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研究生:林美滿
研究生(外文):Maymun (Emily) Lin
論文名稱:交易者行為、市場成熟度與放空限制之探討
論文名稱(外文):Traders' Behavior, Market Maturity, and Short-Selling Constraints
指導教授:李正福李正福引用關係楊千楊千引用關係
指導教授(外文):Lee, Cheng-FewYang, Chyan
學位類別:博士
校院名稱:國立交通大學
系所名稱:管理科學系所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:英文
論文頁數:93
中文關鍵詞:基差風險期貨套利流動性訊息交易機率市場成熟度放空借券賣出訂價誤差套利買賣單失衡
外文關鍵詞:Basis riskfutures arbitrageliquidityprobability of informed trading (PIN)market maturityShort salessecurity lending salesmispricingarbitrageorder imbalance
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本研究首先著重在探究基差(Basis)行為的決定因素,其中包含市場成熟度、流動性、波動度與訊息交易(informed trading)。本研究使用到期前五天每五分鐘資料來分析投機者與訊息交易者在台灣期貨市場中扮演的角色,透過上述的基差決定要素與基差的關聯性,加上無經驗的套利者獲利優於市場表現等相關證據推論,台灣的期貨市場特性乃投機者支配(dominante)套利者。本研究後續在探討取消放空與借券賣出兩者之價格限制對市場效率、流動性與套利機會的影響,輔以交易成本來區別大、小交易者,並揭露取消價格限制強化定價誤差與買賣單失衡在極端值的關聯性,特別是大額交易者。雖然正、負定價誤差與買、賣雙方失衡的自我相關時間會延長,然而,取消價格限制對市場效率的影響並沒有定論。本研究最後結論取消價格限制不但增加訊息交易且增強定價誤差與買賣單失衡之領先落後關係。
This study investigates basis spreads on index futures listed on the Taiwan Futures Exchange. We analyze the role of speculators and of informed trading in Taiwan’s futures market using intraday data during the five-day pre-expiration period. We further demonstrate that liquidity, volatility, and informed trading are each significantly positively related to spread magnitude, indicating that speculators may dominate arbitrageurs. While spreads have narrowed as the market has matured, liquidity and informed trading continue to widen spreads despite the fact that a naïve arbitrage strategy outperforms the market. Furthermore, this study aims to determine how the lifting of price restrictions on short sales and security-lending sales affects market efficiency, liquidity and arbitrage opportunities. This research examines trading behaviors of large and small traders separated by their transaction costs and shows the lifting of price restrictions strengthens the correlation between extreme order imbalance and extreme mispricing. Also, autocorrelations of signed mispricing persist longer, in particular for big traders, and so do those of signed order imbalances. However, the outcomes of the post-lifting market efficiency are mixed. This analysis finally provides evidence that lifting price restrictions enhances informed trading and the lead-lag relationship between mispricing and order imbalance.
Table of Contents
Chinese Abstract i
English Abstract ii
Acknowledges iii
Table of Contents iv
List of Tables vi

Chapter 1
1.1 Introduction of the Dissertation 1
References 7

Chapter 2 Research Method
2.1 Information-based Trading 8
2.2 Operationalization of market maturity 10
References 14

Chapter 3 Theory and Findings
3.1 Liquidity and expiring futures contract 15
3.2 Construction of bid and ask prices of index portfolio and magnitude of mispricing 17
3.3 Quasi-arbitrage and unequal borrowing and lending rates 19
3.4 Margin requirements 20
References 22

Chapter 4 On the Determinants of Basis Spread for Taiwan Index Futures and the Role of Speculators
4.1 Introduction 23
4.2 Data and Markets 27
4.2.1 Preliminary findings 33
4.3 Main Results
4.3.1 Liquidity, variance, and PIN effects 37
4.3.2 Market maturity regressions 41
4.4 Robustness Checks and Alternate Explanations 45
4.5 Conclusion 47
References 49

Chapter 5 Futures Mispricing, Order Imbalance, and Short-Selling Constraints
5.1 Introduction 54
5.2 Data and event description
5.2.1 Mispricing variables 59
5.2.2 Order imbalance variables 62
5.2.3 Descriptive statistics 64
5.3 Trading impact on the lifting of price restrictions
5.3.1 Effects on the pricing of index futures 68
5.3.2 Effects on market quality 70
5.4 Autoregression methodology for assessing reversals 72
5.4.1 Reversals /momentums of arbitrage spread 73
5.4.2 Reversals / momentums of futures order imbalance 76
5.4.3 The autocorrelations on extreme observations 77
5.5 Informed trading and lead-lag relationship 78
5.5.1 Determinants of mispricing 80
5.5.2 Determinants of futures order imbalance 83
5.6 Conclusions 86
References 88

Chapter 6
Conclusions and Future Research

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