臺灣博碩士論文加值系統

本文旨在探討開放期貨交易對於現貨市場之影響。雖然本文主要以股市為現貨市場進行分析，若干結論亦適用於其他資產市場，例如外匯市場。我們考慮一連續時間股票市場，其中有兩類主要投資人，即流動性供給者與流動性需求者，研究其交易策略如何因期貨市場開放而改變，進而解釋期貨與現貨市場在動態競爭均衡時之流動性及波動性。由於沒有市場作成者(market makers)，市場流動性係由風險驅避的投資大眾以下限價單的方式提供，而後者承接大單量的交易必須獲得較高的風險溢酬以為補償，這決定了市場均衡時的流動性。另一方面，下市價單的流動性需求者可概分為兩類，即為原賦進行避險之避險者，與自以為有優勢資訊的不理性投機者，開放期市也有可能吸引另一批流動性需求者。
本文認為開放期市對股市之影響取決於兩市場間流動性需求的相關程度及市場的組成份子。首先，如果兩市流動性需求為高度負相關，則流動性供給者面臨較少風險，要求較少風險溢酬，所以開放期市有助於股市的流動性，也會減小股價的波動性。不過，流動性供給者會因為賺得較少風險溢酬而降低了效用。反之，如果流動性需求為正相關或低度負相關，則開放期市會使股市流動性下降，也會擴大股價波動性，流動性供給者會因為賺到風險溢酬而提高效用。另外，流動性交易者的行為若具有均數反轉的性質，股市的流動性會增加。最後，如果市場中存在雜訊交易者，開放期市後雜訊交易者放大風險資產的部位，所以流動性供給者便面臨較多風險，要求較多風險溢酬，因此降低股市流動性，增加股價波動性，流動性供給者還是會賺到風險溢酬而提高效用。而且當雜訊交易占交易比重愈大時，開放期市後股市的流動性下降幅度愈大，股價波動性增加幅度愈多，而流動性提供者效用提高愈多。
以上股市分析結果可以加以延伸，探討外匯市場中遠期交易對即期匯率之影響。在非理性投機交易增高的時期，外匯銀行將索取較大的買賣價差(bid-ask spread)， 造成匯市流動性下降，貿易商應避免此時進場交易。詳言之，貿易商宜避免於國際經濟情勢混亂造成熱錢流向不明或財經當局做重大宣示期間進場買賣外匯，因此時雜訊交易程度較高，銀行提供的交易條件較為不利。此外，貿易商應避免與其他貿易商同時進場買賣外匯，因為貿易商同時進場交易將使商業銀行在很短的期間必須吸收過多的避險需求，後者因而以調整買賣價差的方式增加風險溢酬，造成個別貿易商避險成本之上升。最後，本文亦建議貿易商在資訊更迭迅速的期間進場交易，蓋處於此期間的雜訊交易者均數反轉之傾向明顯，商銀面對之風險較低之故。

This paper examines the effects of futures trading on the liquidity and volatility of the cash market. The main analysis is carried out for a stock market, but our results apply to other asset markets as well. We consider a continuous time stock market where liquidity suppliers and demanders may change their stock-trading strategies when futures trading becomes available. Without market makers, the stock market liquidity is supplied by risk-averse investors who submit limit orders and demand risk premia. Correspondingly, there are two classes of liquidity demanders, the rational hedgers who trade either to diversify portfolio risks or to smooth life-time consumption and the irrational speculators who mistakenly take noise as information.
We find that the effects of the futures market on the stock market depend on two main factors: the correlation between liquidity trades in two markets and the composition of the liquidity demanders in the stock market. First, if the liquidity trades are highly negatively (positively or slightly negatively) correlated, opening the futures market improves (reduces) the stock market liquidity and reduces (raises) the volatility, but it also reduces (enhances) the liquidity suppliers’ welfare. Second, mean-reversion in the liquidity demand is shown to improve the liquidity of the stock market. Finally, when there are noise traders, opening the futures market may encourage the latter to trade more aggressively, thereby reducing the stock market liquidity and increasing the volatility and the liquidity suppliers’ welfare.
A modified version of the above model is used to study the effects of futures trading on foreign exchange markets and to obtain useful insights for the optimal trading strategies of discretionary rational hedgers. It is suggested that discretionary hedgers should refrain themselves from trading in a period of time where either important public information may arrive or there is a high uncertainty concerning international arbitrageurs’ trading strategies. Rational hedgers should also avoid entering the market at the same time. Finally, it is a good idea to trade in a period of time when there is only short-lived private information.

目錄i
圖次iii
第壹章導論1
第一節研究動機與目的1
第二節本文內容與架構2
第貳章文獻回顧5
第一節Wang(1993)之簡介6
第二節股票價格的波動性7
第三節股票市場的流動性9
第四節投資人效用水準10
第參章模型設定13
第肆章競爭均衡16
第一節前言16
第二節股票市場的競爭均衡16
第三節股票市場及期貨市場的競爭均衡20
第伍章開放期貨市場的影響25
第一節股票市場流動性26
第二節股票價格波動性28
第三節流動性供給者的效用29
第四節流動性需求均數反轉31
第陸章雜訊交易風險32
第一節均衡求解32
第二節均衡結果35
第柒章外匯市場中貿易商的最適避險策略41
第一節模型設定41
第二節貿易商買賣外匯的最適時機42
第捌章結論及研究限制44
第一節結論44
第二節研究限制45
附錄46
參考文獻51

