臺灣博碩士論文加值系統

為探討自然人、自營商以及外資等三類別交易者的交易型態與彼此間的相互關係，本研究以台灣期貨市場為研究對象，並以市場中最活躍的台指期貨為研究樣本，詳細分析每一類別交易人所占有的資訊比例以及所提供的流動性供給程度，並進一步地檢視期貨市場中各類別交易者之交易行為與其績效和報酬的相關性。研究結果顯示，自然人為三類別投資人中最具資訊的交易者，故其會有最佳的中長天期績效與報酬。另外，實證結果也發現，自然人為市場上提供流動性最多的交易者，因此短天期績效與報酬也以自然人表現最好。

This study aims at conducting a detailed analysis on the trading patterns and interdependencies among retail investors, professional futures traders, and foreign institutions in the context of Taiwan''s futures market by using the most active futures contracts, namely, TX futures contracts. We will first examine whose trades are more informative, and then analyze the liquidity provision among various types of investors, and finally the trading performance of various types of investors. The results suggest that retail investors have better information and long-term performance than professional futures traders and foreign institutions. Moreover, our empirical results also find that, the retail investors are the major liquidity providers and they have superior short-term performance.

摘要 i
Abstract ii
致謝 iii
目錄 iv
表目錄 v
圖目錄 vi
壹、緒論 1
一、研究背景與動機 1
二、研究目的 2
三、研究架構 3
四、研究流程 4
貳、文獻回顧 5
一、資訊比例與交易者類型 5
二、流動性供給與交易者類型 7
三、交易績效與交易者類型 8
參、研究方法 10
一、台灣期貨交易所交易機制之介紹 10
二、資料說明與處理 12
三、實證模型 13
（一）資訊比例模型 13
（二）流動性供給 15
（三）執行績效與投資報酬 17
肆、實證結果 19
一、基本統計量 19
二、各類別交易者之資訊比例 21
三、各類別交易者之流動性供給 22
四、各類型交易者之績效與報酬 23
伍、結論與建議 27
參考文獻 29

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