投資人積極度對期貨市場效率性之影響

本研究以台灣期貨市場與選擇權市場為標的，比較各類投資人下單積極度對期貨和選擇權市場效率性的影響，市場的流動性為影響價格反應的主要因素之一，期貨市場對於價格反應的速度最為迅速，而後依序為價內選擇權市場，最後為價外選擇權市場。在更細分投資人類別分析顯示，期貨自營商的交易行為會促使市場流動性顯著的提升，接著依序為外資、散戶、國內法人，雖然散戶為市場的主要投資人，但過多的雜訊並無法有效提升市場效率，而期貨自營商不僅提供大量的流動性，精準的下單行為讓資訊迅速的反應至價格上，為最具知訊的投資者。本研究使用Ekkehart Boehmer,Eric K. Kelley.(2009)的方法計算每日的效率性指標，以及延用Benston，Irvine and Kandel(2002)觀察不同投資人的下單行為對流動性及市場效率性產生之影響。由於不同投資人之間的訊息傳遞速度及專業程度彼此不同，故在計算上同時區分成外資、散戶、其他法人，自營商等不同交易人，研究是什麼樣的交易人行為會造成價格傳遞不效率。此外，資料期間適逢金融海嘯之際，因此進一步探討各類型交易人在正常市場與市場恐慌時的交易行為是否有差異，證實此研究並不受市場異動而變化。

關鍵字

期貨與選擇權市場；效率性；流動性；資訊交易者

並列摘要

In this paper, we apply the method of Ekkehart Boehmer, Eric K. Kelley.(2009) to investigate the futures market efficiency to examine the impact from order aggressive of different types traders in the TAIEX futures and options market. We also discuss the impact of financial crisis how to affect the investors. After the regression analysis, this paper finds that the information transmission in the futures market is most efficiency, and then is in ITM options market, and finally is OTM options markets. We further distinguish different investors, futures dealer trading behavior will lead to a significant improvement of market liquidity, although the main market is individual investors, but there are many noise traders to decrease market efficiency. On the other hand, futures dealers not only provides liquidity, accurate order behavior promote information react on price. In the period of financial crisis, we further explore different types traders between normal market and market panic behavior whether there are differences, this study confirmed that conclusion is not subject to financial crisis.

並列關鍵字

Futures market ； efficiency ； liquidity ； informed trader

參考文獻

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5. Boehmer, Ekkehart, and Eric Kelley, (2009), “Institutional Investors and the Informational Efficiency of Prices”, Review of Financial Studeis, forthcoming

6. Brorsen, B. W., (1991),“Future Trading, Transaction Costs, and Stock Market Volatility,”The Journal of Future Markets, Vol. 11, No. 2, pp. 153-163

7. Calcagno, R. and S. Lovo, (2006), “Bid-Ask Price Competition with Asymmetric Information between Market Makers,” Review of Economic Studies, Vol.73, pp.329-355.

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投資人積極度對期貨市場效率性之影響

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