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題名：兩篇探討委託單驅動之期貨市場下單策略與市場行為之研究
作者：吳如萍 引用關係
作者(外文)：Juping Wu
校院名稱：國立高雄第一科技大學
系所名稱：管理研究所
指導教授：陳和全
學位類別：博士
出版日期：2008
主題關鍵詞：限價單；市價單；下單策略；期貨市場；逆選擇成本；市場深度；Adverse Selection；Limit Order；Market Order；Futures Market
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本文由兩篇研究委託單驅動之期貨市場下，報酬波動性、市場深度與交易量間關係之文章所構成。第一篇論文以GMM (Generalized Method of Moments) 方法研究台灣期貨市場行為－波動性、深度與交易量，與委託單組成間之關係，實證結果顯示，不同於過去研究股票市場行為之文獻，因期貨市場具較高之逆選擇成本，因此，在期貨市場中，市場深度減少 (增加) 時會導致波動性增加 (減少)，當市價委託單增加時會導致市場波動性增加，並且，限價委託單增加時會同時增加限價委託單及市價委託單的下單，最後，當上升波動性增加時，買方會降低限價買單而賣方會增加限價賣單。
第二篇論文則以VAR (Vector Autoregressive analysis) 研究方法檢視在期貨市場中，報酬波動性、市場深度與交易量間動態相關性，以台灣期貨市場日內資料做實證之研究，愈探求市場在不同之狀態下，如何影響投資者做下單之決策，實證結果顯示，首先，市場深度與報酬波動性兩者彼此間具有顯著負向影響，再者，報酬波動性與交易量亦具有顯著雙向之負相關性，第三，市場深度對交易量具有單向顯著之因果影響。
This dissertation provides two essays on the relationship between return volatility, market depth, and trading volume on pure order-driven futures market. In the first essay, we investigate the market behaviors (such as volatility, depth, and volume) and order flow decomposition in pure limit order futures market TAIFEX (Taiwan Futures Exchange). Results are different from those in equity markets due to relatively high adverse selection costs in futures markets. It’s shown that a volatility (depth) increase is followed by a depth (volatility) decrease; a market-order increase (decrease) subsequently induces higher (lower) volatility; and a limit-order increase (decrease) results in more (less) market orders and limit orders. When the upside (downside) volatility rises, buyers decrease (increase) subsequent limit bid orders, and sellers increase (decrease) limit ask orders.
In the second essay, we investigate the dynamic interactions among return volatility, trading volume, and market depth. This study explores the nature of those dynamic relations. Furthermore, we study the relationships that affect the decision made by market participants when determining whether to place limit or market orders in different market conditions based on the intraday data of Taiwan index futures contracts. Using vector autoregressive analysis (VAR), several results emerge. Firstly, we find that both market depth and return volatility are negatively influenced by each other. Secondly, return volatility and number of transactions are positive relations and are bilateral causality. Thirdly, unidirectional causality from market depth to number of transactions exists.
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