期貨市場流動性:公開喊價與電子化迷你型指數期貨之比較

Abstract

本文研究目的主要在探討芝加哥商業交易所(CME)公開喊價交易之正規型(Regular)指數期貨契約與電子化交易之迷你型(E-mini)指數期貨契約市場流動性。研究主題可分為三部分 : 第一部分針對五種買賣價差估計量進行衡量比較。第二部分利用買賣價差與市場深度模型來進行公開喊價交易之正規型與電子化交易之迷你型契約市場流動性之探討，其中買賣價差之比較採用由買賣價差、交易量與價格波動性所組成之聯立方程式加以討論。第三部分檢驗電子化交易之迷你型契約加入市場後，是否對於公開喊價交易之正規型契約市場流動性產生顯著之衝擊。實證結果概要說明如下： 一.買賣價差估計量之衡量: 在五種買賣價差估計量中，TW估計量(Thompson and Waller(1988)與報價買賣價差的相相關性很高，此外，透過預測涵蓋技巧(forecast encompassing techniques)，檢查此五種估計量資訊含量的差異，檢定結果亦顯示，相對於TW估計量，並沒有證據顯示其他估計量能夠提更多有關報價買賣價的有效資訊，顯示TW估計量為一穩健且相對較佳的交易成本估計量。 二.正規型與迷你型指數期貨契約流動性之比較: 不論由買賣價差或市場深度比較正規型契約與迷你型契約市場流動性，皆顯示電子化交易之迷你型契約較具市場流動性，顯示電子化交易在處理價單上執行效率的優勢，而其限價單委託簿的設計提供較佳的價量資訊透明度與連續競價的特性，亦有助於流動性成本的降低。 三.迷你型契約對正規型契約流動性之影響: 在電子化交易之迷你型契約加入後，不論是買賣價差或市場深度衡量皆顯示公開喊價交易之正規型契約市場流動性有惡化的現象。一方面可能是因為迷你型契約加入競爭所引起的，另一方面亦可能是因為正規型契約規格在迷你型契約加入市場後調高其最小價格變動單位所造成。

This study investigates the market liquidity between open outcry-based regular index futures contracts and electronic trading-based E-mini index futures contracts on the Chicago Mercantile Exchange (CME). There are three research subjects in the thesis. First, we apply five competing spread estimators to transactions data and compare resulting estimates to quoted spreads. Secondly, bid-ask spread and market depth are used to discuss the difference of market liquidity between open outcry-based regular index futures contracts and electronic trading-based E-mini index futures contracts. Thirdly, we investigate the potential effects on the liquidity of the open outcry-based regular contracts after the introduction of electronic trading-based E-mini contracts. The findings suggest that electronic trading-based E-mini contracts exhibit better liquidity than open outcry-based regular contracts base on either bid-ask spread or market depth. This implies that the efficiency of order processing for electronic trading system and the transparency of the limit order book with respect to prices and volumes encourage liquidity costs to decrease. Furthermore, liquidity quality of the open outcry-based regular contracts degenerates after introducing the E-mini contracts into market. This result may be caused by the participation of E-mini contracts. At the same time, the adjusting of minimum tick sizes for regular contracts may also lead to this result.