交易人類別與買賣價差間關聯性之探討

The Relationship between Trader Types and Bid-Ask Spread

江賀恒(Ho-Heng Chiang)

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

近年來，台灣期貨市場在流動性提高後成為各類交易人投機與避險的管道，投資人關注於以買賣價差的交易成本，其中以買賣價差成分更受矚目。過去研究雖然討論交易機制與價差成分變化關係，但並未區分交易人型態。本研究將以作為研究目的，探討投資人型態淨買賣委託單市值失衡、交易機制與價差成分變化關係。研究結果發現，當交易機制為集合競價時，外國機構投資人之淨投資流量與訂單處理成本為顯著之正相關，而證劵商與訂單處理成本則為明顯的負相關；國內法人以及期貨自營商與存貨持有成本以及逆選擇成本皆為顯著的負相關；當交易機制為連續競價時，國內自然人以及期貨自營商與訂單處理成本皆為明顯的正相關。逆選擇成本以及存貨持有成本的研究中，各類型交易人皆與逆選擇成本及存貨持有成本並不顯著，但仍可得知國內法人、自然人，以及境外外國機構投資人之淨投資流量與存貨持有成本及逆選擇成本皆呈現反向變動。

關鍵字

交易人類別、買賣價差、淨買賣部位價值比、買賣價差成分

並列摘要

We examine whether the components decomposed by bid-ask spread are influenced by the dollar ratio of net buy sell order imbalance for trader types. Our trader types in Taiwan futures market are foreign institutional investors, domestic institutional investors, futures dealers, individuals, and security dealers using the unique database. Additionally, bid ask spread is partitioned into two components, including order processing costs and inventory holding costs and adverse selection costs. We consider the evolution of trading system from call auction to continue auction in Taiwan futures market. We find that, for the call auction trading system, order processing costs are significantly positive and correlated with the dollar ratio of net buy sell order imbalance for the foreign institutional investors but significantly negative and correlated with dealers. On the other hand, there are significant negative relation between the dollar ratio of net buy sell order imbalance for domestic institutional and futures dealers and inventory holding costs and adverse selection costs. Contrast to continuous auction trading system, we find that, the dollar ratio of net buy sell order imbalance for individuals and futures dealers are significantly positive related to order processing costs, respectively. Although adverse selection costs and inventory holding costs are not significantly influenced by the dollar ratio of net buy sell order imbalance for trader types, the negative direction of two is found for domestic institutional investors, individuals, and foreign institutional investors.

並列關鍵字

trader types ； net buy sell order imbalance ； bid-ask spread components ； bid-ask spread

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