快速交易與極端價格之關聯性

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姓名

余杰鋼(Chieh-Kang Yu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

快速交易與極端價格之關聯性
(The Relationship between Fast Trading and Extreme Price Movements)

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摘要(中)

本研究想探討市場中逐漸盛行的高頻交易活動，在極端價格波動時期對於市場流動性的影響。本文使用台灣期貨交易所提供的逐筆委託與成交資料，特別關注不同身份別的快速交易者之間的差異。本研究根據投資者的交易量、委託成交比與日留倉佔成交比篩選出台灣指數期貨市場中與高頻交易者特徵相似的快速交易者。研究發現在台股期貨市場中，快速交易者在極端價格時期由原先的流動性供給者轉變為需求者。若區分交易者身份別，則會發現機構投資者因為資訊的不對稱與交易動機的一致性，並不會因市場行情的變動而改變流動性的供需，而散戶在極端價格波動時期由流動性需求者轉變為供給者。最後，本文使用羅吉斯迴歸發現，機構投資者的交易活動相較於散戶更容易觸發極端價格波動的發生。

摘要(英)

This thesis aims to investigate the impacts of the rising high-frequency activities during the fluctuating market, and also focus on whether high-frequency traders’ activities would affect market liquidity. By using the unique dataset provided by the Taiwan Futures Exchange, this study focuses on the performances of different trader types. This research identifies fast traders, who have similarity to high-frequency traders in the TFX market, according to the investor’s trading volume, order-to-trade ratio, and end-of-day inventory ratio. The results show that fast traders tend to shift from the liquidity supplier to the demander at times of extreme price movements. To put it more specifically, because of the asymmetry of information and the consistency of trading strategies, institutional investors will stay the same way even though the market conditions have changed. However, retail investors have changed form liquidity demanders to suppliers at times of extreme price movements. Estimation results of the logistic regression show that trading activities of institutional investors are more likely to cause extreme price movements than those of retail investors.

關鍵字(中)

★ 快速交易
★ 極端價格
★ 流動性
★ 交易者身分

關鍵字(英)

★ fast trade
★ extreme price movements
★ liquidity
★ trader type

論文目次

摘要 I
ABSTRACT II
致謝 III
目錄 IV
表目錄 V
圖目錄 V
第一章、緒論 1
第二章、文獻回顧 3
第1節、高頻交易者對流動性與價格的影響 3
第2節、交易者身份別與交易行為的關係 4
第三章、資料說明 5
第1節、資料來源 5
第2節、快速交易者篩選 6
第3節、極端價格波動定義 7
第四章、研究方法 8
第1節、淨流動性需求 8
第2節、線性迴歸分析 9
第3節、羅吉斯迴歸分析 10
第五章、實證結果 11
第1節、全樣本 11
第2節、區分極端價格波動程度 12
第3節、線性迴歸分析結果 13
第4節、羅吉斯迴歸估計結果 14
第六章、結論 15
參考文獻 16

參考文獻

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指導教授

高櫻芬

審核日期

2021-6-10

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