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題名 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
貢獻者 陳威光<br>林靖庭
Chen, Paul<br>Lin, Ching Ting
張庭鈞
Zhang,Ting Jun
關鍵詞 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
上傳時間 27-Jul-2015 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.
Avellaneda, Marco, Sasha Stoikov, 2008, High-frequency trading in a limit order book, Quantitative Finance, Vol. 8, No. 3, April 2008, 217–224.
Badrinath, S. G., Wilbur G. Lewellen 1991, Evidence on Tax-Motivated Securities Trading Behavior, The Journal of Finance, Vol. 46, No. 1 (Mar., 1991), pp. 369-382.
Barber, Brad M., Terrance Odean, 2008, All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, The Review of Financial Studies, Vol. 21 No. 2, 2008.
Brennan, Micheal J., Avanidhar Subrahmanyam, 1995, Investment Analysis and Price Formation Insecutities Markets, Journal of Finandial Economics 38 (1995) 361-381.
Dhar, R., & Zhu, N. (2006). Up Close and Personal: Investor Sophistication and The Disposition Effect. Management Science, 52, 726-740.
Fama, Eugene F., James D. MacBeth, 1973, Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy, Vol. 81, No. 3 (May - Jun., 1973), pp. 607-636.
Fong, Kingsley Y.L., Wai-Man Liu, 2010, Limit order revisions, Journal of Banking & Finance 34 (2010) 1873-1885.
Grinblatt, M., & Keloharju, M. (2001a). What makes investors trade? Journal of Finance, 56, 589－616.
Hasbrouck, Joel, Gideon Saar, 2009, Technology and Liquidity Provision: The Blurring of Traditional Definitions, Journal of Financial Markets, Volume 12, Issue 2, May 2009, Pages 143–172.
Jonathan, Brogaard, 2010, High Frequency Trading and Its Impact on Market Quality, Working Paper.
Kirilenko , Andrei, Albert S. Kyle, Mehrdad Samadi, Tugkan Tuzun, 2011, The Flash Crash: The Impact of High Frequency Trading on an Electronic Market, Working paper.
Kyle, Albert S., 1985, Continuous Auctions and Insider Trading, Econometrica, Vol. 53, No. 6 (Nov., 1985), pp. 1315-1335.
Lee, Charles M. C., Mark J. Ready, 1991, Inferring Trade Direction from Intraday Data, Journal of Finance, Vol. 46, No. 2(Jun., 1991).
Li, H. C., Lin, C. H., Cheng, T. Y., & Lai, S. 2013, How different types of traders behavior in the Taiwan futures market. Journal of Futures Markets, 33, 1097-1117.
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.
Stoll, Hans R., 1978, The Pricing of Security Dealer Services: An Empirical Study of Nasdaq Stocks, The Journal of Finance, Vol. 33, No. 4 (Sep., 1978), 1153-1172.
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
資料類型 thesis
dc.contributor.advisor 陳威光<br>林靖庭zh_TW
dc.contributor.advisor Chen, Paul<br>Lin, Ching Tingen_US
dc.contributor.author (Authors) 張庭鈞zh_TW
dc.contributor.author (Authors) Zhang,Ting Junen_US
dc.creator (作者) 張庭鈞zh_TW
dc.creator (作者) Zhang, Ting Junen_US
dc.date (日期) 2015en_US
dc.date.accessioned 27-Jul-2015 11:24:18 (UTC+8)-
dc.date.available 27-Jul-2015 11:24:18 (UTC+8)-
dc.date.issued (上傳時間) 27-Jul-2015 11:24:18 (UTC+8)-
dc.identifier (Other Identifiers) G1023520181en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76875-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 102352018zh_TW
dc.description.abstract (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。		zh_TW
