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系統識別號 U0002-0306200514162000
中文論文名稱 台股指數期貨未平倉量、市場深度與成交量互動之研究
英文論文名稱 The Interaction between Open Interest, Market Depth and Trading Volume: Evidence from the Taiwan Futures Exchange
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 93
學期 2
出版年 94
研究生中文姓名 林彥均
研究生英文姓名 Yen-Chun Lin
學號 692490385
學位類別 碩士
語文別 中文
口試日期 2005-05-13
論文頁數 62頁
口試委員 指導教授-謝文良
委員-李進生
委員-林允永
委員-林忠機
中文關鍵字 市場深度  未平倉量  市場微結構 
英文關鍵字 Market depth  Open interest  Market microstructure 
學科別分類 學科別社會科學商學
中文摘要 Bessembinder and Seguin(1992,1993)首度將未平倉量當作市場深度的代理變數來探討對現貨市場的影響,並且認為未平倉量代替市場深度的說法相當具有合理性,而本文依照Kyle(1985)對市場深度的定義,以直接的方式來衡量,透過委託單的總和來代表市場深度,探討與未平倉量間的相互關係,並且加入成交量變數來予以討論分析。以台灣股價指數期貨作為研究標的,研究期間從2003年4月1日至2004年3月31日。實證結果發現未平倉量領先於市場深度及成交量,以及市場深度與成交量之間互為因果關係;且非預期未平倉量與市場深度呈現顯著地正向關係,而與預期的部分卻沒有明顯地證據証明兩者之間具有相關,此部分驗証了Bessembinder and Seguin的說法。此外,未平倉量之絕對增量幅度對市場深度呈現不顯著的影響,而未平倉量絕對減量幅度卻顯著地與市場深度有正向關係。最後,將市場深度區分成買(賣)方,則發現到不論是對未平倉量還是對成交量的影響,皆是對賣方市場的影響程度較買方來得大。而本文的實証結果提供了證據証明未平倉量、市場深度與成交量之間可能具有規則性的改變。
英文摘要 Bessembinder and Seguin(1992,1993) use market depth as a proxy of open interest to investigate the impact on spot market. Based on Kyle (1985), this paper uses the sum of limit orders to measure market depth and examines the relationships between open interest and market depth. The analysis uses data from Taiwan stock index futures contracts. The sample period is from April 1, 2003 to March 31, 2004. Results show that open interest Granger-causes market depth and trading volume, with depth and trading volume provide feedback information. Results confirm the statements by Bessembinder and Seguin (1993) that there exists a significant positive relation between unexpected open interest and market depth. However, no relationship is found between expected open interest and market depth. Furthermore, there is no significant relation between market depth and increases in open interest, but market depth and decreases in open interest are positive correlated. Finally, when market depth is partitioned into the buyer depth and seller depth, we find that the seller's market is more influential than buyer's market. This result provides evidence that the relation between open interest, market depth and trading volume may vary in some regular patterns.
論文目次 目 錄


誌謝....................................................Ⅰ
中文摘要................................................Ⅱ
英文摘要................................................Ⅲ
目錄....................................................Ⅳ
表目錄..................................................Ⅵ
圖目錄..................................................Ⅶ


第一章 緒論..............................................1
第一節 研究動機........................................1
第二節 研究目的........................................3
第三節 未平倉量簡介及特性..............................4
第四節 論文架構及研究流程..............................9

第二章 文獻回顧.........................................11
第一節 未平倉量之相關實證文獻.........................11
第二節 市場深度定義與衡量之相關文獻...................13
第三節 未平倉量、市場深度與成交量之實證文獻...........16

第三章 研究方法.........................................19
第一部分 領先-落後關係.................................19
第一節 單根檢定.......................................19
第二節 向量自我迴歸模型...............................25
第三節 Granger 因果關係...............................26
第二部分 相關模型之建立................................29
第四節 預期與非預期未平倉量的影響.....................29
第五節 未平倉量之絕對增(減)量幅度的影響.............31
第六節 買(賣)方市場深度的影響.......................34

第四章 變數定義與資料選取...............................35
第一節 樣本資料來源與變數定義.........................35
第二節 樣本資料之初步分析.............................39

第五章 實証結果.........................................42
第一部分 領先-落後關係.................................42
第一節 單根檢定.......................................42
第二節 向量自我迴歸模型分析...........................44
第三節 Granger 因果關係檢定...........................47
第二部分 相關模型之探討與解釋..........................49
第四節 預期與非預期未平倉量之實証結果.................49
第五節 未平倉量絕對增(減)量幅度之實証結果...........51
第六節 買(賣)方市場深度之實証結果...................57

第六章 結論與建議.......................................58
第一節 結論...........................................58
第二節 後續研究者之建議...............................60

