不同交易時段，交易量大小及交易人所造成的價格影響之研究：臺灣期貨交易所選擇權市場之實證;The Study on the Price Impact from the Varying Trade Time, Trade Size, and Investors: Evidence from Taifex Option Market

NCUIR > School of Management at National Central University > Department of Finance > Research Project > Item 987654321/49724

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Title:	不同交易時段，交易量大小及交易人所造成的價格影響之研究：臺灣期貨交易所選擇權市場之實證;The Study on the Price Impact from the Varying Trade Time, Trade Size, and Investors: Evidence from Taifex Option Market
Authors:	張傳章
Contributors:	財務金融學系
Keywords:	研究領域：經濟學
Date:	2011-08-01
Issue Date:	2012-01-17 19:13:58 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	文獻上有許多研究在探討買賣不均(order imbalance) 對資產(or 股票) 價格的影響, 其中代表性的著作包括Chorda et al. (2002), Chordia and Subrahmanyam (2004), Chan and Fong (2000), Stoll (2000), and Dufour and Engle (2000), 基本上他們發現買賣不均以及交易時段不同皆會對股票價格產生顯著影響. 此外, 文獻亦有一些研究檢視何種類型的交易者在股市及衍生性金融商品市場為資訊交易者 (informed traders), 此一方面研究之代表性的著作包括Froot et al. (2001), Griffin et al. (2004), Richards (2005), Barber et al. (2009), and Chang et al. (2009). 整體而言, 這些學者的研究發現: 有些類型的交易者之交易量對未來股價的變動具有預測能力. 再者,Black(1975) 首先發現: 在槓桿較高且交易成本較低的選擇權市場裡, 會誘使更多交易人(包括資訊交易者及非資訊交易者)去參與市場. 另外,Mayhew et al. (1995) 接著發現越低權利金之選擇權, 也將會誘使更多交易者移轉至選擇權市場交易. 由於上述文獻缺乏整合交易時段, 交易量大小及資訊交易者之交易量對選擇權之標的資產價格價格的影響, 故在本研究我們將同時探討(i) 何種類型的交易;(ii) 交易時段;(iii) 何種交易人之交易量將會對選擇權的標的資產價格產生影響. 此外,我們也考慮不同槓桿程度的選擇權對其標的資產價格所產生的影響, 我們推測對於槓桿程度越高的選擇權, 其將誘使非資訊交易者及資訊交易者進入市場交易, 進而會有較大的價格影響效果. 為了達成上述的研究目的, 我們使用臺灣期貸交易所所提供的所有交易者之每筆交易資料, 其中包括投資人帳戶, 投資人類型, 下單記錄, 價格, 數量, 買賣指示, 以及買賣產品類型等細部資料. 資料期間涵蓋1999 年3 月~2009 年2 月. 在第一年計劃裡, 我們將花時間來處理龐大資料及做臺灣期貸交易所之期貨及選擇權市場資料之基本統計量分析, 更進一步我們將檢測不同時段之交易量, 對選擇權之標的資產價格是否具有顯著之price impact, 我們的假設檢定設為: 在開盤後及收盤前15 分鐘之選擇權的交易量對其標的資產價格將有顯著性的影響. 接著, 利用第一年計劃裡的市場資料及研究成果, 在第二年的計劃裡我們將繼續檢定(i) 交易量大小對選擇權之標的資產價格是否具有顯箸之price impact;(ii) 不同交易人之交易量對選擇權之標的資產價格是否具有顯箸之price impact;(iii) 不同型態選擇權之交易量對選擇權之標的資產價格是否具有顯箸之price impact, 總計我們在第二年的計劃裡將檢定十個假設檢定. There are many studies which discuss how the order imbalance affects the traded stock’s prices. The representative ones include Chorda et al. (2002) and Chordia and Subrahmanyam (2004), Chan and Fong (2000), Stoll (2000), and Dufour and Engle (2000). They find that the order imbalance and the trade duration between transaction would lead price impacts on listed equities. The other studies discussed who are the informed traders in both equity and derivative markets. The representative ones include Froot et al. (2001), Griffin et al. (2004) and Richards (2005) Barber et al. (2009) and Chang et al. (2009). Overall they find the trade volumes from different types of traders will have ability on predicting future underlying asset fluctuation. Additionally, Black (1975) was the first to argue that the higher leverage and lower transaction costs available in the options market may induce informed traders to participate in options market. Furthermore, Mayhew et al. (1995) subsequently indicated that the lower margins associated with equities induced both informed and uninformed traders to migrate to the options market. Due to lack of integrated viewpoint that takes trade time, trade sizes and informed traders into consideration to investigate the price impact at the same time, we design our investigation to ask whether price impact is caused by which types of trade sizes, at which trade time, and by which investors in this study. Additionally, we also consider about the price impacts of varying options leverage. We conjecture that the higher leverage options may contain more informational trades and result in larger price impact. To fulfill our study goals, we use a unique TAIFEX data including detail transaction records of options and futures trading activity, which includes investor accounts, investor classes, order records, prices, quantities, buy-sell indicator, and products, e.g., futures/calls/puts, options types, e.g., strike price and time to expiration. The data covers the periods from March, 1999 to February, 2009. For the first-year project, we focus on dealing with data and provide some basic statistical analysis for the TAIFEX futures and options data. For doing a further step analysis, we will carry out the test for price impact from trade volume of different trade time which we set up the hypothesis: the options/futures volumes during the first and last fifteen minutes of trading intervals have significant permanent influence on stock price. Based on the data complied at the first-year project, we the go on testing (i) the price impact from different trade sizes; (ii) the price impact from trade volume of different investors; (iii) the price impact from trade volume of various option types. In the second-year project, we will set up and test ten hypotheses. 研究期間：10008 ~ 10107
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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