台灣期貨市場頻繁交易人對期貨市場報酬波動的影響

Abstract

本研究主要目的為探討台灣期貨市場中，頻繁交易人對於期貨市場報酬波動的影響。我們以台灣期貨市場中的大台指期貨與小台指期貨為研究標的，並根據成交量大以及持倉率低兩個特徵篩選期貨市場中的頻繁交易人。將頻繁交易人成交量區分為預期與未預期兩部分，以GARCH模型及不對稱Component GARCH模型探討其對市場報酬波動的影響。 實證結果發現預期成交量與市場報酬波動呈正向顯著關係，未預期成交量與市場報酬波動呈負向關係但不顯著，不同過去多數文獻發現市場波動為未預期成交量所解釋。長期波動與短期波動亦皆由預期成交量所解釋，呈正向顯著關係。此外，本研究發現預期成交量對於短期波動的影響大於長期波動。

The main purpose of this study is to examine the impact of frequent traders on the return volatility in Taiwan futures market. We use the TAIEX Futures (TX) and the Mini-TAIEX Futures (MTX) as our research topic. In this study, Frequent traders are identified by two characteristics: large trading volume and low position level. Decomposing frequent traders’trading volume into expected and unexpected components, we use GARCH and asymmetric Component GARCH model to investigate influence of expected and unexpected trading volume on the market return volatility. The results suggest a positive relationship between the expected trading volume of frequent traders and market return volatility. But there is a negative but non-significant relationship between the unexpected trading volume of frequent traders and market return volatility. On the other hand, we apply asymmetric Component GARCH model to decompose market return volatility into the permanent component and the transitory component. The results suggest that the expected trading volume of frequent traders is positively correlated with the permanent component and the transitory component. Furthermore, we find that the expected trading volume of frequent traders has larger effect on the transitory component than the permanent component.