本文主要探討當沖交易對臺灣期貨市場流動性和波動度的影響，採用日內委託和交易資料，以臺灣期貨市場中的臺股期貨為研究標的，並根據期貨交易所定義之當沖交易挑出樣本，來觀察他們對期貨市場流動性和波動度的影響。本文主要分為兩個部份，第一部份探討同期之當沖交易分別對期貨市場流動性和波動度的影響，此外，由於各類投資人所掌握之資訊與技術不同，為觀察出彼此間的差異，將更進一步探討不同類型投資人的當沖交易行為對期貨市場流動性和波動度的影響。第二部份先用單根檢定檢視變數是否為定態並採用向量自我迴歸模型分析當沖交易與流動性和波動度的因果關係。
研究結果顯示：1. 當沖交易會造成市場流動性將低，波動度上升；嚴格當沖交易者會造成市場流動性上升，波動度下降，一般當沖交易者則是相反。2. 外資和國內法人當沖交易者對市場流動性沒有顯著影響，自然人當沖交易者則是會造成流動下降；不管是外資、國內法人或是自然人當沖交易者皆會造成波動度上升。3. 流動性只會受到同期的當沖交易行為影響，不會受到前幾期的當沖行為影響；當沖交易則是會受到前一期流動性的負向影響。4. 波動度會受到前面幾期當沖交易的負向影響；當沖交易則是會受到前一期波動度的正向影響。

This paper examines the impact of day trading on liquidity and volatility in the Taiwan futures market. We use intraday data on TAIEX futures and the TAIFEX definition of day trading to select the samples. The paper is divided into two parts. In the first part, we discuss the impact of day trading on same-period liquidity and volatility. Furthermore, we separate investors into foreign investors, domestic institutions, and individual investors, and analyze the impact of each type of investor’s day trading on liquidity and volatility. In the second part, we use the unit root test to check whether the variables are stationary and use a vector autoregression model to analyze the relationship between day trading and liquidity, as well as between day trading and volatility.
The following are the main empirical results. First, day trading leads to a decrease in the liquidity and an increase in the volatility. Strict day trading increases liquidity and decreases volatility, whereas general day trading has the opposite effect. Second, foreign investors and domestic institutions have no significant impact on market liquidity, whereas individual investors reduce the liquidity available. All three types of investors cause volatility to rise. Third, liquidity is affected only by day trading during the same period, and not by that in the previous periods; however, day trading is negatively affected by the liquidity of the previous period. Fourth, volatility is negatively affected by the previous period’s day trading; further, day trading is positively affected by the volatility of the previous period.

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