市場透明度與買賣單不均衡：台灣指數期貨與台灣指數選擇權之實證分析

Abstract

本研究基本假設，在期貨與選擇權市場中，資訊不對稱是造成買賣單不均衡的原因。為了改善不對稱並提高市場品質，自從2008年04月07日，台灣期貨交易所要求機構投資人揭露他們的交易部位資訊。本研究使用「台灣指數期貨」及「台灣指數選擇權」歷史日內逐筆資料，分別探討市場透明度對「整體投資人買賣單不均衡」以及「其特定種類投資人買賣單不均衡」的影響。實證結果提供證據，市場透明度的確改善整體投資人買賣單不均衡，但若分別考慮不同種類投資人，則此關係可能不會都一致。這些發現建議，雖然資訊揭露改善不對稱及流動性不足現象，尤其是整體投資人買賣單不均衡情形，但是「是否特定種類投資人的買賣單不均衡也被改善」取決於投資人的本質及交易風格。

The basic assumption in this study is that asymmetric information is viewed as the cause of order imbalances in the futures market and the options market. In order to improve asymmetry and enhance the quality of market, Taiwan Futures Exchange (TAIFEX) has required institutional investors to disclose their daylong trading positions since April 7th, 2008. The effects of the market transparency on the order imbalances for the investors as a whole and for specific types of investors was respectively investigated in this study, using the historical intraday tick by tick data on TAIEX Futures (TXF) and TAIEX Options (TXO). Empirical results provide evidences that the market transparency does improve the order imbalances for the investors as a whole, but this relationship may not be consistent among different types of investors. These findings suggest that although the disclosure may improve the asymmetry, illiquidity, and order imbalances for the investors as a whole, the improvement of the order imbalances for a specific type of investors depends on investors’ nature and trading style.