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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題名:	快速交易與極端價格之關聯性;The Relationship between Fast Trading and Extreme Price Movements
作者:	余杰鋼;Yu, Chieh-Kang
貢獻者:	財務金融學系
關鍵詞:	快速交易;極端價格;流動性;交易者身分;fast trade;extreme price movements;liquidity;trader type
日期:	2021-06-10
上傳時間:	2021-12-07 14:58:05 (UTC+8)
出版者:	國立中央大學
摘要:	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。;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.
顯示於類別:	[財務金融研究所] 博碩士論文

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