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系統識別號 U0002-1107200510530500
中文論文名稱 電子化交易與公開喊價交易指數期貨市場微結構之研究
英文論文名稱 Essays on the Market Microstructure of E-mini and Floor-traded Index Futures
校院名稱 淡江大學
系所名稱(中) 財務金融學系博士班
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 姜淑美
研究生英文姓名 Shu-Mei Chiang
學號 888490025
學位類別 博士
語文別 英文
口試日期 2005-06-21
論文頁數 107頁
口試委員 指導教授-鍾惠民
指導教授-邱建良
委員-李志宏
委員-張傳章
委員-何宗武
委員-謝文良
委員-李命志
委員-鍾惠民
中文關鍵字 電子期貨契約  價格投機及不穩定效果  價格叢聚  市場微結構 
英文關鍵字 E-mini futures contracts  Price speculation and destabilization effects  Price clustering  Market microstructure 
學科別分類 學科別社會科學商學
中文摘要 在過去數年中,一個重要的金融市場變革就是交易所從公開喊價的交易制度改為採用電子交易制度。然而在美國的衍生性商品市場,電子交易及公開喊價的制度在正常的交易時間內是同時存在的。因為他們的標的資產是相同的,他們之間可能存在替代效果。此外,電子交易的優點也可能會吸引許多的短線及投機的交易者進入此市場來交易。
因為電子交易可以擴大投資人的投資機會,他們可以使金融場更完整。再者,電子交易的優點可以導致在價格發現功能方面長足的進步,包括:匿名交易、交易透明度的改善及遞增的執行速度等。我們因此預期在美國,在電子期貨交易以後,市場微結構會產生許多的改變。
在本論文中,我們研究電子期貨交易對於公開喊價期貨交易的影響,包括:電子期貨交易對於標的資產的影響、在公開喊價交易及電子期貨交易間的價格叢聚現象及由於電子期貨的交易,對於公開喊價期貨交易日內交易型態的影響。所得的結論如下:
第二章研究電子期貨交易對於標的資產的影響,我們發現在電子期貨交易以後,現貨市場的平均報酬率降低。波動性與報酬率間成正相關。此外,S&P 500 and NASDAQ-100 指數對於過去誤差項的敏感性降低;過去條件變異數對於當期條件變異數的持續性在短期及長期都是增加的。同時,在電子期貨交易以後,對於訊息的不對性效果仍是存在。
第三章探討公開喊價交易及電子期貨交易間的價格叢聚現象。結果顯示在指數期貨市場間,價格叢聚現象是一種普遍的現象。而公開喊價交易及電子期貨交易間價格叢聚現象的差異是很顯著的。再者,在電子期貨交易以後,公開喊價交易的價格叢聚現象顯著增加。
第四章探究公開喊價期貨及電子交易期貨的市場微結構及US總體經濟宣告對期貨市場的影響。我們證實期貨的日內波動性及價格變動次數呈現出U型的型態,也就是說即使在交易時間延長以後,市場關門效果仍然存在於公開喊價期貨及電子交易期貨市場中。此外,政府宣告對於波動性及價格變動次數的資訊效果仍然是重要的。
英文摘要 Over the past several years, an important innovation in the financial market is the trading system transition from open outcry to electronically trade in equity and futures exchanges in the world. However, for the U.S. derivative markets, E-mini and floor-traded index futures are traded simultaneously at regular trading hours. As the underlying assets of E-mini and floor-traded index futures are the same, substitution effect might exist between them. Furthermore, the advantages of E-mini index futures might help to attract many day traders and speculators to trade.
Because E-mini futures trading can expand the opportunity set faced by investors, they can make financial markets more complete. In addition, the merits of E-mini trading can lead to great advances in price discovery including trader anonymity, improved pricing transparency, and increased execution speed and so on. We therefore expect many changes in market microstructure will occur after E-mini futures trading in the U.S.
In this essay, we study the effects of E-mini index futures trading on floor-traded futures markets, including the impacts of E-mini futures trading on the underlying assets, the price clustering in open outcry and electronically-traded index futures, and the impacts on intraday patterns stemming from the introduction of electronically-traded index futures. The conclusion can be summarized as follows:
Chapter 2 examines the impact of E-mini futures trading on the underlying assets, we find that the average returns of spot markets decreased after the introduction of E-mini futures. The relationship between volatility and return is positive. Besides, the sensitivity of S&P 500 and NASDAQ-100 indexes to past errors decreases. The persistence of past conditional variance to current conditional variance increases in the short run and long run. Asymmetrical responses to news still exist after E-mini index futures trading.
Chapter 3 investigates the price clustering of floor-traded and E-mini index futures. The result shows that price clustering is universal within the index futures markets. Significant clustering differences exist between floor-traded and E-mini index futures. Furthermore, price clustering increases significantly in three floor-traded futures markets after E-mini futures trading.
Chapter 4 explores the market microstructure of floor-traded and E-mini index futures and the effects of US macroeconomic news announcement on futures markets. We show that the intraday volatility and tick volume measures display a U-shaped pattern for index futures. That is, market closure effect still exists in three floor-traded and E-mini futures markets even though the trading hours are extended. The spot markets dominate. In addition, the information effects of government announcements on volatility and tick volume are still important.
論文目次 TABLE OF CONTENTS Page
LIST OF TABLES.......................................... XI
LIST OF FIGURES................................................XIII
Chapter 1
Introduction..............................................1

