本研究使用了台指選擇權2008年1月至2009年3月之日內資料，以15分鐘為一區間來探討造市者是否為選擇權市場流動性供給者。本研究使用市場相關變數以及造市者相關變數利用分組觀察、交易人行為分析以及迴歸分析去衡量造市者與非造市者的報價行為，並考慮造市者在造市所產生的避險成本Delta及隱含波動度之偏斜程度作為控制變數對造市者買賣報價的影響。    
根據實證結果發現，非造市者於非最佳報價下單比例高於造市者之下單比例，顯示造市者對於流動性的需求較積極。橫斷面分析結果發現，買賣報價皆為造市者時，當去除掉控制變數的變因之後，選擇權越是價外，隱含波動率的偏斜程度越大，則會導致造市者越會擴大價差來獲取持有風險性資產的溢酬。觀察造市者穩定度及競爭程度皆與買賣雙邊皆為造市者之價差呈顯著的正相關，顯示市場流動性佳時，造市者才願意參與造市活動。ILLIQ與價差亦呈負的顯著相關，顯示在市場流動性增加時，造市者有擴大價差的行為，由以上研究發現台指選擇權之造市者並非市場流動性之供給者，而是需求者。

This paper applies intraday data from 2008/01 to 2009/03, then we also use 15 minutes as a period to discuss whether market makers are liquidity providers or not. We separate data into five sub-data. Furthermore, we use estimated variables and regression model to analysis between the behavior of marker maker and non-market maker. In the regression model, we consider the hedging cost and volatility skew for controlling the effect on market maker’s holding commodity.
The estimated variables showed that the proportion of the order by the Non-Marker-maker in best quote is higher than the proportion of the order by the Market-Maker in best quote. This result found that the Marker-Maker is an aggressive market liquidity demander. The regression model showed that when the option is out of money, implied volatility skew will be larger and Market-Maker will widen the quote spread to earn risk premium. The stable rate and the competition rate of Market-Maker were significantly positively correlated with Market-Maker quote spread, it showed that Market-Maker will willing to Market making when the market liquidity is better. The significantly negatively correlation of ILLIQ and quote spread showed that the quote spread will be widen when the market liquidity increased. In brief, this paper found that the Market-Maker of Taiwan option market was liquidity demander instead of liquidity provider.

目錄
中文摘要	I
英文摘要	II
目錄	III
表目錄	IV
圖目錄	V
第一章	緒論	1
第一節	研究動機	1
第二節	研究目的	2
第三節	研究架構	2
第二章	文獻探討	3
第一節	選擇權市場交易結構	3
第二節	流動性的衡量指標	7
第三節	有關驗證市場流動性的相關文獻	9
第四節	有關研究造市者的相關文獻	13
第三章	理論與研究方法	16
第一節	樣本	16
第二節	樣本配對	18
第三節	驗證方式	23
第四章	實證結果與分析	34
第一節	樣本統計	34
第二節  交易人行為分析	40
第三節  橫斷面分析	43
第五章 結論	54
附錄	58

表目錄

表1-1 造市者交易經手費及結算手續費折減規定	6
表3-1 買賣方價差	22
表3-2 不同市場的反流動性指標	28
表4-1變數之敘述統計量	34
表4-2造市者與非造市者在最佳報價下單比例之敘述統計量	41
表4-3 以ILLIQ排序後觀察之變數統計表	44
表4-4 以隱含波動度排序後觀察之變數統計表	45
表4-5變數間相關係數值	46
表4-6 SPEARMAN'S   係數	47
表4-7迴歸結果：不分買賣別之價差	51
表4-8迴歸結果：區分買賣別之價差	52
表4-8續迴歸結果：區分買賣別之價差	53




圖目錄

圖1-1 論文架構圖	2
圖3-1 期貨價格配對說明	19
圖4-1 台股交易量與台股反流動性指標	36
圖4-2 台指期貨交易量與台指期貨反流動性指標	36
圖4-3 台指選擇權交易量與台指選擇權隱含波動度	36
圖4-4 造市者穩定度與參與率	38
圖4-5 造市者開倉量、平倉量及競爭程度	39
圖4-6 非造市者於最佳報價與非最佳報價的下單數量	42
圖4-7 造市者於最佳報價與非最佳報價的下單數量	42

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