台灣期貨市場頻繁交易人對市場報酬預測能力之分析

Abstract

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.