臺灣博碩士論文加值系統

本文探討了兩個有關於台指選擇權造市者報價價差的議題。第一部份分析造市者報價價差與升降單位、價格叢聚以及最大價差限制之間的關係，主要目的是找出導致造市者高報價價差的主因；第二部份則是探討造市者報價價差與交易活絡度、風險、資訊、競爭程度之間的關係，主要目的是找出影響造市者報價價差的因素及其影響方向。

以2003年造市者的逐筆報價資料進行實證，主要發現如下：
1. 2003年台指選擇權造市者的平均價差點數高達20.42點，平均價差百分比則為38.81%。導致造市者高報價價差的主因為TAIFEX規定的最大價差限制過於寬鬆，造市者總是以最大價差進行報價，報價價位並有聚集於整點位數的現象，升降單位的限制則不構成報價價差無法調降的理由。
2. 造市者的時間加權報價價差並無顯著日內型態，但與交易活絡度之間有顯著負向關係，並與風險、資訊與限價單價差之間有顯著正向關係。這個結果隱含造市者對交易愈熱絡的選擇權合約會要求較小的價差，並對風險較大的契約或在風險較高的時段提高報價價差，當市場有異常大單產生時，造市者會提高價差以避免與資訊交易者對作，限價單交易者的競爭則會使造市者縮小價差。

The bid-ask spreads quoted by market makers in the Taiwan Index Optoion market are investigated in this study. Using tick-by-tick quote data for the entire year of 2003, an average 20.42 index points of bid-ask spread is obtained. The binding tick size and the price clustering are first used to explain the wide quoted spread. Empirical results show that both tick size and price clustering can not entirely explain the large spread. The huge spread results from a loose spread limit set by Taiwan Futures Exchange and usually adopted by market makers.
Four determinants of spreads provided by Schwartz (1988) are also employed to explain the market maker''s intraday spreads. Results indicate that market makers require less spreads for liquidity provision when options are more active and when limit order spreads are narrower. However, market makers'' spreads are widened when options are riskier and when large trades occur.

內容目錄

第一章 緒論．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．． 1
第二章 台指選擇權之市場交易概況．．．．．．．．．．．．．．．．．．．．． 4
第三章 造市者之報價頻率．．．．．．．．．．．．．．．．．．．．．．．．．11
第四章 造市者報價價差、升降單位、報價叢聚性與最大價差限制．．．．．．．．17
4.1 造市者報價價差．．．．．．．．．．．．．．．．．．．．．．．．．．．．18
4.2 買賣價差與升降單位、價格叢聚性、最大價差限制之間的關係．．．．．．．．22
4.3 假說檢定．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．24
4.4 小結．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．37
第五章 造市者報價價差的日內型態與其決定因素．．．．．．．．．．．．．．．39
5.1 影響造市者報價價差的因素．．．．．．．．．．．．．．．．．．．．．．．40
5.2 資料與方法論．．．．．．．．．．．．．．．．．．．．．．．．．．．．．43
5.3 實證結果．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．53
5.4 小結．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．59
第六章 結論．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．61
參考文獻．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．62
附錄．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．66


表目錄

表2-1 2003年台指選擇權價性、權利金以及各契約每日成交量的分配．．．．．．5
表2-2 2003年不同到期月份與價性之台指買權與賣權的每日平均成交量．．．．．8
表3-1 造市者對不同到期日╱價性契約的報價序列百分比與平均每日報價次數．．13
表3-2 造市者對不同交易量序列的報價．．．．．．．．．．．．．．．．．．．15
表4-1 2003年造市者報價價差上限之規定．．．．．．．．．．．．．．．．．．18
表4-2 造市者的報價價差點數．．．．．．．．．．．．．．．．．．．．．．．19
表4-3 造市者報價價差的分佈．．．．．．．．．．．．．．．．．．．．．．．20
表4-4 造市者的報價價差百分比．．．．．．．．．．．．．．．．．．．．．．21
表4-5 造市者的報價價差（以升降單位表示）．．．．．．．．．．．．．．．．25
表4-6 台指選擇權造市者報價價差為1個升降單位的機率．．．．．．．．．．．．26
表4-7 台指選擇權之升降單位與造市者申報價格落在各升降單位區間的頻率．．．29
表4-8 造市者申報價格的分配．．．．．．．．．．．．．．．．．．．．．．．29
表4-9 台指選擇權造市者歷年最大價差限制．．．．．．．．．．．．．．．．．36
表5-1 實證序列的基本統計量．．．．．．．．．．．．．．．．．．．．．．．48
表5-2 造市者報價價差與區間虛擬變數的迴歸結果．．．．．．．．．．．．．．56
表5-3 造市者報價價差與交易活絡度、風險、資訊以及競爭程度的迴歸結果．．．58


圖目錄

圖2-1 2003年7月份到期，履約價4,800點買權的收盤價與成交量的趨勢圖．．．．5
圖2-2 2003年台灣發行量加權股價指數收盤價之時間趨勢圖．．．．．．．．．．6
圖2-3 2003年台指選擇權序列每日交易量的分配．．．．．．．．．．．．．．．7
圖3-1 每一選擇權序列每日造市者報價次數之分配．．．．．．．．．．．．．．12
圖4-1 造市者報價價差點數的分配．．．．．．．．．．．．．．．．．．．．．19
圖4-2 造市者報價價差百分比的分配．．．．．．．．．．．．．．．．．．．．21
圖4-3 造市者的報價價差分配（以升降單位表示）．．．．．．．．．．．．．．25
圖4-4 不同契約價格水準區間下的報價價差分配(以升降單位表示) ．．．．．．．27
圖4-5 不同升降單位區間下的造市者報價價位尾數．．．．．．．．．．．．．．30
圖4-6 0.1點買價的報價所對應的賣價分配．．．．．．．．．．．．．．．．．．33
圖4-7 依買價高低、契約近遠月分類的造市者報價價差點數分配．．．．．．．．35
圖5-1 造市者對每一選擇權序列每日的報價時間．．．．．．．．．．．．．．．45
圖5-2 限價單交易者與造市者對每一序列的平均報價時間．．．．．．．．．．．46
圖5-3 造市者每分鐘的報價價差點數．．．．．．．．．．．．．．．．．．．．54
圖5-4 造市者每分鐘的報價價差百分比．．．．．．．．．．．．．．．．．．．55

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