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系統識別號 U0002-2406201322132600
中文論文名稱 投資人積極度對期貨市場效率性之影響
英文論文名稱 Effects of Trader’s Aggressiveness on Efficiency in Futures Market
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 101
學期 2
出版年 102
研究生中文姓名 黃偉豪
研究生英文姓名 Wei-Hao Huang
學號 699531090
學位類別 碩士
語文別 中文
口試日期 2013-06-23
論文頁數 73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-涂登才
委員-林蒼祥
中文關鍵字 期貨與選擇權市場  效率性  流動性  資訊交易者 
英文關鍵字 Futures market  efficiency  liquidity  informed trader 
學科別分類
中文摘要 本研究以台灣期貨市場與選擇權市場為標的,比較各類投資人下單積極度對期貨和選擇權市場效率性的影響,市場的流動性為影響價格反應的主要因素之一,期貨市場對於價格反應的速度最為迅速,而後依序為價內選擇權市場,最後為價外選擇權市場。在更細分投資人類別分析顯示,期貨自營商的交易行為會促使市場流動性顯著的提升,接著依序為外資、散戶、國內法人,雖然散戶為市場的主要投資人,但過多的雜訊並無法有效提升市場效率,而期貨自營商不僅提供大量的流動性,精準的下單行為讓資訊迅速的反應至價格上,為最具知訊的投資者。
本研究使用Ekkehart Boehmer,Eric K. Kelley.(2009)的方法計算每日的效率性指標,以及延用Benston,Irvine and Kandel(2002)觀察不同投資人的下單行為對流動性及市場效率性產生之影響。由於不同投資人之間的訊息傳遞速度及專業程度彼此不同,故在計算上同時區分成外資、散戶、其他法人,自營商等不同交易人,研究是什麼樣的交易人行為會造成價格傳遞不效率。此外,資料期間適逢金融海嘯之際,因此進一步探討各類型交易人在正常市場與市場恐慌時的交易行為是否有差異,證實此研究並不受市場異動而變化。
英文摘要 In this paper, we apply the method of Ekkehart Boehmer, Eric K. Kelley.(2009) to investigate the futures market efficiency to examine the impact from order aggressive of different types traders in the TAIEX futures and options market. We also discuss the impact of financial crisis how to affect the investors.
After the regression analysis, this paper finds that the information transmission in the futures market is most efficiency, and then is in ITM options market, and finally is OTM options markets. We further distinguish different investors, futures dealer trading behavior will lead to a significant improvement of market liquidity, although the main market is individual investors, but there are many noise traders to decrease market efficiency. On the other hand, futures dealers not only provides liquidity, accurate order behavior promote information react on price.
In the period of financial crisis, we further explore different types traders between normal market and market panic behavior whether there are differences, this study confirmed that conclusion is not subject to financial crisis.
論文目次 第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 6
第四節 研究流程 7
第二章 文獻回顧 8
第一節 市場效率性 8
第二節 流動性 12
第三節 各類投資人之資訊性 16
第三章 研究方法 18
第一節 衍生性商品簡介及市場結構概述 18
第二節 研究資料及樣本篩選 22
第三節 變數說明 30
第四節 控制變數 38
第五節 迴歸模型設定 41
第四章 實證結果 42
第一節 敘述統計 42
第二節 迴歸分析 52
第三節 強健性檢定 65
第五章 結論 67
參考文獻 69
附 錄 一 73

表目錄
【表 3 1】近五年各商品年成交量統計表 19
【表 3 2】各類交易人台指期貨交易量統計 單位:契約口數 20
【表 3 3】Top 20 Derivatives Exchanges 21
【表 3 4】衍生性商品內容簡介 23
【表 3 5】期貨委託檔格式說明 25
【表 3 6】期貨成交檔格式說明 25
【表 3 7】選擇權委託檔資料格式 27
【表 3 8】選擇權成交檔資料格式 27
【表 4 1】不同市場效率性之敘述統計比較 43
【表 4 2】期貨敘述統計 44
【表 4 3】價內買權敘述統計 46
【表 4 4】價外買權敘述統計 47
【表 4 5】價內賣權敘述統計 49
【表 4 6】價外賣權敘述統計 50
【表 4 7】樣本相關係數表 51
【表 4 8】流動性變數對市場效率性之迴歸分析 期貨 54
【表 4 9】流動性變數對市場效率性之迴歸分析 價內買權 56
【表 4 10】流動性變數對市場效率性之迴歸分析 價外買權 58
【表 4 11】流動性變數對市場效率性之迴歸分析 價內賣權 60
【表 4 12】流動性變數對市場效率性之迴歸分析 價外賣權 62
【表 4 13】期貨和選擇權之效率性總表 64
【表 4 14】穩健性檢定結果總表 66
【表 7 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 73

圖目錄
【圖 1 1】研究流程圖 7
【圖 3 1】期貨選擇權市場各類投資人與一般投資人參與比重變化 20
【圖 3 2】2007年至2011年台灣加權股價指數走勢圖 24
【圖 3 3】積極度分界圖 32
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