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研究生： 林雨萱
Lin, Yu-Hsuan
論文名稱： 台灣期貨市場頻繁交易人對市場報酬預測能力之分析
The Ability of Frequent Traders to Predict Market Returns in Taiwan Futures Market
指導教授： 蔡蒔銓
Tsai, Shih-Chuan
學位類別： 碩士
Master
系所名稱： 管理研究所
Graduate Institute of Management
論文出版年： 2015
畢業學年度： 103
語文別： 中文
論文頁數： 52
中文關鍵詞： 頻繁交易 、市場報酬率 、委託單積極度 、委託不均衡
英文關鍵詞： Frequent Trade, Market Return, Order Aggressiveness, Order Imbalance
論文種類： 學術論文
相關次數： 點閱：152  下載：33 
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    • 本研究主要目的為探討期貨市場中，頻繁交易人之委託單積極度與委託不均衡對市場報酬率之影響，而兩者是否在顯著影響報酬率下有顯著差異。我們以台灣期貨市場中的臺股期貨、小型臺指期貨為研究標的，先定義出台灣期貨市場之頻繁交易人，再針對這些交易帳號，以每五分鐘為區間，計算出市場報酬率、委託單積極度及委託不均衡等，探討這些變數對報酬率的預測能力。
    根據以往文獻記載，委託單積極度與委託不均衡均會對市場報酬造成影響。我們將這兩者作為本研究主要的自變數，加入落後兩期的市場報酬自迴歸變數，市場成交量、未平倉變動量與波動度為控制變數，而市場的報酬率作為應變數，利用GARCH Model來檢視它們之間的關係。結果顯示頻繁交易人的委託單積極度與委託不均衡，兩者皆會對市場報酬率造成顯著影響。

    This study aims to investigate the impact of market return in the futures markets for frequent traders’ order aggressiveness and order imbalance. The TAIEX Futures (TX), the mini-TAIEX Futures (MTX) are used as our research subject, and we use two regulations to define two kinds of frequency traders. Calculate the market return, order aggressiveness and order imbalance by full market and frequency traders. After that, we can observe the anticipation of market return for these variables in futures markets.
    According to references, it indicated that market return will influence by order aggressiveness and order imbalance. We use order aggressiveness and order imbalance as independent variables, market volume, market open interest and market volatility as control variables, and market return as dependent variables. We use GARCH model and examine their relationship. The result shows that both frequent traders’ order aggressiveness and order imbalance influences market returns significantly.

    誌謝 I 中文摘要 II 英文摘要 III 目錄 IV 圖目錄 V 表目錄 VI 第一章 緒論 1 第一節 　研究背景與動機 1 第二節 　研究目的 2 第三節　 研究架構與流程 3 第二章 文獻探討 5 第一節 　高頻交易定義相關文獻 5 第二節 　高頻交易行為與報酬率相關文獻 6 第三章 研究方法 7 第一節 　研究資料來源與介紹 7 第二節 　研究假說 10 第三節 　研究變數定義與迴歸模型 11 第四節 　市場報酬率 14 第四章 實證結果與分析 15 第一節 　積極度與市場報酬率之迴歸模型分析 15 　　第二節 　委託不均衡與市場報酬率之迴歸模型分析 20 第五章　結論與建議 25 　　第一節 　 研究結論 25 　　第二節　　研究建議 26 參考文獻 27 附錄一 29

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