Admati, Anat R., and P. Pfleiderer, 1988, “A Theory of Intraday Patterns: Volume and Price Variability”, Review of Financial Studies 1, 3-40.
Antoniou, Antonios, and Phil, Holmes, 1995, “Futures Trading, Information and Spot Price Volatility: Evidence for The FTSE-100 Stock Index Futures Contract Using GARCH,” Journal of Banking & Finance 19, 117-129.
Back, Kerry, 1993, “Asymmetric Information and Options,” Review of Financial Studies, 6, 435-472.
Biais, Bruno, and Hillion, Pierre, 1994, “Insider and Liquidity Trading in Stock and Options Markets,” Review of Financial Studies, 7, 743-780.
Black, Margaret, 1986, “Noise,” Journal of Finance 41, 529-543.
Bray, Margaret, 1981, “Futures Trading, Rational Expectations, and The Efficient Markets Hypothesis,” Econometrica 43, 575-596.
Damodaran, Aswath, 1990, “Index Futures and Cash Market Volatility,” Review of Futures Markets 9, 442-457.
DeLong, J. Bradford, Shleifer, Andrei, Summers, Lawrence H., and Waldmann, Robert J., 1989, “The Size and Incidence of the Losses from Noise Trading,” Journal of Finance 46(3), 681-696.
DeLong, J. Bradford, Shleifer, Andrei, Summers, Lawrence H., and Waldmann, Robert J., 1990, “Positive Feedback Investment Strategies and Destabilizing Ratioinal Speculation,” Journal of Finance 45(2), 379-395.
DeLong, J. Bradford, Shleifer, Andrei, Summers, Lawrence H., and Waldmann, Robert J., 1990, “Noise Trader Risk in Financial Markets,” Journal of Political Economics 98(4), 703-738.
DeLong, J. Bradford, Shleifer, Andrei, Summers, Lawrence H., and Waldmann, Robert J., 1991, “The Survival of Noise Traders in Financial Markets,” Journal of Business 64, 1-19.
Detemple, Jerome, and Selden, Larry, 1993, “A General Equilibrium Analysis of Option and Stock Market Interactions,” International Economic Review, 32, 279-303.
Edwards, Franklin R., 1988, “Does Futures Trading Increase Stock Market Volatility?” Financial Analysts Journal 44, 63-69.
Flavin, Marjorie A., 1983, “Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence,” Journal of Political Economy, 91, 929-956.
Grossman, Sanford J., 1989, The Information Role of Prices.
He, Jia, Ng, Lilian, and Wang, Antonio, C. 2000, “The Explanations of Home Bias,” working paper, The Chinese University of Hong Kong.
Herbst, Anthony F., McCormack, Joseph P., and West, Elizabeth N. 1987, “Investigation of a Lead-Lag Relationship Between Spot Stock Indices and Their Futures Contracts,” Journal of Futures Markets 7, 373-381.
Hodgson, Allan, and Des, Nicholls, 1991, “The Impact of Index Futures Markets on Australian Sharemarket Volatility,” Journal of Business Finance & Accounting 18, 267-280.
Hong, Harrison, 2000, “A Model of Returns and Trading in Futures Markets,” The Journal of Finance 55, 959-988.
Huang, Chi. Fu and Litzenberger, Robert H., 1988, Foundations For Financial Economics.
Kawaller, I. G., Koch, P. D., and Koch, T. W., 1987, “The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index,” The Journal of Finance 42, 1309-1329.
Min, Jae H., and Najund, Mohammad, 1999, “A Future Investigation of the Lead-Lag Relationship Between the Spot Market and Stock market and Stock Index Futures: Early Evidence from Korea,” Journal of Futures Markets 19, 217-232.
Narasimhan, Jegadeesh, and Avanidhar, Subrahmanyam, 1993, “Liquidity Effects of The Introduction of The S&P 500 Index Futures Contract on The Underlying Stocks,” Journal of Business 66,171-187.
Netz, Janet S., 1995, “The Effect of Futures Markets and Corners on Storage and Spot Price Variability,” American Agricultural Economics Association 77, 182-193.
Powers, Mark J., 1970, “Does Futures Trading Reduce Price Fluctuations in The Cash Markets?” American Economic Review 60, 460-464.
Ross, Stephen A., 1989, “Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy,” Journal of Finance 44, 1-17.
Samuelson, P. A., 1965, “Proof that Properly Anticpated Prices Fluctuate Randomly,” Industrial Management Review 6, 41-49.
Shiller, Robert. J., 1981, “Does the Stock Market Rationally Reflect Fundamental Values?” American Economic Review 71, 421-436.
Stein, Jeremy C., 1987, “Informational Externalities and Welfare-Reducing Speculation,” Journal of Political Economy, 95, 1123-1145.
Stoll, Han R., 1989, “Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests,” Journal of Finance 44, 115-134.
Stoll, Han R., and Whaley, Robert E., 1987, “Program Trading and Expiration Day Effects,” Financial Analysts Journal 43, 16-28.
Subrahmanyam, Avanidhar, 1991, “A Theory of Trading in Stock Index Futures,” Review of Financial Studies, 4, 17-51.
Tse, Y. K., 1995, “Lead-Lag Relationship Between Spot Index and Futures Price of the Nikkei Stock Average,” Journal of Forecasting 14, 553-563.
Wang, Jiang, 1993, “A Model of Intertemporal Asset Prices Under Asymmetric Information,” Review of Economics Studies 60, 249-282.
West, Kenneth D., 1988, “Dividend Innovations and Stock Price Volatility,” Econometrica 56, 37-61.
李存修, 陳俊霖, 和朱世逸, 1998, “股價指數期貨上市對股市成交量之影響－香港之經驗與實證,” 證券市場發展季刊 10(1), 1-26.
李志宏, 李進生, 和盧陽正, 2000, “新加坡摩根台指期貨與本國台指期貨合約稅制、保證金、漲跌設計及替代性之評估,” 證券市場發展季刊 12(1), 147-168.