頻繁交易對選擇權流動性之影響

如果市場上有交易者交易行為與造市者相仿，他們會對臺指選擇權市場之流動性帶來怎麼樣的影響？本文定義此交易行為為頻繁交易者，其篩選條件為成交筆數多且留倉時間短，然後觀察頻繁交易者之成交量對於市場相對價差之影響。經本文統計，頻繁交易者一分鐘之委託單裡約有86%為刪改單。且平均一位頻繁交易者之委託單量約為平均一位非頻繁交易者之400倍。因此，本文接著探討頻繁交易者之刪改單對於市場流動性之影響。此外，本文更進一步將頻繁交易者分成存在非人為下單以及不存在非人為下單兩種頻繁交易者。研究結果發現當頻繁交易者之成交量上升時，顯著的使得市場相對買賣價差縮小。而且不論是人為下單或者非人為下單之頻繁交易者，皆可以使得市場相對買賣價差縮小。在刪改單部分，本文發現不同以往之結果，雖然頻繁且存在非人為下單交易者之刪改單可改善市場相對買賣價差。但是，頻繁且不存在人為下單交易者之刪改單會使得買權買賣價差擴大！最後，本文發現不論是何種類別之頻繁交易者皆會使得非頻繁交易之市場成交量提升。

關鍵字

流動性；高頻交易；程式交易；頻繁交易；選擇權

並列摘要

What if there are traders whose trading behaviors are similar to market makers, will they bring the merits to the liquidity of Taiwan options market? First, this paper defines those traders as Frequent Traders (FT), whose trades are more than others and whose positions holding period is shorter than others. And then, I observe the relationship between the trading volume of FTs and market relative bid - ask spread. Besides that, based on the interesting findings, there is around 86 percent of FTs orders are cancelled. I shed light on the relationship, the cancellations and modifications to the market relative bid – ask spread. Furthermore, the orders of FTs equal to 400 times the orders of non-FTs. Ergo, this paper unveils the effect of cancellations and modifications on the market relative bid – ask spread. In addition, this paper further separate FTs into two groups, the existing of non-human behavior and otherwise. The results show that when the trading volume of FTs increases, the market relative bid – ask spread decreases. Either the trading volume from the existing of non-human or otherwise among FTs can deduce the market relative bid-ask spread. In the part of cancellations and modifications, this paper finds out the different outcomes that although the FTs of non-human behavior can reduce the market bid - ask spread, the FTs of otherwise would enlarge the bid – ask spread on call options. Last but not least, all of the FTs would make non-FTs trade more in the Taiwan options market.

並列關鍵字

Algorithm Trading ； High- Frequency Trading ； Liquidity ； Options

參考文獻

1.蔡宜芳，2014，選擇權限價委託簿之資訊內涵對價格的預測能力，淡江大學財務管理學系碩士論文。

2.Amihud, Y., (2002). Illiquidity and stock returns: Cross section and time series effects, Journal of Financial Markets, 5, 31-56.

3.Biais, B., Foucault, T., & Moinas, S. (2015). Equilibrium fast trading. Journal of Financial Economics, 116, 292-313.

4.Brennan, M., Chordia, T., & Subrahmanyam, A. (1998), Alternative factor specific cations, characteristics and the cross-section of expected stock returns, Journal of Financial Economics, 49, 345-373.

5.Brogaard, J., Hendershott, T., & Riordan, R. (2014). High-frequency trading and price discovery. Review of Financial Studies, 27, 2267-2306.

國際替代計量

頻繁交易對選擇權流動性之影響

全文下載

主題瀏覽