本文主要研究台灣期貨交易所引入造市者制度後，是否有顯著改善原先流動性不足的契約的市場績效，並加以分析對市場風險的影響。實證結果發現，報價價差、有效價差、定價誤差與波動性均有效降低，日交易量與深度均有效增加，證明了造市者進入後市場績效有顯著改善。因契約特性不同，在三十天利率期貨、十年公債期貨中，造市者多在價差較小的時候提供流動性。在黃金期貨中，造市者多在價差較大的時候提供流動性，藉以降低價差，提高市場流動性。此外，造市者多在開盤的時候進行交易，造市者多在十年期公債期貨開盤時提供流動性，在黃金期貨開盤時需求流動性。另外，在造市者風險承擔的影響中，造市者制度施行後逆選擇成本顯著降低，顯示造市者有效控制了與持有資訊的交易人交易中產生的逆選擇成本。而訂單處理成本也有顯著負成長，顯示造市者較能夠辨認出握有資訊的交易者，降低了因為逆選擇成本過大而導致的虧損。

This study investigates whether Taiwan Futures Exchange (TAIFEX) implemented Market Makers System would affect the market performance and the market risk of the less liquidity traded contracts or not. The results indicate that performed Market Makers System bring about significant decreases in quoted spreads, effective spreads, mispricing and volatility and increases in daily trading volume and market depth. That provides direct evidence that Market Makers System improved the market performance. Because the contract characteristic is different, market makers are more likely to supply liquidity when quoted spreads are thin for both 30-Day Commercial Paper Interest Rate Futures (CPF) and 10-year Government Bond Futures (GBF). In contrast, Market Makers are more likely to supply liquidity when quoted spreads are wide for TAIFEX Gold Futures (GDF), so as to decrease spreads and increase liquidity of market. Whether liquidity supplied or demanded, Market Makers are more likely to trade at the market opening. Market Makers are more likely supply liquidity for GBF at the market opening. However, they are more likely demand liquidity for GDF at the market opening. This study also documents the effect of Market Makers Systems on risk of Market Makers. The results indicate that performed Market Makers System bring about significant decreases in adverse select costs implied that Market Makers control the adverse select costs successful which produced trade with informed traders. Order-processing costs are negative and significant increases. That implied Market makers can identify who is informed trader more than common traders and reduce the loss caused by higher adverse select costs.

摘要 ...................................................................................................................................... i
Abstract ............................................................................................................................... ii
誌謝 .................................................................................................................................... iii
目錄 .................................................................................................................................... iv
表目錄 ................................................................................................................................ vi
圖目錄 ............................................................................................................................... viii
一、 緒論 ............................................................................................................................ 1
1.1 研究背景與動機 ........................................................................................................ 1
1.2研究目的.................................................................................................................... 3
1.3研究架構.................................................................................................................... 4
二、 文獻探討 .................................................................................................................... 5
2.1 流動性的提供 ............................................................................................................ 6
2.2 造市者對市場績效的影響 ....................................................................................... 8
2.3 造市者自身的風險評估 ......................................................................................... 11
三、 造市者制度 .............................................................................................................. 13
3.1 造市者制度簡介 ...................................................................................................... 13
3.2 國內造市者制度 ...................................................................................................... 15
3.3 國外造市者制度 ...................................................................................................... 23
3.4 國內造市者制度與國外造市者制度的比較 ........................................................ 32
四、 研究方法 .................................................................................................................. 35
4.1 資料與樣本 .............................................................................................................. 35
4.2 引入造市者制度對市場績效的影響 .................................................................... 39
4.3 造市者為流動性供給者或需求者 ........................................................................ 47
4.4 造市者參與市場的決定因素 ................................................................................. 48
4.5 造市者自身的風險評估 ......................................................................................... 50
五、 實證結果 .................................................................................................................. 51
六、 結論與建議 .............................................................................................................. 64
參考文獻 ............................................................................................................................ 67

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