台灣期貨市場當日沖銷交易、波動度、流動性 及效率性之關聯性分析

The Relationships among Day Trading , Volatility , Liquidity and Efficiency in Taiwan Futures Markets

李哲宇(Che-Yu Lee)

指導教授 ： 林蒼祥

淡江大學/商管學院/財務金融學系碩士班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.00028

摘要

本研究以台灣期貨交易所2008年1月2日至2009年9月30日的期貨資料為主，以大型台股期貨、小型台股期貨、電子期貨及金融期貨為主要研究樣本，使用向量自我迴歸模型來探討當日沖銷交易、波動度、流動性及效率性，等四種變數之間的關聯性分析，以探討本研究各種不同期貨商品之間其影響效果是否相同。
　　根據本研究實證結果顯示，當日沖銷對大型台股期貨及小型台股期貨的波動度、流動性及效率性具有顯著的正面影響效果，此結果顯示當日沖銷會對期貨市場造成較大的波動，從而吸引偏好短線交易的當沖交易人進入市場。此外，愈多的當沖交易，亦會造成買賣價差縮小，造成交易人的交易成本下降，此乃因相對價差下降，從而提升市場的流動性，顯示當沖交易人偏好流動性較高的商品進行交易。當沖交易的熱絡，會造成短期價格的波動相較於長期價格波動來的劇烈，因此短時間期貨市場的流動性會越高，效率性也會提升。
　　本研究亦發現在台灣期貨市場裡，在大型台股期貨、小型台股期貨、電子期貨及金融期貨裡，波動度及流動性之間存在內生關係，彼此之間具有可預測的功能，顯示前期報酬的波動提高會造成當期流動性上升，而市場若處於流動性高檔，也就是交易量大增之時，此時就會使投資人進場投資，造成擴大期貨市場波動度之功能。至於效率性，研究顯示在大型台股期貨及小型台股期貨裡，發現當日沖銷交易會造成效率性提高，至於在電子期貨及金融期貨兩種期貨商品裡，則無此情況發生。

關鍵字

當日沖銷交易 ； 波動度 ； 流動性 ； 效率性 ； 向量自我迴歸模型

並列摘要

In this study, the data of Taiwan Futures Exchange (TAIFEX) dated from 2008/1/2 to 2009/9/30, main TAIEX futures, small TAIEX futures, electronic futures and financial futures are the main research samples. Using Vector Autoregression to explore the relationship among day trade, volatility, liquidity and efficiency to analyze its effect is the same between four various futures commodity.
　　The results show that there is a significant positive effect on the large TAIEX futures and small TAIEX futures volatility, liquidity and efficiency. It indicates that day trade will cause greater fluctuations in order to attract the preference for short-term trader to enter the market. In addition, the more day trader, the narrower the bid-ask spread, and the transaction costs decreased so as to enhance the liquidity of the market. It seems that the traders prefer the transactions which are more liquid. High volume hedge transactions will cause the severe fluctuations of short-term price compared to the long-term price. Therefore, the liquidity in short futures market will not only be higher, but also be efficiency.
　　It also found that the volatility and liquidity exists endogenous relationship in large TAIEX Futures, Mini TAIEX futures, electronic futures and financial futures. Besides, from this evidence we acquired the predictable function when the early return volatility increases will cause increased current liquidity. In addition, if it exits high liquid in frequency trading market, the investors will get into the market and it will expand futures market volatility. As for efficiency, it shows that day trading in the large TAIEX futures and small TAIEX futures will increase the efficiency, but not in the electronic futures and financial futures.

並列關鍵字

day trading ； volatility ； liquidity ； efficiency ； vector autoregressive model

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