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題名：台指選擇權造市者報價行為之探討
作者：林苑宜
作者(外文)：Yuan-yi Lin
校院名稱：淡江大學
系所名稱：財務金融學系博士班
指導教授：邱忠榮
李進生
學位類別：博士
出版日期：2006
主題關鍵詞：造市者；買賣價差；升降單位；價格叢聚；market makers；bid-ask spread；tick size；price clustering
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本文探討了兩個有關於台指選擇權造市者報價價差的議題。第一部份分析造市者報價價差與升降單位、價格叢聚以及最大價差限制之間的關係，主要目的是找出導致造市者高報價價差的主因；第二部份則是探討造市者報價價差與交易活絡度、風險、資訊、競爭程度之間的關係，主要目的是找出影響造市者報價價差的因素及其影響方向。
以2003年造市者的逐筆報價資料進行實證，主要發現如下：
1. 2003年台指選擇權造市者的平均價差點數高達20.42點，平均價差百分比則為38.81%。導致造市者高報價價差的主因為TAIFEX規定的最大價差限制過於寬鬆，造市者總是以最大價差進行報價，報價價位並有聚集於整點位數的現象，升降單位的限制則不構成報價價差無法調降的理由。
2. 造市者的時間加權報價價差並無顯著日內型態，但與交易活絡度之間有顯著負向關係，並與風險、資訊與限價單價差之間有顯著正向關係。這個結果隱含造市者對交易愈熱絡的選擇權合約會要求較小的價差，並對風險較大的契約或在風險較高的時段提高報價價差，當市場有異常大單產生時，造市者會提高價差以避免與資訊交易者對作，限價單交易者的競爭則會使造市者縮小價差。
The bid-ask spreads quoted by market makers in the Taiwan Index Optoion market are investigated in this study. Using tick-by-tick quote data for the entire year of 2003, an average 20.42 index points of bid-ask spread is obtained. The binding tick size and the price clustering are first used to explain the wide quoted spread. Empirical results show that both tick size and price clustering can not entirely explain the large spread. The huge spread results from a loose spread limit set by Taiwan Futures Exchange and usually adopted by market makers.
Four determinants of spreads provided by Schwartz (1988) are also employed to explain the market maker''s intraday spreads. Results indicate that market makers require less spreads for liquidity provision when options are more active and when limit order spreads are narrower. However, market makers'' spreads are widened when options are riskier and when large trades occur.
劉玉珍、李怡宗、林劭杰、李翎竹（2004a），「國內選擇權市場造市者制度效益之初探」，台灣期貨市場雙月刊，第6卷第6期，頁17-28。
劉玉珍、李怡宗、李翎竹、林劭杰（2004b），造市者制度效益評估與檢討，台北：臺灣期貨交易所委外研究報告。
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