本文利用NASDAQ及NYSE交易所設定之高頻交易人所擁有的交易特徵，作為篩選台灣期貨市場內高頻交易人之條件，藉以檢測此類交易人的活動對台灣期貨市場的影響狀況。在市場狀況穩健時，台灣高頻交易人的活動確實有助於市場品質提升，但若市場面臨金融危機時，此類交易人活動則反而會降低市場品質，這個結果也驗證了過去文獻提及的疑慮。本文再利用一筆交易的流動性供需，將高頻交易人進一步分類成供給方或需求方分析，發現此類交易人不論在交易中作為流動性供給方或需求方均得到一致的結論，高頻交易活動在市場相對波動時可能存在損害市場品質的風險，並可能提升其他市場參與者的交易成本。由於學術界仍未對高頻交易人特徵有一致的認定，所以本文針對此類人的篩選門檻以及觀察樣本期間進行穩健性分析，結果顯示在不同篩選門檻以及時間長度的觀察樣本下，仍維持與前述類似結果。本文進而檢視高頻交易活動對市場價格效率的影響，發現其交易參與率的高低對價格效率影響並未存在顯著差異，代表隨著高頻交易活動的增加，價格效率並未有所提升。有別於過去的文獻，本文對台灣期貨市場研究類高頻交易行為，首次得到此類交易在市場陷入恐慌時，極有可能破壞市場原有的交易品質而且也無法加速價格回歸效率。鑒於高頻交易人與當沖客特性的相似，透過本文對於期貨市場資料分析高頻交易行為的實證發現，或許可以做為未來台灣現貨市場採行連續競價制度的借鏡，藉以調整制度以及提升市場穩健性。;This study examined the activities of Taiwan futures market traders who have similar trading features with high-frequency traders (HFTs) in NASDAQ and NYSE, high-frequency trading (HFT) is beneficial to futures market during normal period but detrimental to market quality during financial crisis period in Taiwan. With market quality changed, the activities of HFTs might affect other market participants in transaction costs. We further categorized HFTs as liquidity-demander and liquidity-supplier to analyze their impact. The results are consistent no matter HFTs are which type trader in a transaction, and results are identical in robustness test with varied HFTs choosing thresholds and varied samples interval as well. HFTs do alter their trading behaviors when market is volatile, and the results also strengthen previous literatures’ concern. This study also examined the impact of HFT on price efficiency. The price efficiency of trading date with high or low HFTs participation has no significant difference, it might be another evidence of HFT have no contribution in enhancing market quality. Different from previous literatures, this study firstly reports that HFT might destroy market quality when market face panic and not enhance price efficiency at the same time in documenting the HFT in Taiwan futures market. Because of the similarity between HFTs in futures market and day traders in equity in equity market, the conclusion of this study could be a guide in employing continuous auction trading system in Taiwan equity market in the future.
