading Hypothesis Research：Evidence from Taiwan Futures Market

劉忠融(Zhong-Rong Liu)

指導教授 ： 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2011年)

摘要

本研究旨在探討台灣期貨市場各類型交易人是否存在隱藏性策略交易行為。換言之，本研究探討期貨各類交易人每日交易規模與報酬間關係。本研究將交易人區分為本國法人、本國自然人、期貨自營商、外國機構投資人、證券商五大類。本文將交易規模區分委託買單與賣單，並將每天每次交易委託數量區分每次委託二口、三口、四口、五口與五口以上等五個交易規模變數。研究期間為1999/1/1-2007/12/31。實證結果，本研究以期貨價格變動幅度衡量委託單的內涵，發現本國法人與本國自然人大型委託單隱藏較多私有訊息，代表本國法人與本國自然人在大型委託單傳遞較多訊息，本國法人與本國自然人為了避免私有資訊被發現，也會利用大型委託單在期貨市場交易，意味價格波動的推動主要來自於私有資訊或資訊之交易者。此外，令人訝異的事，本研究發現本國自然人在大型委託單交易行為似乎與本國法人相似，也存在私有資訊，意味部份自然人擁有群聚現象。

關鍵字

隱藏性交易 ； 價格波動 ； 交易規模

並列摘要

This study investigates the relationship between daily trade size for trader types and returns in Taiwan futures markets. Our unique intraday dataset identifies domestic institutional investors, individuals, futures dealers, foreign institutional investors, and securities dealer, respectively and the direction of buy and sell orders. Each trade is classified into two, three, four, five, and more than five contracts trade-size categories. Our sample period is for the period from January 1, 1999 to December 31, 2007. According to the stealth trading hypothesis proposed by Barclay and Warner (1993), domestic institutional investors and individuals will choose three or four contracts trade-sizes to make trades, while domestic institutional investors and individuals will choose more than five contracts trade-sizes to make trades. On the other hand, it is very surprised that stealth trading activities for individuals are the same as one for domestic institutions, suggesting the clustering effect for some individuals.

並列關鍵字

stealth trading hypothesis ； trade size ； price volatility

參考文獻

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