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| Title: | 台指期合理最小升降單位探討
A Study and Review on the Minimum Tick Size for Taiex Index Futures at TAIFEX |
| Authors: | 張峻浩
Chang, Chun-Hao |
| Contributors: | 周冠男
Chou, K. Robin
張峻浩
Chang, Chun-Hao |
| Keywords: | 台指期
最小升降單位
價格叢聚
流動性
高頻商
造市商
Taiex Futures
Minimum Tick Size
Price Clustering
Market Liquidity
High Frequency Trading
Market Maker |
| Date: | 2023 |
| Issue Date: | 2024-02-01 11:03:52 (UTC+8) |
| Abstract: | 台灣期貨交易所的旗艦期貨商品 - 台灣加權股價指數期貨（台指期），自1998年7月上市以來，指數的最小升降單位雖然經歷過不同的價格水位，它皆維持在1大點。市場中存在不同的意見，有參與者希望能將最小升降單位縮小，也有參與者希望最小升降單位能夠放大，此研究透過不同市場意見做為參考，加上將台指期的最小升降單位實際與亞太地區其它主要指數期貨的最小升降單位進行比較，依交易量多寡來判斷最小升降單位是否設定在合理區間中，並提供結論及建議。
此研究以各指數的最小升降單位與合約價進行比較並計算出相對的比例，再將各最小升降單位換算成約當台幣價值進行比較，最後檢視台指期最小升降單位的獲利是否能夠含蓋特定交易人的一趟來回買賣的成本，進而推論最小點數的設定是否設定合理及當價格到達某個水位後是否建議進行調整。
依以上研究得到的結論是台指期目前設定的最小升降單位是落在其它主要指數期貨的合理區間內並且是相對積極的，所以建議無需進行最小升降單位的調整。不過因為受到交易稅的影響，交易成本為浮動的，因此當指數水位到達18,750點時，最小升降單位的獲利將無法含蓋買賣來回交易的所有交易成本，因此建議當交易水位超過18,750點水位之上時，可以將最小升降單位調高1.5或2倍。
The flagship futures product of Taiwan Futures Exchange is the Taiex Index Futures, which has a minimum tick size of 1 point since its launch in July, 1998. There has been quite a big price fluctuation in the passed years, but the minimum tick size has stayed the same throughout. There are different voices and opinions in the market requesting for an adjustment to either increase or decrease the tick size. This study and review is to take into account of all different market opinions and analyze through comparing Taiex Index Futures’ minimum tick size to those other major index futures’ tick size within the APAC region.
The Study is to compare the ratios of minimum tick sizes to each of its product’s notional price. The contract value of each minimum tick is converted into same currency (TWD) to see how Taiex Futures’ minimum tick size sits within the range. The study also looks into the round-trip trading cost to see if the profit made from 1 tick would cover the trading cost, and finally make a conclusion and suggestion with the result of study.
The Study found that Taiex Futures’ minimum tick size ratio sits within the norm range of those major index futures’ ratio and is actually toward an aggressive position, which also reflected in its own trading volume compared to these major index futures. With few assumptions, the study also found that the profit made within traing a tick is ablet to cover the round-trip trading cost of a high volume contributor when the product is trading below 18,750. As a conclusion and suggestion, the study concluded that it’s not necessary to adjust minimum tick size at current trading price (16,700 level); however, if the price goes above 18,750, the tick size is recommended to be adjusted to 1.5 or 2 points to be sufficient. |
| Reference: | 一、 中文部分
洪怡君，2016，台灣股票市場價格叢聚，規模叢聚與交易績效之分析，國立暨南國際大學，財務金融學系，南投 台灣
陳煒明，2007，金融市場微結構之探討：升降單位與流動性議題之分析，國立交通大學，管理科學系，新竹 台灣
菅瑞昌，闕河士，方怡，2013，台灣期貨交易所股價指數期貨之交易量群聚與成因，管理與系統，第二十券第一期，165-200
張誌賓，(2006)，縮小股價升降單位對台灣股票市場之影響
謝文良，2007，市場品質、流動性提供及價格叢聚—價格升降單為之影響研究，行政院國家科學委員會專題研究計畫成果報告三年期計畫，第一年成果報告，1-4
蕭朝興，王子湄，2008，台灣股市委脫價格群聚現象之實證研究，管理學報，第二十券第三期，359-380
蕭朝興，王子湄，蘇建豐，2010，台灣股市縮小升降單位對價格群聚與市場流動性的影響，管理與系統，第十七券第一期，75-106
二、 英文部分
Chou, K. Robin, 2006, Decimalization, Trading Costs, and Information Transmission between ETFs and Index Futures, The Journal of Futures Markets, Vol. 26, No. 2, 131-151.
