流動性、市場效率，與外資交易

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翁培師(Pei-Shih Weng) 查詢紙本館藏

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財務金融學系

論文名稱

流動性、市場效率，與外資交易
(Liquidity, Market Efficiency, and Foreign Institutional Trading)

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摘要(中)

本論文旨在探討新興市場中外國機構投資人（外資）的交易行為，以及其資訊內涵與對於當地市場的影響，以台灣期貨市場為研究對象。資料來源為台灣期貨交易所提供的投資人交易紀錄，研究期間為2003年至2008年。論文共收錄了兩篇文章，第一篇為「外資交易行為」，第二篇則為「市場效率與外資交易」。前者的研究結果指出，外資傾向採取反向交易的行為模式，但同期間的散戶與當地機構投資人卻傾向趨勢交易，故相較之下，外資交易有助於市場價格的穩定。另一方面，當市場流動性不佳時，外資傾向買進，而散戶則傾向賣出，意味著當市場處於流動性低點時，外資的看法較為正面且其交易模式有助於維持市場流動性。此外，當市場流動性不佳時，外資的買賣方向對於未來市場指數的變化具有一定程度的預測能力。第二篇文章進一步從市場效率的變化來看外資對於新興市場的整體影響。研究顯示，從2003至2008年，外資參與台灣期貨市場的程度雖持續深化，但同時間的市場效率卻逐漸惡化，且市場的流動性成本在近年來也提高。過去文獻上多認為機構投資人為資訊交易人，而其交易對於市場品質能產生正面影響；本研究卻發現，外資在台灣期貨市場的交易積極度逐年下降，此變化為導致市場效率性惡化以及流動性成本增加的主因。這意味著，新興市場的外資參與雖有助於該市場的成長與國際化，但當外資成長至具有相當之影響力，其交易對整體市場所帶來的影響可能動輒得咎。另一方面，這些實證結果也隱含，即便外資不利用資訊優勢進行交易，仍可以透過提供流動性的交易策略來獲利。

摘要(英)

This dissertation studies the issues about the foreign institutional investors in emerging markets. The research sample is Taiwan futures market, and the data are obtained from Taiwan Futures Exchanges (TAIFEX). The study period is from 2003 to 2008 inclusive. This dissertation consists of two essays: "the behavior of foreign institutional investors" and "Market efficiency and foreign institutional trading". The empirical findings in the first paper indicate that foreign institutional investors are well-informed and price-stabilized traders in the market while the same can not be seen on local institutional traders or individuals. In particular, foreign institutions are net buyers when the market is illiquid, but individuals are net sellers simultaneously, implying that foreign institutions feed individuals’’ trading needs and benefit to the recovery of market liquidity. The second paper presents that TAIFEX has significant trading volume increases in recent years. Foreign institutions, rather than domestic individuals or institutions, are major contributors for the uptrend. However, it is puzzling that the market liquidity and informational efficiency in this period have deteriorated with time. Based on our analyses, we show that foreign institutions tend to act as de facto market makers recently, and their decreasing order aggressiveness primarily resulted in the inefficiency for the market. Meanwhile, extensive passive orders induce higher liquidity costs and further impede possible arbitrage for mispricing. Such evidence also indicates that foreign institutions may earn profits by providing liquidity rather than trading with information advantage.

關鍵字(中)

★ 交易活動
★ 下單積極度
★ 限價單
★ 買賣單不均衡
★ 市場效率
★ 流動性
★ 外資
★ 散戶

關鍵字(英)

★ Order aggressiveness
★ Trading activity
★ Limit order
★ Order imbalance
★ Market efficiency
★ Liquidity
★ Foreign institution
★ Individual trader

論文目次

Chapter I: Preface and Overview　　　　......1
　
Chapter II: The Behavior of Foreign Institutional Investors　　　　......6
　
Abstract　　　　......7
　
1. Introduction　　　　......8
　
2. Testable Hypotheses　　　　......14
　2.1 Properties and Determinants of Daily Order Imbalances　　　　......14
　2.2 The Relation between Market Liquidity and Order Imbalance　　　　......18
　2.3 The Relation between Market Returns and Order Imbalances　　　　......20
　
3. Data and Summary Statistics　　　　......24
　3.1 Taiwan Futures Exchange　　　　......24
　3.2 Sample Description　　　　......24
　3.3 Main Variable　　　　......25
　3.4 Summary Statistics　　　　......29
　
4. Empirical Results　　　　......32
　4.1 Order Imbalances Emanating from Various Types of Traders　　　　......32
　4.2 The Relation between Order Imbalances and Market Liquidity　　　　......36
　4.3 The Relation between Returns and Order Imbalances　　　　......40
　
5. Robustness　　　　......46
　5.1 VAR Estimation　　　　......46
　5.2 Market Orders V.S. Limit Orders　　　　......48
　5.3 Trading V.S. Hedging　　　　......50
　
6. Conclusion　　　　......53
　
Reference　　　　......56
　
Tables　　　　......63
　
　
Chapter III: Market Efficiency and Foreign Institutional Trading　　　　......76
　
Abstract　　　　......77
　
1. Introduction　　　　......78
　
2. The Data　　　　......84
　2.1 Sample Selection and Market Description　　　　......84
　2.2 Main Variables　　　　......85
　
3. Recent Uptrend in Trading Activity　　　　......88
　3.1 Growing Trading Volume　　　　......88
　3.2 Market Liquidity　　　　......90
　
4. Information-based Trading and Market Efficiency　　　　......93
　
5. The Relationship between Efficiency and Foreign Institutional Trading　　　　......96
　5.1 Efficiency, Trading Proportion, and Liquidity　　　　......96
　5.2 Multivariate Regression and Endogeneity　　　　......97
　
6. Order Submission and Aggressiveness　　　　......104
　6.1 Non-Marketable Limit Orders　　　　......104
　6.2 Order Aggressiveness　　　　......107
　
7. Conclusion　　　　......112
　
Reference　　　　......114
　
Figures and Tables　　　　......118

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指導教授

葉錦徽、周冠男、何耕宇
(Jin-Huei Yeh、Robin K. Chou、Keng-Yu Ho)

審核日期

2011-11-22

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