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研究生:劉士豪
研究生(外文):Shih-Hao Liu
論文名稱:金融海嘯期間對期貨交易人下單資訊性之影響
論文名稱(外文):A Study of Order Information by the Difference Futures Traders
指導教授:林蒼祥林蒼祥引用關係
口試委員:林蒼祥蔡蒔銓涂登才段昌文孫效孔
口試日期:2011-06-01
學位類別:碩士
校院名稱:淡江大學
系所名稱:財務金融學系碩士在職專班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:68
中文關鍵詞:委託單失衡金融海嘯下單積極性
外文關鍵詞:order imbalancefinancial tsunamiorder aggressiveness
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本研究利用高頻率的日內資料,研究台灣期貨市場中,期貨交易人、國外法人、國內法人和期貨自營商等四類投資人,其買賣交易活動對價格報酬之間的關係。研究中所使用的資料,依據台灣期交所提供的「委託檔」、「交易檔」、「揭示檔」資料三種資料重建台指期貨完整揭示資料,選定Lehman Brothers宣布破產做為事件日,進一步分析金融海嘯期間期貨投資人下單資訊性。實證結果發現,整體而言,國外法人、國內法人、期貨自營商三者的委託單失衡都造成價格正向影響,顯示三者擁有資訊優勢來從事交易。在事件日之前,顯示國外法人擁有短期資訊優勢進行交易。在事件日之後跟國內法人和期貨自營商一樣,只有自身擁有私有資訊較長的資訊優勢才對價格有正向影響。

This paper use high frequency intraday data to discuss the relationship between trading behavior and price return of four kinds of investor: individual investors, foreign investors, domestic institutional investors and futures dealers in Taiwan futures market. We reconstruct the complete display data of Taiwan index futures contracts by using the “entrust”, “transaction” and “display” data from TAIFEX and use “declaration of bankruptcy by Lehman Brothers” as event day to analysis the information content of investors’ trading behavior in the period of financial crisis.
The empirical result indicates that the order imbalance of foreign investors, domestic institutional investors and futures dealers have a positive price impact, means that these three kinds of investors have information advantage. The domestic institutional investors have short term information advantage before the event day. After the event day, investors only with long term information advantage have positive price impact.


目 錄
頁次
第一章 緒 論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 5
第四節 研究流程 6
第二章 文獻探討 7
第一節 委託單失衡相關文獻 7
第二節 下單積極性相關文獻 13
第三節 限價委託簿相關文獻 16
第四節 金融風暴對投資人下單資訊性相關文獻 20
第三章 研究方法 23
第一節 研究樣本 23
第二節 變數定義 29
第三節 迴歸模型設定 32
第四章 實證結果分析 37
第一節 樣本資料的敘述統計量 37
第二節 台指期貨報酬和四類投資人委託單失衡及積極程度之間相互關係 41
第三節 金融風暴對四類投資人下單資訊性之變化 51
第五章 結 論 60
參考文獻 62

表 目 錄
頁次
【表3-1】台指期貨商品說明 23
【表3-2】委託檔資料格式 26
【表3-3】成交檔資料格式 26
【表3-4】揭示檔資料格式 27
【表3-5】重建台指期貨完整揭示檔資料格式 28
【表3-6】各類投資人下單積極性狀態 31
【表4-3】各投資人報酬與限價總委託單失衡的相互關係 42
【表4-4】期貨交易人報酬與各積極程度委託單失衡的相互關係 47
【表4-5】國內法人報酬與各積極程度委託單失衡的相互關係 48
【表4-6】期貨自營商報酬與各積極程度委託單失衡的相互關係 49
【表4-7】國外法人報酬與各積極程度委託單失衡的相互關係 50
【表4-8】期貨交易人在特定時段下報酬與各積極程度總委託單失衡的影響 54
【表4-9】國內法人在特定時段下報酬與各積極程度總委託單失衡的影響 55
【表4-10】期貨自營商在特定時段下報酬與各積極程度總委託單失衡的影響 56
【表4-11】國外法人在特定時段下報酬與各積極程度總委託單失衡的影響 57
【表4-12】特定期間在各投資人各委託單失衡落後一階對報酬的影響 59


圖 目 錄
頁次
【圖1-1】研究流程圖 6



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