本研究欲探討快速交易對波動率的影響，以台灣期貨市場中的台股期貨、小型台指期貨為樣本，當前台灣缺乏高頻交易的金融環境，受限於法規或機器設備的限制，因此根據Kirilenko (2017)研究中的條件，篩選出快速交易者，再依不同身分類別投資人進行快速交易量及快速交易比例的篩選，然Lin et al. (2018)研究指出，VIX指數25為分水嶺區分高低波動區間，將變數進行迴歸分析，探討快速交易與波動率兩者間的影響。
實證結果顯示，台股期貨與小型台指期貨的快速交易者在低波動期間，提供市場流動性，有降低波動率的功效，高波動區間，快速交易者則會提升市場波動率；本研究發現，研究樣本的散戶，為快速交易之散戶，較具有交易經驗，而小台又在技術投資者中受歡迎，顯示當市場劇烈波動時，部分提升了市場品質，也部分抑制了波動率。

This article would like to find out the influences between fast trading and the volatility in the Taiwan Stock Index Futures. Using the TAIEX Futures (TX) and the Mini-TAIEX Futures (MTX) as our research topic. Due to lack of the financial environment for high frequency trading, and have more obstruct from the low and mechanical equipment. This article based on Kirilenko (2017)’s study, filter out the fast trader. All the fast trader is combined with the foreign institutions, domestic dealers, and retail investors. Using this data to calculate the fast trading volume and fast trading proportion. According to Lin (2018)’s study, VIX 25 is the index to divide into two group, high volatility and low volatility. Regressing the variables and analyzing the influence of fast trading and volatility.
 The empirical results show that fast trader supports the market illiquidity and decline the volatility in the low volatility on TX and MTX. On the other hand, fast trader increases the volatility in the high volatility; this article filtering out the retail, the retail is more experience trader, and MTX is more popular among skilled investors.
This article show that when the market in the high volatility, retail increase the market quality and reduce the volatility.

目錄
第一章　緒論1
第一節　研究動機與背景1
第二節　研究架構3
第三節　研究流程4
第二章　文獻探討5
第一節　高頻交易相關文獻5
第二節  快速交易增加市場波動率6
第三節  快速交易降低市場波動率6
第三章　研究方法8
第一節　研究資料來源與說明8
第二節  資料篩選10
第三節  樣本處理13
第四節  變數與迴歸模型17
第四章　實證結果21
第一節　敘述統計分析21
第二節　迴歸分析23
第五章　結論與建議34
參考文獻36

表目錄
【表3-1】2009年至2012年各項商品年成交量統計表9
【表3-2】台灣證券交易所股價指數期貨契約規格	11
【表3-3】台灣證券交易所股價指數小型期貨契約規格12
【表4-1】主要變數敘述統計表21
【表4-2】分類投資人快速交易量敘述統計21
【表4-3】分類投資人快速交易比例敘述統計(%)22
【表4-4】TX快速交易量與波動率的關聯25
【表4-5】TX快速交易比例與波動率關聯26
【表4-6】MTX快速交易量與波動率關聯27
【表4-7】MTX快速交易比例與波動率關聯28
【表4-8】TX快速交易量與波動率影響30
【表4-9】TX快速交易比例與波動率影響31
【表4-10】MTX快速交易量與波動率影響32
【表4-11】MTX快速交易比例與波動率影響33

圖目錄
【圖1-1】研究流程圖4
【圖3-1】樣本期間VIX指數圖15

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