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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/76875


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    题名: 台灣期貨市場快速刪單之研究 —從投資者身分別探討
    A Study of Fleeting Orders in Taiwan’s Futures Markets Across Investor Types
    作者: 張庭鈞
    Zhang, Ting Jun
    贡献者: 陳威光
    林靖庭
    Chen, Paul
    Lin, Ching Ting
    張庭鈞
    Zhang,Ting Jun
    关键词: 快速抽單
    高頻交易
    限價單
    台灣期貨市場
    fleeting orders
    high frequency trading
    limit orders
    Taiwan’s futures markets
    日期: 2015
    上传时间: 2015-07-27 11:24:18 (UTC+8)
    摘要: 本篇論文主要探討台灣期貨市場於2005年至2008年的快速抽單(Fleeting orders)現象。文章將市場交易者區分為機構法人、散戶、自營商以及外資共四類族群，研究抽單背後的動機是否與各族群中交易者的下單積極程度、追價動作，或是降低成交成本有關。實證結果顯示，機構法人在快速抽單動作上無顯著動機；在散戶部分，僅部分散戶具有能力進行快速抽單，而其主要動機是為了降低交易成本。自營商的進場動機，主要是以造市為考量，因此測試市場上是否存在更激進的交易對手單是快速抽單的原因之一。此外，自營商亦會因要降低成交成本而進行快速抽單的動作。由於外資的主要策略是使用波段操作獲取大額利潤，無顯著證據證明外資進行快速抽單的動機是涵蓋於上述三種假設。
    本文亦透過實證分析，探討快速抽單與合約報酬的關係，並以研究觀察有較高的快速抽單率是否會帶來較佳報酬，實證結果顯示各族群皆無顯著正相關，但散戶有顯著負相關。四類族群各自有不同的交易型態，故不能將他們概一而論，本篇論文的貢獻即是透過快速抽單，證明四個交易族群在程式交易上，具有不同的策略方向以及對於市場有不同的熟悉程度。
    This paper focuses on the phenomenon of fleeting orders in Taiwan’s futures markets from 2005 to 2008. Traders who in the markets will be divided into local institutional investors, individual, Dealer, and foreign institutional investors. Our study will find the motivation behind fleeting orders under the three hypotheses: attractive, chasing, and the cost-of-immediacy. The empirical results show that local institutional investors have no significant motivation. Only part of individual investors have the ability to use fleeting orders, and their main motivation is to reduce transaction costs. Dealers act as a market maker, so the main motivation for dealers is to raise liquidity. So to test whether a more aggressive limit orders exists in the market is one of the reasons for them to submit fleeting orders. In addition, dealers will also cancel limit orders in order to reduce the transaction costs. Because the main strategy for foreign institutional investors is to obtain a large profit during a period, they have no significant evidence to explain any motivation under the three assumptions.
    This article also analysis the relationship between fleeting orders and performance, and investigate whether the high fleeting ratio could bring much better profits. The empirical result show that all of four type investors have no significant positive correlation of fleeting orders and performance, but individual investors have significant negative correlation of fleeting orders and performance. Each of four type investors has different trading patterns, so that we should treat them case by case. The contribution of this paper is to prove that the four type investors have different strategies when they use trading program, and they also have different experience in Taiwan’s futures markets.
    參考文獻: Ahn, H. J., Bae, K. H., and Chan, K., 2001. Limit Orders, Depth and Volatility: Evidence from the Stock Exchange of Hong Kong. Journal of Finance 56, 767-788.
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    Raman, V., and Yadav, P., 2013. The Who, Why and How Well of Order Revisions: An Analysis of Limit Order Trading. Presented at the European Finance Association Annual Conference.
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    描述: 碩士
    國立政治大學
    金融研究所
    102352018
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1023520181
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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