三篇與台灣金融市場微結構及機構投資人相關的論文

Three essays on Microstructure and Institutional Investors of Taiwan Financial Markets

張志宏(Chi-hung Chang)

指導教授 ： 聶建中

共同指導教授 ： 黃文光(Woon Kong Wong)

淡江大學/商學院/財務金融學系博士班/博士(2008年)

https://doi.org/10.6846/TKU.2008.00664

摘要

近年來，機構投資人在台灣金融市場所扮演的角色日益重要。在股票市場中，機構投資人在持股比率及成交量比重上逐年上升；在選擇權市場中，機構投資人所扮演的造市者為市場不可或缺的角色；在期貨市場中，機構投資人亦為重要之ㄧ環。本論文以金融市場微結構的觀點來探討機構投資人於台灣金融市場所扮演的角色等相關議題。 本論文包括有三篇子題：第一部分為「磁吸效應是否來自不知情交易者？臺灣證券交易所的證據」。利用交易檔與委託檔資料，發現臺灣證券交易所漲跌停的價格限制的確導致了磁吸效應的產生。當逼近漲跌停價格時，交易活動會有更大量及更高的波動性。更為重要的是，成交檔資料得以使之檢驗機構投資人與散戶於磁吸效應所扮演的角色。證據顯示磁吸效應係來自不知情的散戶交易者，而當成交量為機構投資人所主導者，磁吸效應則不顯著。對於金融監理政策的啟示為透明性與機構投資人的參與將可減低磁吸效應。 本論文第二部分為「造市者於台灣選擇權市場所扮演角色之研究」。本部分論文探討造市者於選擇權市場所扮演之角色。研究證據顯示於台指選擇權市場中，造市者扮演較為吃重的賣方角色，於賣權市場尤然。在賣權市場中，當造市者最佳買/賣價有參與者，買賣價差將會降低。然而，在買權市場中並未有類似的現象。另一方面而言，委託簿的深度主要係來自非造市者。故推測造市者似為流動性需求者而非流動性供應者。 本論文第三部分為「期貨市場流動性提供之研究」。本部分論文探討台指期貨市場散戶與機構投資人所扮演之角色。研究結果顯示，賣（買）方市場深度隨賣（買）價格呈現單調遞增（減），此與一般研究股票市場之結果有所差異。此外，於買賣價差大時，機構投資人傾向提供流動性。最後，研究結果顯示於交易日之最後交易時段，機構投資人與散戶之市價單比率特別高。推測可能是因股票市場與期貨市場擁有私有訊息之差異所致。

關鍵字

磁吸效應 ； 委託簿 ； 期貨與選擇權市場 ； 造市者與機構投資人

並列摘要

Recently, institutional investor plays more and more important a role on Taiwan financial markets. On the stock market, the ratios of share holding and volume of institutional investors are increasing. On the option market, the role of market maker played by institutional investor is indispensable. On the future market, institutional investor also plays an important role. This dissertation discusses the microstructure issues of institutional investor, especially the topics of the role of institutional investors on Taiwan financial markets.
This dissertation consists of three essays: The title of part 1 is “Are Magnet Effects Caused by Uninformed Traders? Evidence from Taiwan Stock Exchange.” Using transactions and quotes data, significant magnet effects of price limit rules in Taiwan Stock Exchange (TSEC) is confirmed. When limit hits are imminent, trading activities intensify with higher volumes and volatility. More importantly, my transactions data allows me to examine the roles of institutions and individuals in the magnet effects on the TSEC. There is strong evidence that the magnet effects are caused by uninformed individuals, whereas if trade volumes are dominated by institutions, no significant magnet effect is found. The policy implication is that transparency and institutional participation can help to remove magnet effects.
The title of part 2 is “The Role of Market Makers on the Taiwan Options Markets.” In this essay, I investigate the role that market makers play on the TXO (TAIEX Option) market. The evidence shows that market makers play more important a role as sellers on the TXO market, especially on the put market. The spread has been narrowed down on
the put market when market makers participant on the best bid/ask sides. However, no evidence shows similar phenomenon on the call market. On the other hand, the majority of depth on both buy-side and sell-side is offered by non-market makers. I conclude that market makers of TXO play the role as liquidity demanders more than the role as liquidity providers.
The title of part 3 is “Liquidity Provision of Futures Markets.” In this essay, I investigate the trading behaviors of individual and institutional traders on the TAIEX (TX) stock index futures market. Evidence shows that the depth supply at multiple prices is different to that of stocks markets. Depth displays a normal demand/supply curve. That is, depth is monotonically increasing on the buy (sell) side as bid (ask) price decreases (increases). Besides, I find that institutional traders offer liquidity when the spread is wide. Finally, the evidence shows that the market order percentage of both individual and institutional traders is extremely higher in the last interval of trading day. I conjecture it may be due to the difference in owning private information between stocks markets and stock index markets.

並列關鍵字

price limit ； magnet effect ； limit order book ； futures and options markets ； market makers and institutional traders

參考文獻

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