Chapter 2
The Introduction of Electronically Traded Index Futures and their Impact on the Underlying Assets: The Cases of U.S. Index Futures........................................4
Abstract..................................................5
1.Introduction............................................6
2.E-mini index futures and their impact on underlying
assets
2.1 E-mini index futures..................................8
2.2 Price speculation and destabilization effects........10
2.3 Asymmetrical response of volatility to news..........11
2.4 Day-of-the-week effect...............................12
3 Data and Methodology
3.1 Data.................................................14
3.2 Mean equation........................................16
3.3 Variance equation....................................16
4 Empirical Results
4.1Descriptive Statistics................................18
4.2 GARCH-M model........................................20
5 Conclusion.............................................25

Chapter 3
Price Clustering in E-mini and Floor-traded Index Futures
........................................................ 27
Abstract.................................................28
1.Introduction...........................................29
2. Related literature on price clustering................31
2.1 Haziness and bounded rationality.....................31
2.2 Attraction hypothesis................................31
2.3 Negotiation hypothesis...............................31
2.4 Price resolution hypothesis..........................32
2.5 The implicit collusion of dealers....................32
2.6 Human bias...........................................33
3. Data and Methodology
3.1 Data description.....................................34
3.2 Empirical models
3.2.1 Tests for price clustering.........................36
3.2.2 Price clustering of floor-traded and E-mini index
futures............................................37
3.2.3 Differences in price clustering between floor-traded
and E-mini index futures...........................41
4. Empirical results
4.1 The extent and frequency of price clustering.........42
4.2 Related results......................................45
4.3 GMM estimation results on the price clustering of
floor-traded and E-mini index futures................49
4.4 GMM estimation results on the differences in price
clustering...........................................53
5.Conclusions............................................56

Chapter 4
Market Microstructure of Extending Trading Time: Evidence from the Introduction of E-mini Index Futures............58
Abstract.................................................59
1.Introduction...........................................60
2.Review of the related literature.......................62
2.1 Related studies and theories on intraday patterns....63
2.2 Related studies and theories on macroeconomic
announcements and overnight effect...................66
2.3 Related studies and theories on volume, returns and
volatility...........................................67
2.4 Related studies and theories on extended trading
hours................................................68
2.5 Index futures and U-shaped patterns..................69
3. Data and Methodology
3.1 Data.................................................70
3.2 Empirical method
3.2.1 Intraday volatility and volume patterns............71
3.2.2 Examination of statistical inferences of intraday
patterns...........................................72
3.2.3 Tests for the mean differences between floor-traded
......and E-mini futures.................................74
3.2.4 Test for shifts in inventory risk at the open and
the close..........................................74
4. Empirical results
4.1 Market closure and information effects...............76
4.2 Statistical tests for significance...................84
4.3 Tests for the mean differences between floor-traded
and E-mini futures...................................92
4.4 Results of expected and unexpected overnight
volatility...........................................94
5. Conclusions...........................................96
Chapter 5
Conclusion...............................................98