參考文獻................................................61

表目錄


表1-1 未平倉量之衡量................................................5
表4-1 各變數的基本敘述統計資料.....................................39
表4-2 各變數相關係數表.............................................41
表5-1 ADF單根檢定..................................................43
表5-2 落階期數之SBC值..............................................44
表5-3 VAR模型檢定結果..............................................46
表5-4 Granger因果關係檢定結果......................................48
表5-5 預期與非預期未平倉量對市場深度影響...........................49
表5-6 預期與非預期未平倉量對成交量影響.............................50
表5-7 未平倉量變化之增減對市場深度影響.............................52
表5-8 未平倉量之絕對增(減)量幅度對買(賣)方市場深度影響...........54
表5-9 未平倉量絕對增(減)量幅度對成交量影響.........................56
表5-10 未平倉量與成交量對買(賣)方市場深度之影響....................57


圖目錄


圖1-1 台灣股價指數期貨之市場規模....................................4
圖1-2 台指期貨到期合約成交量之變化..................................8
圖1-3 台指期貨到期合約未平倉量之變化................................8
圖1-4 研究流程圖...................................................10
圖2-1 市場價格反應曲線.............................................13
圖3-1 單根檢定流程圖...............................................24
圖4-1 預期未平倉量與非預期未平倉量趨勢圖...........................40
圖4-2 成交量趨勢圖.................................................40
圖4-3 買(賣)方市場深度趨勢圖.......................................40
圖5-1 未平倉量、市場深度與成交量間之因果關係圖.....................48



參考文獻 參考文獻


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Bessembinder, H. and P. J. Seguin, (1992), “Futures trading activity and stock return volatility,” Journal of Finance, 51, 2015-34.

Bessembinder, H. and P. J. Seguin, (1993), “Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets,” Journal of Financial and Quantitative Analysis, 28, 21-39.

Bessembinder, H., K Chan, and P. J. Seguin, (1996), “An empirical examination of information, differences of opinion, and trading activity,” Journal of Financial Economics, 40, 105-134.

Chen, N-F., Cuny, C. J., and R. A. Haugen, (1995), “Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts,” Journal of Finance, 50:281–300

Chang, E., Chou, R.Y. and E. Nelling, (2000), “Market Volatility and the Demand for Hedging in Stock Index Futures” Journal of Futures Markets, Volume 20, 2, 105-125

Copeland, T. E., and D. Galai, (1983), “Information Effects on the Bid/Ask Spread,” Journal of Finance, 38, 1457-1469.

Easley, D., and M. O’Hara, (1992), “Time and the Process of Security Price Adjustment,” Journal of Finance 47, 577-605.

Enders, W. (2004), “Applied Econometric Time Series,” 2nd ed., USA:John Wiley & Sons, Inc.

Engle, R. F. and J. Lange, (2001), “Predicting VNET: A Model of The Dynamics of Market Depth,” Journal of Financial Markets 4, 113-142.

Ferris, P. S., Park, Y. H. and K. Park, (2002). “Volatility, Open Interest, Volume, and Arbitrage: Evidence from the S&P 500 Futures Market,” Applied Economics Letters, Vol. 9, 369-72.

Figlewski, S. (1981), “Futures Trading and Volatility in the GNMA Market.” Journal of Finance, 36, 445-456.

Kenneth H. Shaleen, (1991), “Volume and Open Interest: Cutting Edge Trading Strategies in the Futures Markets,“ Probus Publishing.

Kyle, A. S. (1985),“Continuous Auctions and Insider Trading,” Econometrica, 53:1315–1335

Lee, C., B. Mucklow and M. Ready, (1993), “Spreads, depths and the impact of earnings information: An intraday analysis,” Review of Financial Studies 6, 345-374.

Martin J. Pring, (1993), “Martin Pring on Market Momentum,” United States of America:McGraw-Hill.

McInish, T. H., and R. A. Wood, (1992), “An Analysis of Intraday Patterns in Bid-Ask Spreads for NYSE Stocks,” Journal of Finance, 47, 753-764.

Moser, T. J. (1994).” A Note on the Crash and Participation in Stock Index Futures,” Journal of Futures Markets, Vol.14, No. 1, 117-19.

Ragunathan, V. and A. Peker, (1997), “Price Variability, Trading Volume and Market Depth: Evidence from the Australian Futures Market,” Applied Financial Economics 7, 447-454

Reimers, H. E. (1992), "Comparisons of Tests for Multivariate Cointegration," Statistics Paper, 33, 335~346

Watanabe, T. (2001), “Price volatility, trading volume, and market depth: evidence from the Japanese stock index futures market,” Applied Financial Economics, 11, 651-658
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