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EURO STOXX® 50 Index Futures: Change of minimum price gradation (tick) for outright futures contracts, Retrieved Jan 31 2022, from: https://www.eurex.com/ex-en/find/circulars/circular-2919346
Eurex Exchange Readiness Newsflash | Reminder EURO STOXX® 50 Index Futures: Change of minimum price gradation (tick) for outright futures contracts, Retrieved May 13 2022, from : https://www.eurex.com/ex-en/find/circulars/Eurex-Exchange-Readiness-Newsflash-Reminder-EURO-STOXX-50-Index-Futures-Change-of-minimum-price-gradation-tick-for-outright-futures-contracts-3014960
Eurex Group: EURO STOXX® 50 tick Size Reduction: Improving Price Discovery And The Implicit Spread, Retrieved Jan 29 2021, from: https://mondovisione.com/media-and-resources/news/eurex-group-euro-stoxx-50-tick-size-reduction-improving-price-discovery-and-t/
Fleming, Michael, Giang Nguyen and Francisco Ruela, 2019, Tick size change and market quality in the U.S. Treasury market, Staff Report No. 886, Federal Reserve Bank of New York, 21-26
Foresight: The future of computer trading in financial markets (2012), Final Project Report, The Government Office for Science, London, 106-108
Goodhart, C. and R. Curcio, 1991, The Clustering of BidAsk Prices and the Spread in the Foreign Exchange Market, unpublished manuscript, London: London School of Economics.
Grossman, S.J., M.H. Miller, K. R. Cone, and F.R. Fischel, 1997, Clustering and Competition in Asset Markets, Journal of Law and Economics 40, 23-60.
Harris, E. Lawrence, 1991, Stock Price Clustering and Discreteness, Reviews of Financial Studies 4, 389-415.
Harris, E. Lawrence, Spring 1994, Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Size, The Review of Financial Studies (1986-1988), University of Southern California, 149-155
Hornik, J., J. Cherian, and D. Zakay, 1994, The Influence of Prototypic Values on the Validity of Studies Using Time Estimates, Journal of Market Research Society, 36, 145-147.
Li, Nancho and Shankar Naraynan, 2021, Tick size implicit spread and liquidity: Application for Eurex index futures, Quantitative Brokers, 1-5
Li, Nancho and Shankar Naraynan, 2021, Tick size reduction and its potential impact on microstructure of EURO STOXX Index Futures, Quantitative Brokers, 1-7
Narayanan, Shanker and Qian Sun, 2020, Liquidity and quote size changes in futures, Quantitative Brokers, 1-5
Singapore Exchange, 2022, Market Statistics Report, Singapore Exchange, 2, 12-13
Verousis, Thanos, Pietro Perotti and Georgios Sermpinis, 2017, One size fits all? High frequency trading, tick size change and the implications for exchanges: market quality and market structure considerations, Springer, Rev Quant Finan Acc (2018), 353-392
Webcast (replay) : Tick size reduction of EURO STOXX® Index Futures and its impact, Retrieved, May 13 2022, from: https://www.eurex.com/ex-en/find/webcast-replays/Webcast-replay-Tick-size-reduction-of-EURO-STOXX-Index-Futures-and-its-impact-2680576
XTX Markets, 2015, Tick sizes and their effect on the buy-side, XTX Markets, 2-5 |
| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
107932127 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107932127 |
| Data Type: | thesis |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
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