本研究採用高頻之日內資料,首先討論台灣指數期貨市場之日內型態,並進一步區分交易人類別,探討各類交易人行為與買賣價差之間的關聯性,最後透過迴歸模型,分析台灣指數期貨市場,各類交易人行為對波動性的影響。 實證結果顯示: 1.台灣指數期貨市場和其他國外市場同樣存在日內效應,其交易量呈現於開收盤期間較大的U型態,而買賣價差與波動性雖具開盤效應,但收盤效應並不明顯,呈現L型態。 2.關於買賣價差:本國自然人之交易較不具資訊且其交易行為較不理性,因此所需承擔風險較大,導致主要由風險因子決定的買賣價差也跟著變大。而處於資訊優勢的期貨自營商與外國機構投資人,其買賣價差決定因子由資訊主導,期貨自營商在台灣指數期貨市場扮演造市者的角色,其交易為了避險而使買賣價差擴大,而外國機構投資人則因擁有資訊而增加交易以提高買賣價差來獲利,達成其交易之主要目的。另外,本國法人的買賣價差主要由交易活動因子決定,當其交易量增加時,會因交易競爭而使買賣價差縮小。 3.關於波動性:期貨自營商與外國機構投資人除了對資訊的解讀與交易的進行都較為客觀外,其交易成本也相對較低,因此交易頻繁而造成市場波動增加。而本國自然人,其交易主要為了提供市場的流動性,因而導致波動減少。
This article investigates the market microstructure of the Taiwan Index Futures Market by analyzing the intraday patterns of bid-ask spreads and volatility. We examine the spread-volume and volatility-volume relation in Taiwan Index Futures Market using volume data categorized by type of investor. Using a linear regression model, we find that both bid-ask spreads and volatility have crude L-shaped patterns on a minute-by-minute basis. We also find that the negative spread-volume relation is driven by the institutional investors. However, the relation between individual investors, dealers, and foreign institutional investors with volume is positive. Moreover, institutional investors and individual investors tend to be negatively associated with volatility. But there is a direct relationship between dealers and foreign institutional investors with volatility.