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系統識別號 U0002-0507201300185300
中文論文名稱 台灣期貨市場流動性對波動度之影響
英文論文名稱 The Impact of Liquidity on Volatility in the Taiwan Futures Market
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 101
學期 2
出版年 102
研究生中文姓名 陳智偉
研究生英文姓名 Chih-Wei Chen
學號 700530248
學位類別 碩士
語文別 中文
口試日期 2013-06-21
論文頁數 50頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-胡勝正
委員-林蒼祥
委員-涂登才
中文關鍵字 波動度  流動性 
英文關鍵字 Liquidity  Volatility 
學科別分類
中文摘要 本研究利用台指期貨委託檔、成交檔及揭示檔等資料,使用Parkinson (1980)波動度計算公式,並以委託單積極度、委託單離散程度及交易成本作為代表流動性的指標來觀測期貨市場流動性對波動度的影響,並進一步將交易人區分為外資、期貨自營商、國內法人及散戶,研究其流動性對波動度的影響。
實證結果發現,散戶為流動性主要提供者,當下單越積極則影響市場波動度越大;外資為理性交易者,其下單行為不會造成價格劇烈波動;在全市場不分交易人的情況下,本文所使用的流動性指標對波動度皆有顯著關係。
英文摘要 In this paper, we observe the futures market liquidity on the impact of volatility by using the order of TAIEX, the Parkinson (1980) volatility to calculate the formulas, with the representative indicator of liquidity which including the Aggressiveness of orders, the Dispersion of orders and transaction costs, using data from the order of TAIEX, the order of market and the reveal order. Furthermore, we study the liquidity on the impact of volatility by dividing the trader into foreign investment, futures dealers, domestic institution and individual.
With the empirical results, we found that the individual is the main provider of liquidity, trading more aggressive making more future market’s volatility, foreign investment is the rational trader and it can’t cause the strict price volatility by its trading. Without dividing traders from all markets, the liquidity factor we used have strong relationship with the volatility.
論文目次 目錄
第一章緒論 1
第一節 研究動機與目的 1
第二節 研究架構 4
第三節 研究流程圖 5
第二章文獻探討 6
第一節 波動度相關文獻 6
第二節 流動性變數與波動度之相關文獻 9
第三節 控制性變數與波動度之相關文獻 14
第四節 各類投資人的資訊性 18
第三章研究方法 19
第一節 台灣指數期貨簡介及市場結構概述 19
第二節 研究資料及樣本篩選 23
第三節 變數說明 26
第四節 迴歸模型設定 33
第四章實證結果 34
第一節 敘述統計結果 35
第二節 個別流動性變數對波動度之分析比較 37
第三節 流動性變數對波動度之影響 42
第五章結論 45
參考文獻 47
附錄一 50

表目錄
【表 3 1】台指期貨內容簡介 20
【表 3 2】近五年各商品年成交量統計表 21
【表 3 3】期貨成交檔格式說明 23
【表 3 4】期貨委託檔格式說明 24
【表 3 5】期貨揭示檔格式 24
【表 6 1】平均交易量在特定比例下一檔之內消化及超過五檔之外消化比例 50

圖目錄
【圖 1 1】研究流程圖 5
【圖 3 1】2007年至2011年台灣加權股價指數走勢圖 22
【圖 3 2】積極度分界圖 27
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