台灣期貨市場?動性衡?-交?單等待時間 Measure of Liquidity in Taiwan futures market- by duration model

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Title:	台灣期貨市場?動性衡?-交?單等待時間 Measure of Liquidity in Taiwan futures market- by duration model
Authors:	郭維裕, ?愷莉
Contributors:	國?政治大學國際經營與貿?系, 中華大學財務管?系
Keywords:	存續期間模型,下單?,殘存函?,?動成本,duration model,arrival rates,survivorship function,liquidity cost
Date:	2010
Issue Date:	2013-08-07 01:20:14 (UTC+0)
Publisher:	國?政治大學國際經營與貿?系中華大學財務管?系
Abstract:	本研究以台灣期貨市場交??最高的台股指??約為標的，以存續期間?用平?化核心估計式，藉由日內交?資?評估台灣期貨市場的?動性。得出以下結?，第一，投資人在期貨市場的交??為通常集中於開盤第一小時及收盤前一小時，其他時刻的交??則較少，造成交??及下單?呈現M型走勢。將交?單分成買單驅動和賣單驅動後，並估計下單?與時間的關係，仍呈M型走勢。第二，?考慮交??下，台灣期貨市場的存續期間多?在5秒內完成；?以五分鐘均?為基準，計算交??加權的殘存函?，完成交?的時間將?長，最可能的等待時間為200秒到500秒間。?以買單或賣單驅動的交??估計，存續期間大多?於200秒到1200秒之間。第三，期貨市場?交??最高的投資人為本國自然人(約占八成)，其次為期貨自營商占一成三，前者的下單?呈現M型，自營商下單?則較平緩，由此可知台灣期貨市場的日內?為主要受到本國自然人的投資?為影響。第四，以交?一口期貨?約需要的時間長?衡?市場?動性時，發現開盤第一小時和收盤最後一小時的?動成本最低，開盤第二小時和第三小時的?動成本最高；在買單驅動方面，賣單驅動的?動成本稍高於買單驅動，介於0.6秒到1.2秒之間。以存續期間的變?性衡??動性風險時，風險最大的時段出現在第三小時到第四小時之間，風險最低者則是開盤第一小時和最後一小時，但??在任何時段，存續期間的變?性?隨著交??的增加而下?，且初期下?的速?相當快，當交??到達一定程?後，風險下?是有限的。 We investigate the intra-day patterns of Taiwan futures markets based on the durations by kernel smoothed estimators to measure the liquidity in TAIFEX. We found periodic patterns about liquidity dynamics. First, the trade intensities show M-shape that means the market participants’ trading activities gather up near the opening hours and the closures. Second, the durations in Taiwan Future market are relatively rapid comparing others financial markets. But the weighted durations prolong when we use 5 minutes average volume as threshold to estimate the conditional p.d.f of the durations. Thus, the investors’ orders may be accomplished over 40 minutes. Third, the traders who have the most volume in Future market are individuals (80%), and the second are FCMs with Exclusive Futures Trading Business (about 13%). The trading rates for individuals also show M-shape patterns. So, the activities of individuals have the major influence on the intra-day arrival rates in Taiwan futures market. And the last, we used the average durations to measure market liquidity and found the lowest liquidity cost occurred at the first hour and the last hours. Besides, the liquidity costs of the buyers are higher than the sellers. When we use the duration variances to measure market liquidity risk, the most volatile periods for investors happened from 10:45 to 12:45. Anyway, the variances declined as volume grow up.
Relation:	2010中部學術財金研討會論文發表
Appears in Collections:	[Department of Finance] Proceedings

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