臺灣博碩士論文加值系統

台灣期貨市場收盤價的操縱現象並不明顯，推論可能的理由為收盤時採用不連續的搓合機制，使有意操縱收盤價的交易者的操縱意願降低。報酬與操縱呈現負相關，可能的原因為操縱者在不同市場間進行操縱，即使在某一市場虧損，仍能在另一市場獲得更多的報酬。激發操縱交易行為的因子最顯著的解釋變數為交易者的平均累積部位成本，而非收盤價的變動。

This paper uncovers the trade-based manipulative trading in TAIFEX with the detailed trade-level data. The manipulation of closing prices is rather unremarkable. The call auction may be the reason. Revenue and manipulation have a negative remarkable relation. One of the reasons could be that a manipulator trades between different markets at the same time. He can ear more return in one market to cover the loss in another market. The other possible reason is that the informed trader wants to mislead other traders.
This paper finds out that the most explainable motivation of manipulation is the cost of the held position. The outcome supports the negative relation between revenue and manipulation.

Acknowledge ……………………………………………………………………..i
Abstract ………………………………………………………………………….ii
Contents ………………………………………………………………………...iii
1. Introduction ………………………………………………………………....1
2. Institutional background and data ………………………………………......3
2.1 The Taiwan Futures Market ……………………………………………..3
2.2 Data ……………………………………………………………………..4
3. Definition of manipulative trading patterns …………………………………..7
3.1 The dummy variables of manipulation power before closing …………..7
3.2 PRIN …………………………………………………………………….9
4. Result ………………………………………………………………………...13
4.1 The manipulation of closing price ……………………………………..13
4.2 PRIN …………………………………………………………………...15
4.2.1 The return of manipulation …………………………………..16
4.2.2 The motivation of manipulation ……………………………..19
5. Conclusion …………………………………………………………………...23
Appendix ……………………………………………………………………….25
References ……………………………………………………………………...31

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