台灣期貨市場限價委託簿資訊性與對應之交易策略

The Information Content of Taiwan Futures Market and the Corresponding Trading Strategy

廖中維(Chung-Wei Liao)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓(Shih-Chuan Tsai)

淡江大學/商學院/財務金融學系碩士班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00062

摘要

本文主要是利用Cao,Hansch and Wang(2009)的方法，套用在台灣期貨市場中來研究限價委託簿，了解投資人日內下單的狀況與報酬的關聯來觀察市場上之限價委託單是否有資訊存在，本文利用四種期貨商品日內交易資料重建了不同時間點的限價委託簿原始情況，我們將不只獲得最佳的五檔的報價及未成交量資訊，同時可以清楚明白未成交量是由何筆限價委託單及何種投資人所委託構成，利用迴歸分析後，本文發現大台指與小台指期貨契約中，國內機構法人所擁有資訊最多，外資次之，期貨交易人所擁有之資訊最少，而在金融指與電子指數期貨中，期貨交易人所擁有資訊反而為最多，國內機構法人次之，外資最少。本文接著利用各期貨契約限價委託簿全市場資料所含之資訊性來制定交易策略，以進行日內高頻交易的方式來獲取正報酬。

關鍵字

限價委託簿資訊 ； 交易策略

並列摘要

This paper use the method of Cao,Hansch and Wang(2009) for the Taiwan futures market’s limit order book, we discuss the information content of market limit order book by the relationship of investors’ intraday order and the return. We construct the original intraday situation of the limit order book for four kinds of futures contract of Taiwan futures market, thus, we can get not only the best five quote and the open contract information but the specific order made by which kind of investor.
After the regression analysis, this paper found that in the TX and MTX futures limit order book, domestic institutional investors had the most information, then foreign investors and the individual investor have the least information in the limit order book. The results were different in the TE and TF futures limit order book, individual investor have the most information and the foreign investors had the least information in the limit order book.
The final part of this paper used the information content of limit order of the four kinds of Taiwan futures contracts to form a trading strategy and use this high frequency intraday trading strategy to gain positive return.

並列關鍵字

limit order book ； trading strategy

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