總統選舉事件對台灣期貨市場交易時距之影響

The Impact of Presidential Election on the Trading Durations on Taiwan Futures Market

簡意萍(Yi-Ping Chien)

指導教授 ： 邱建良

共同指導教授 ： 李彥賢

淡江大學/商學院/財務金融學系碩士班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.00048

摘要

由於高頻率日內交易資料的取得，有越來越多的文獻去探討交易時距，而時距在市場微結構中扮演重要的角色。過去學者多採用固定的時間間隔資料，但這樣可能使金融市場上部份的訊息流入無法充分被衡量。
本研究以台灣加權股價指數期貨作為樣本，利用指數分配自我相關條件時距模型分析選舉事件在全體交易人及不同交易身份者之下，對期貨市場價格變動時距及各因素的關聯，包含交易量、買賣別和報酬率，透過聯合檢定發現，除了本國法人外，皆呈現選前選後有顯著差異之現象。再者，觀察各交易人之價格變動時距與平均期望價格變動時距之關聯，實證結果發現，本國自然人和境外外國機構投資人之平均期望價格變動時距較全體交易人之平均期望價格變動時距長。另外，以GARCH模型探討平均期望價格變動時距對價格與交易量變動率之關聯，其實證結果發現，重大選舉事件確實會對市場造成影響。

關鍵字

指數分配自我相關條件交易時距模型 ； 市場微結構 ； 價格變動時距 ； GARCH模型

並列摘要

There are more and more literatures to discuss the duration because the high frequency intraday data are obtained easily. The duration plays an important role in the microstructure market. Most of scholars employ fixed interval data to investigate the related issues in the past, but this possibly measure the influence of information incompletely.
In this study, drawing out TXF as sample data and selecting the EACD model to examine the influence of the Taiwan presidential election on the price durations of all traders and different traders with many variables, including volume, buy/sell code and return. The result show that except domestic institutional investors there are significant differences between the pre- and post-presidential election. Then, observing the relation of price durations and conditional mean durations of every traders find that the conditional mean durations of individual investors and overseas foreign institutional investors are longer than the conditional mean durations of all. In addition, applying GARCH model to discuss the relation between conditional mean durations and change rate of price or change rate of volume. The empirical results indicate the important election activity can actually make impact on the finance market.

並列關鍵字

EACD model ； Market Microstructure ； Price duration ； GRACH model

參考文獻

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