本文基於投資者的平均持倉時間、交易量和委託成交比篩選臺灣指數期貨（臺股期貨）市場的快速交易者，並檢驗了快速交易是否有助於改善市場流動性。鑒於臺股期貨市場是委託單驅動的，我們使用交易成本(Cost to trade)衡量市場流動性。我們發現快速交易者參與率的提高後，市場交易成本顯著降低，即期貨市場之快速交易有利流動性。本文將快速交易進一步分解為供給流動性和需求流動性兩類。我們發現供給和需求流動性之快速交易均利於改善市場流動性。這意味著臺股期貨市場流動性之供給和需求可能存在流動性外溢。按投資者類型分類，散戶供給流動性和需求流動性之快速交易均有助於降低交易成本，但是當外資和本土法人機構投資者需求流動性快速交易參與率增加後，交易成本顯著上升。這表明散戶之快速交易者是臺股期貨市場主要的流動性供給者。最後，基於臺股期貨市場市場震動期間之子樣本和小型臺指期貨市場資料做的兩個穩健性檢驗提供了了類似的結果。

We classify the fast traders in the Taiwan stock index futures (TX) market, based on investors' average holding period, trading volume and order-to-trade ratio and examine whether fast trading (FT) improves market liquidity. Because of the order driven market of the TX, we apply the cost to trade (CTT) to measure market liquidity. We find that the CTT reduces significantly when the FT participation rate increases, which indicates that FT improves the liquidity of the TX market. We further decompose FT into supplying liquidity and demanding liquidity, based on which we determine that both liquidity supplying trades and liquidity demanding trades are conducive to improving market liquidity. The findings indicate the existence of a liquidity externality between liquidity supplying trade and liquidity demanding trade. For retail investors, both liquidity supplying trades and liquidity demanding trades reduce the CTT. However, CTT increases significantly when the participation rates of FT liquidity demanding trades from both foreign and domestic institutional investors increase. The findings imply that fast traders among retail investors are the major liquidity supplier in the TX market. Finally, we conduct two robustness tests, in which the subsamples from the volatile period and the data of the Mini Taiwan stock index futures (MTX) market provide similar results.

目錄

第一章 緒論	1
第二章 資料和快速交易者的篩選	5
第一節 資料說明	5
第二節 快速交易者的篩選	6
第三節 快速交易者供給和需求流動性之交易	8
第三章 實證方法	9
第一節 變數介紹	9
第二節 迴歸模型	12
第三節 時間間隔選擇	15
第四章 實證分析	17
第一節 敘述統計	17
第二節 快速交易者對市場流動性之影響	18
第三節 快速交易者供給和需求流動性之交易對市場流動性影響	20
第四節 日內模式的分析	23
第五節 穩健性檢驗	24
第五章 結論	29
附錄	31
文獻參考	32

表目錄

表 2.1 臺股期貨市場投資者交易特徵之描述統計	7
表 2.2 快速交易者供給和需求流動性交易之區分	8
表 3.1 臺股期貨最佳一檔買賣價差敘述統計	9
表 3.2 臺股期貨市場委託單在給定時間間隔內撮合成交比例	16
表 4.1 主要變數的描述性統計	17
表 4.2 全市場即各類型投資者之快速交易對市場流動性之影響	19
表 4.3 需求和供給市場流動性之快速交易對流動性的影響	21
表 4.4 快速交易對市場流動性影響之日內模式回歸結果	23
表 4.5 快速交易在市場恐慌期間對流動性的影響	25
表 4.6 時間間隔更改為5分鐘快速交易對市場流動性的影響	26
表 4.7 快速交易者之篩選比例變更為10%時快速交易對市場流動性的影響	27
表 4.8 快速交易對小型臺指期貨市場流動性之影響	28
表 6.1 不同大額市價單在各檔消化之概率分配	31

圖目錄

圖 3.1 臺股期貨最佳一檔買賣價差之日內統計	10

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