投資人行為對期貨市場流動性之影響：以處分效果與過度自信為例

Abstract

本研究旨在探討投資人行為對委託單驅動市場流動性之影響。以台灣期貨市場為例，針對大台指期貨、小台指期貨、金融期貨和電子期貨四個市場分別將具有處分效果與過度自信兩種投資人行為之委託單刪除，計算出刪單前後之整體市場委託不均衡變化量作為流動性代理變數，藉以看出兩種投資人行為對市場流動性供需狀況。 處分效果投資人會急於賣掉有獲利部位而保留有帳面上虧損的部位，因此在處分獲利部位時便產生流動性需求；而過度自信是一群相信自身能力，並且非常看重私有資訊，卻忽略外在訊號的投資人，這種自認唯有資訊的投資人同時扮演著流動性供給與需求的角色，但文獻指出整體而言他們是供給大於需求。實證結果顯示處分效果在大台指期貨和小台指期貨均顯著為流動性需求者，但金融期貨與電子期貨卻不然，其原因可能與這兩個市場的參與者結構有關；而過度自信在四個市場檢驗結果證實他們為流動性供給者，符合我們的預期。 另外，本研究利用交易量、報酬率和波動度等三種市況當作自變數，與兩種投資人行為分別所計算出的流動性當應變數來做TOBIT Model 回歸檢定。我們發現交易量對於所計算出來的流動性幾乎都有影響，但是另外兩個變數檢定結果比較不一致。This study aims to investigate the impact of investors’ behaviors on the liquidity of order-driven futures market. We delete the orders placed by investors with disposition effect or overconfidence to calculate the changes of market order imbalance in Taiwan Futures Exchange(TAIFEX) including the TAIEX Futures(TX), the mini-TAIEX Futures(MTX), the Finance Sector Futures(TF) and the Electronic Sector Futures(TE), so that we can find out how the two investors’ behaviors affect the market liquidity. Investors with disposition effect tend to ride losses and realize gains, so there are liquidity needs when closing the profit position; the overconfident investors trust their own trading abilities and overweigh private information. They play a role of liquidity suppliers and demanders simultaneously, but overall, their liquidity supplies exceed demands. The empirical results for TX and MTX show that investors with disposition effect are liquidity demanders. On the other hand, overconfident investors are significantly liquidity suppliers for TX, MTX, TF and TE. This paper also uses market volume, rate of return and market volatility as explaining variables to regress the market liquidity with TOBIT Model. Wefind the volume influences market liquidity significantly, while the test results of rate of return and volatility are not consistent with different behaviors.