投資人修改委託單與拆單行為之探討:以台灣指數期貨市場為例

Abstract

本研究探討台灣指數期貨不同投資人的委託單修改，以及委託單拆單的行為。本研究第一部分觀察投資人委託單下單策略，研究發現機構投資人執行委託單修改和委託單拆單的策略頻率較高。 第二部份從不同類型投資人其交易型態類型和委託單修改頻率來看，機構投資人以外資和期貨自營商較會積極透過密集的委託單修改來主動管理他們的投資部位風險，從散戶的交易型態來看，散戶較不會透過修改委託單來管理投資部位。 第三部份接著探討投資人委託單修改頻率以及委託單拆單兩種下單策略是否有助於提升未來預期報酬和降低價格衝擊。 修改頻率部份，外資在修改委託頻率與未來預期報酬呈現正相關顯著，顯示外資修改單策略有助於提升事後報酬的績效，而外資委託修改頻率和價格衝擊成本為負相關顯著，顯示外資修改單技巧較好能夠降低價格衝擊成本。再看散戶修改委託單越頻繁反而會使未來績效報酬變差，且會造成價格衝擊成本增加。 拆單頻率部份，外資拆單頻率越多與事後報酬為正相關顯著，與價格衝擊成本為負相關顯著，顯示外資拆單策略有提升交易上的優勢，本土法人拆單與價格衝擊為負相關顯著，散戶拆單越頻繁無助於提升事後報酬，但卻也有降低價格衝擊的結果，期貨自營商拆單與事後報酬為正相關顯著。 不論從修改單策略或者是拆單策略結果來看，顯示自營商、本土法人和散戶在下單技巧較為不足，外資在台指市場為最有資訊和交易技巧最好的投資人。This study examines the investors' limit order revisions and order splitting in their trading of the Taiwan Futures Market. There are three parts to our analysis: we first examine the limit order strategies practiced by investors. The second part compares the various practice and frequency of limit order revisions undertaken by different types of investors. Amongst institutional investors, foreign invested firms and futures proprietary firms tend to be more active in their limit order revisions. The frequency of order revision executed by foreign institutions have also shown significant positive correlation with future expected return. However, futures proprietary firms and individual investors' frequency in revision limit orders are proven not significant. Similarly, as the number of order splits undertaken by foreign institutions increases, it becomes positively correlated with ex post but negatively correlated with the price impact. Domestic institutions who have practised such order-split strategy have also shown positive correlations with their ex post, though this relationship has not been significant. This order-split strategy has, however, a significantly negative relationship the price impact. Last but not least, despite ineffective order splits undertaken by individual investors that offer no help in increasing post-split profit returns, these order splits were still able to bring down the impact of price shocks. The significant positive correlation of order split and post-split returns is evident in the case of futures proprietary firms as well, though the same negative correlation with the price impact has also not been significant. Regardless of looking from the perspective of either a limit order revision or order splitting strategy, foreign institutions are the most well-informed, as well as having the best trading techniques in the Taiwan Futures Market.