References..............................................100

LIST OF TABLE Page
Chapter 2

Table 2-1 A comparison between the Open Outcry and
Electronic Trading Syetems................... .12
Table 2-2 Summary Statistics for Regular and E-mini Futures
Contracts......................................19
Table 2-3 Summary Statistics for Spot Markets............19
Table 2-4 Mean and Standard Deviation of the Returns by Day
of the Week for S&P 500, NASDAQ-100 and DJIA Spot
Markets........................................19
Table 2-5 ARCH Test......................................20
Table 2-6 Empirical Results of the Mean quation..........21
Table 2-7 Empirical Results of the Variance Equation.....22

Chapter 3
Table 3-1 Contract specifications for the three floor-
traded and E-mini futures indices..............35
Table 3-2 Comparison of price clustering in DJIA floor-
traded and E-mini index futures................43
Table 3-3 Comparison of price clustering for S&P 500 floor-
traded and E-mini index futures................46
Table 3-4 Comparison of price clustering for NASDAQ-100
floor-traded and E-mini index futures..........47
Table 3-5 The results of the Hausman specification
test...........................................50
Table 3-6 GMM estimation results on price clustering for
floor-traded and E-mini index Futures..........54
Table 3-7 GMM estimation results of the difference in price
clustering between floor-traded and E-mini index
futures........................................55

Chapter 4
Table 4-1 Parkinson and Garman-Klass volatility and Tick
Volume Measures for DJIA Futures, at Five-minute
intervals......................................79
Table 4-2 Parkinson and Garman-Klass volatility and tick
volume measures for S&P 500 futures, at five-
minute intervals...............................80
Table 4-3 Parkinson and Garman-Klass volatility and tick
volume measures for NASDAQ -100 futures, at five-
minute intervals...............................81
Table 4-4 Regression of variations in tick volume and
Parkinson and Garman-Klass volatility for DJIA
floor-traded and E-mini futures................86
Table 4-5 Regression of variations in tick volume and
Parkinson and Garman-Klass volatility for S&P 500
floor-traded and E-mini futures................88
Table 4-6 Regression of variations in tick volume and
Parkinson and Garman-Klass volatility for NASDAQ-
100 floor-traded and E-mini futures............90
Table 4-7 Tests for difference in tick volume and Parkinson
and Garman-Klass volatility between DJIA floor-
traded and E-mini futures......................93
Table 4-8 Tests for difference in tick volume and Parkinson
and Garman-Klass volatility between S&P 500 floor-
traded and E-mini futures......................94
Table 4-9 Tests for difference in tick volume and Parkinson
and Garman-Klass volatility between NASDAQ-100
floor-traded and E-mini futures................94
Table 4-10 Relationship between closing volume and expected
and unexpected overnight volatility...........95
Table 4-11 Relationship between opening volume and expected
and unexpected overnight volatility...........96

LIST OF FIGURES Page

Chapter 2
Figure 2-1 Dollar volume of E-mini and regular futures
contracts for the S&P 500......................9
Figure 2-2 Dollar volume of E-mini and regular futures
contracts for the NASDAQ-100...................9
Figure 2-3 Dollar volume of E-mini and regular futures
contracts for DJIA.............................9
Chapter 4
Figure 4-1 Intraday pattern of average Garman-Klass
volatility in DJIA futures trading............82
Figure 4-2 Intraday pattern of tick volume in DJIA futures
trading.......................................82
Figure 4-3 Intraday pattern of average Garman-Klass
volatility in S&P 500 futures trading.........82
Figure 4-4 Intraday pattern of tick volume in S&P 500
futures trading...............................83
Figure 4-5 Intraday pattern of average Garman-Klass
volatility in NASDAQ-100 futures trading......83
Figure4-6 Intraday pattern of tick volume in NASDAQ-100
futures trading................................83
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