政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/76875
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 109952/140887 (78%)
造访人次 : 46298229      在线人数 : 1346
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/76875


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/76875


    题名: 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
    贡献者: 陳威光
    林靖庭
    Chen, Paul
    Lin, Ching Ting
    張庭鈞
    Zhang,Ting Jun
    关键词: 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
    上传时间: 2015-07-27 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
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    018101.pdf937KbAdobe PDF2423检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