極短線交易之流動性供給對於台灣期貨市場波動度之影響

Abstract

本文採用日內高頻資料，以台灣期貨市場中的臺股期貨為主要研究標的，並將持倉時間為十秒內之交易定義為極短線交易，透過將這些極短線交易之委託單排除後的市場委託不均衡，與完整市場的委託不均衡情形相比較，來觀察他們對市場的流動性供需情形與其對市場流動性的影響，再進一步分析其日內型態，最後透過迴歸模型，探討極短線交易提供之流動性對市場波動度的影響。 實證結果顯示：1. 極短線交易能夠有效提供市場流動性。2. 其提供之流動性呈現日內U型曲線，並與日內實現波動度呈正相關。3. 投資人會在市場波動較大時，進入市場執行極短線交易賺取價差，提供並改善市場流動性，造成市場波動幅度降低。4. 若市場價格波動幅度較小時，則極短線交易會在後期提供較多流動性。

This research employs intraday high frequency data on TAIEX futures. In our study, we define a trade with a holding period below 10 seconds as a very-short-term trade. We compare the order imbalance which excludes very-short-term trades and the order imbalance of the whole market, to find out how these very-short-term trades affect the market liquidity. Furthermore, we observe the intraday pattern of these trades and use regression models to analyze the influence of liquidity provided by these trades on market volatility. Our empirical results reveal that very-short-term trades significantly provide liquidity in the Taiwan futures market. On the other hand, we show that the liquidity provided by these trades has an intraday U-shaped pattern and it is positively associated with intraday realized volatility. In addition, our results indicate that investors prefer entering the market to executing very-short-term trades for earning the spread when the market volatility is high. These trades enhance the liquidity of the futures market, playing the role of the liquidity supplier and reducing market volatility. Besides, we also find that if the market volatility decreases, these very-short-term trades will provide more liquidity in the later period.