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題名：不同交易表現的期貨契約之最適價格撮合制度之比較研究
作者：鄭美幸 引用關係
作者(外文)：Mei-Hsing Cheng
校院名稱：國立成功大學
系所名稱：企業管理學系碩博士班
指導教授：康信鴻
學位類別：博士
出版日期：2005
主題關鍵詞：價格撮合制度；集合競價；連續競價；台灣期貨市場；市場表現；流動性；波動性；訊息效率；波動-成交量關係；成交量；未平倉數；P-GARCH模型；open interest；P-GARCH model；trading volume；volatility-volume relations；information efficiency；liquidity；volatility；market performance；Taiwan futures market；price formation process；call auction；continuous auction
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　　台灣期貨交易所於2002年7月29日將期貨市場之盤中交易方式由過去的集合競價改成連續競價。本研究以流動性比率分析與P-GARCH(1, 1)模型檢驗此次價格撮合制度的改變對市場環境品質的影響，並比較不同交易表現之期貨契約的最適價格撮合制度。同時，本研究遵從Bessmbinder and Seguin (1993)的研究方法分析台灣期貨市場之波動-成交量關係；並檢驗價格撮合制度的改變對此波動-成交量關係之影響。
　　研究結果發現，期貨市場改成連續競價後，台股指數期貨的市場流動性與訊息效率明顯改善，而日內波動則稍有下降，而電子指數期貨和金融指數期貨雖然流動性提高，日內波動降低，但其訊息效率的表現卻是明顯不如過去。這個結果顯示，對交易熱絡的期貨而言，連續競價乃最適的價格撮合制度，但對交易冷清的期貨來說，連續競價卻不一定是個較好的交易方式。
　　與過去相關研究的發現相同，台灣期貨市場的成交量與市場波動存在著正向關係，而未平倉數則與波動存在負向的關係。預期與非預期的成交量和未平倉數等交易活動變數，以非預期成份對報酬波動的影響較大。價格撮合制度對日報酬之波動-成交量關係造成的影響不大，這可能是價格撮合制度的改變只適用於盤中階段，而收盤時的價格撮合制度並未改變所致。
　　此外，電子指數期貨和金融指數期貨之波動-成交量關係比台股指數期貨來得強烈。相較於集合競價，台股指數期貨之預期成交量和非預期未平倉數對波動的效果，以及非預期未平倉數減緩非預期成交量對波動效果的程度在連續競價制度下比較大，非預期成交量相對預期成交量對波動效果的倍數則是比較小；而電子指數和金融指數二個期貨的情況卻剛好相反。這些證據顯示期貨契約之波動-成交量關係似乎與該契約的交易表現存在某種關係。
　The Taiwan futures market altered its price formation process of middle trading session from call auction to continuous auction on July 29, 2002. This dissertation investigates the effects of price formation process on the futures market quality by analyzing the liquidity ratio and P-GARCH (1, 1) model. Also, the optimal price formation processes for futures contracts with which trading performance are different are compared. Meanwhile, we use the method of Bessmbinder and Seguin (1993) to examine the volatility-volume relations for the Taiwan futures market, and investigate the effects of price formation process on the volatility-volume relations.
　The paper shows that for Taiwan Stock Index Futures (TX) liquidity and information efficiency are improved significantly, and the intraday volatility reduced, not significantly though, after transferring into the continuous auction. For the other two futures contracts, The Electronic Sector Index (TE) and the Banking and Insurance Sector Index (TF), continuous auction is helpful to increase liquidity and decrease volatility, but it is harmful to information efficiency. The results indicate that the continuous auction is optimal for the highly traded futures contracts, yet it may not for the thinly traded ones.
　Consistent with previous studies, we find that the trading volume is positively related to daily returns volatility, and the open interest is negatively related to volatility. The effects of unexpected components of trading volume and open interest on volatility are larger than those of expected components. The effect of price formation process on volatility-volume relations is not notable, which may because that the new price formation process is only applied to the middle trading session and remains the closing session unchanged.
　Besides, I found that the relations between volatility and trading activities are much stronger for TE and TF than for TX. Furthermore, under continuous auction the effects of expected trading volume and unexpected open interest on volatility and the magnitude of an increase in unexpected open interest lessens the impact of an unexpected trading volume on volatility is larger, and the ratio of unexpected volume effect on volatility to expected volume effect on volatility is smaller for TX, and all are reversed for TE and TF. The evidences show that an unknown linkage between the market performance and the volatility-volume relations exists.
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