交易者行為、市場成熟度與放空限制之探討

Abstract

本研究首先著重在探究基差(Basis)行為的決定因素，其中包含市場成熟度、流動性、波動度與訊息交易(informed trading)。本研究使用到期前五天每五分鐘資料來分析投機者與訊息交易者在台灣期貨市場中扮演的角色，透過上述的基差決定要素與基差的關聯性，加上無經驗的套利者獲利優於市場表現等相關證據推論，台灣的期貨市場特性乃投機者支配(dominante)套利者。本研究後續在探討取消放空與借券賣出兩者之價格限制對市場效率、流動性與套利機會的影響，輔以交易成本來區別大、小交易者，並揭露取消價格限制強化定價誤差與買賣單失衡在極端值的關聯性，特別是大額交易者。雖然正、負定價誤差與買、賣雙方失衡的自我相關時間會延長，然而，取消價格限制對市場效率的影響並沒有定論。本研究最後結論取消價格限制不但增加訊息交易且增強定價誤差與買賣單失衡之領先落後關係。

This study investigates basis spreads on index futures listed on the Taiwan Futures Exchange. We analyze the role of speculators and of informed trading in Taiwan’s futures market using intraday data during the five-day pre-expiration period. We further demonstrate that liquidity, volatility, and informed trading are each significantly positively related to spread magnitude, indicating that speculators may dominate arbitrageurs. While spreads have narrowed as the market has matured, liquidity and informed trading continue to widen spreads despite the fact that a naïve arbitrage strategy outperforms the market. Furthermore, this study aims to determine how the lifting of price restrictions on short sales and security-lending sales affects market efficiency, liquidity and arbitrage opportunities. This research examines trading behaviors of large and small traders separated by their transaction costs and shows the lifting of price restrictions strengthens the correlation between extreme order imbalance and extreme mispricing. Also, autocorrelations of signed mispricing persist longer, in particular for big traders, and so do those of signed order imbalances. However, the outcomes of the post-lifting market efficiency are mixed. This analysis finally provides evidence that lifting price restrictions enhances informed trading and the lead-lag relationship between mispricing and order imbalance.