市場微結構之探討：交易平台與市場競爭分析

Abstract

這篇論文主要分析美國金融市場中，與交易平台相關的兩項研究議題。首先，第一項研究議題探討美國指數期貨電子盤商品與公開喊價盤商品之定價效率。藉由線性迴歸與分量迴歸分析，研究結果顯示電子盤期貨的定價效率會優於公開喊價盤期貨。但在市場波動較大時，電子交易市場的套利風險會影響該市場之套利吸引力，因而導致較高的定價誤差。本項研究結果支持美國期貨市場中電子交易以及公開喊價交易平台共存的觀點。第二項研究議題則透過價格群聚觀點，分析新交易平台加入所帶來的競爭效果。研究結果指出，美國金融市場中的指數股票型基金，在紐約證券交易所加入交易該商品後，價格群聚現象獲得改善。除了新交易平台的競爭強化市場的交易執行；市場競爭讓價格資訊更公開也是造成價格群聚下降的原因。本研究結果說明了新交易平台的加入有助於減少價格群聚。整體來說，這篇論文認同多交易平台健全金融交易環境之論點。

This dissertation consists of two separate essays. The first essay examines the pricing efficiency of index futures under electronic versus open-outcry trading platforms. By using OLS and quantile regressions to control for changes in market characteristics, we find that pricing errors are smaller in the E-mini markets than the floor-traded markets, thereby confirming that electronic trading has special attractions for arbitrageurs and informed traders. However, during periods of higher volatility, the advantages of electronic trading may be offset by arbitrage risks; as a result, larger pricing errors are observed in the E-mini markets. We provide new evidence confirming the important roles in pricing efficiency played by both traditional open-outcry system and electronic trading system. The second essay investigates the outcome on price clustering stemming from the commencement of trading in ETFs on the NYSE. The results of this study show that there was a discernible reduction in price clustering amongst ETFs traded on the AMEX, which may be attributable to improvements in market competition. Moreover, making pricing information available to the public and thereby alleviating informed trading may be a feasible explanation for the changes that occurred in the market following the addition of new platform on ETFs trading.