dc.description.abstract (摘要) 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.		en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 3
第二章 介紹 4
第三章 文獻回顧 6
第一節 高頻交易與事件 6
第二節 快速抽單 7
第三節 交易者分類 9
第四章 資料 11
第一節 交易資訊 11
1.委託單資訊 11
2.市場成交資訊 12
3.市場最佳五檔報價資訊 13
第二節 快速抽單 13
第三節 交易者分群 15
第五章 研究方法 17
第一節 變數的假設與計算公式 18
第二節 資料分類 20
1.整體樣本—區分各族群 20
2.只取有快速抽單的交易者 21
3.切割單獨年分—區分各族群 21
第三節 加入績效的探討 22
第六章 實證結果 24
第一節 限價取消單的分布 24
第二節 存續模型的分析 27
1.整體資料的分析 27
2.穩定性分析 33
第三節 績效與快速抽單的關係 40
第七章 結論 43
參考文獻 43		zh_TW
dc.format.extent 959869 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1023520181en_US
dc.subject (關鍵詞) 快速抽單zh_TW
dc.subject (關鍵詞) 高頻交易zh_TW
dc.subject (關鍵詞) 限價單zh_TW
dc.subject (關鍵詞) 台灣期貨市場zh_TW
dc.subject (關鍵詞) fleeting ordersen_US
dc.subject (關鍵詞) high frequency tradingen_US
dc.subject (關鍵詞) limit ordersen_US
dc.subject (關鍵詞) Taiwan’s futures marketsen_US
dc.title (題名) 台灣期貨市場快速刪單之研究 —從投資者身分別探討zh_TW
dc.title (題名) A Study of Fleeting Orders in Taiwan’s Futures Markets Across Investor Typesen_US
dc.type (資料類型) thesisen
dc.relation.reference (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.
Avellaneda, Marco, Sasha Stoikov, 2008, High-frequency trading in a limit order book, Quantitative Finance, Vol. 8, No. 3, April 2008, 217–224.
Badrinath, S. G., Wilbur G. Lewellen 1991, Evidence on Tax-Motivated Securities Trading Behavior, The Journal of Finance, Vol. 46, No. 1 (Mar., 1991), pp. 369-382.
Barber, Brad M., Terrance Odean, 2008, All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, The Review of Financial Studies, Vol. 21 No. 2, 2008.
Brennan, Micheal J., Avanidhar Subrahmanyam, 1995, Investment Analysis and Price Formation Insecutities Markets, Journal of Finandial Economics 38 (1995) 361-381.
Dhar, R., & Zhu, N. (2006). Up Close and Personal: Investor Sophistication and The Disposition Effect. Management Science, 52, 726-740.
Fama, Eugene F., James D. MacBeth, 1973, Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy, Vol. 81, No. 3 (May - Jun., 1973), pp. 607-636.
Fong, Kingsley Y.L., Wai-Man Liu, 2010, Limit order revisions, Journal of Banking & Finance 34 (2010) 1873-1885.
Grinblatt, M., & Keloharju, M. (2001a). What makes investors trade? Journal of Finance, 56, 589－616.
Hasbrouck, Joel, Gideon Saar, 2009, Technology and Liquidity Provision: The Blurring of Traditional Definitions, Journal of Financial Markets, Volume 12, Issue 2, May 2009, Pages 143–172.
Jonathan, Brogaard, 2010, High Frequency Trading and Its Impact on Market Quality, Working Paper.
Kirilenko , Andrei, Albert S. Kyle, Mehrdad Samadi, Tugkan Tuzun, 2011, The Flash Crash: The Impact of High Frequency Trading on an Electronic Market, Working paper.
Kyle, Albert S., 1985, Continuous Auctions and Insider Trading, Econometrica, Vol. 53, No. 6 (Nov., 1985), pp. 1315-1335.
Lee, Charles M. C., Mark J. Ready, 1991, Inferring Trade Direction from Intraday Data, Journal of Finance, Vol. 46, No. 2(Jun., 1991).
Li, H. C., Lin, C. H., Cheng, T. Y., & Lai, S. 2013, How different types of traders behavior in the Taiwan futures market. Journal of Futures Markets, 33, 1097-1117.
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.
Stoll, Hans R., 1978, The Pricing of Security Dealer Services: An Empirical Study of Nasdaq Stocks, The Journal of Finance, Vol. 33, No. 4 (Sep., 1978), 1153-1172.		zh_TW