台湾金融期货市场发展策略及借鉴

本文以台湾金融期货市场发展经验为主轴,分析台湾期货市场指数期权的成功因素、期货商的创新思维、台湾期货交易所交易与结算制度的改革、课征期交税的调整经验,及强化期货市场避险功能等重要措施。本文提出了增强台湾期货市场避险功能并提高非期货商法人参与比重的六项建议。本文在期货市场的发展顺序、引进做市商制度、争夺金融定价权、降低交易成本、提高信息效率、发展交易所市场等六个方面提出发展大陆金融期货市场的相关建议

股指期货最后结算价:国际比较与台湾经验

本文对目前全球主要交易所股价指数期货最后结算价的确定规则进行了横向归类和比较,介绍了台湾期货交易所股指期货最后结算价确定规则的历史演变。以我国台湾地区为研究对象,利用拔靴复制检定方法,本文对股指期货最后结算价各种确定规则的效应进行了实证分析,并得到了一系列重要的实证结论

个人投资者交易行为研究——来自台湾股市的证据

本文基于台湾股市数据,主要研究个人投资者的交易行为。参照Kaniel et al.(2008)构建了个人投资者交易不平衡性指标─净交易,以反映投资者股票交易的强度。采用这种交易不平衡性指标来构建投资组合研究个人投资者的交易行为。首先研究个人投资者交易和股票的收益之间的动态关系从而分析投资者的交易策略,然后研究个人投资者净交易的收益预测能力从而分析个人投资者交易的信息含量。本文研究发现:台湾股票市场的个人投资者采用负反馈的交易策略,并且个人投资者在交易中表现出很强的处置效应;个人投资者在交易中的信息含量不足;个人投资者交易中的盈利主要来自两个方面:过度反应和价格冲击。文章最后给出政策建议

Determinants of Fleeting Orders and Their Impact on Market Liquidity

程序化、自动化交易降低了监视市况的成本，促成投资者大量且快速撤单。在台湾股票市场．三分之一以上的撤单发生在60秒之内。针对台湾股市投资者快速撤单行为决定因素的研究发现，市场波动率、投资者参与度和积极委托单的不确定性增加时，三种类型投资者（岛内机构投资者、岛外机构投资者和散户）快速撤单的比例均有显著的提升；但是，机构投资者和散户的快速撤单行为对流动性变化的反应不同：流动性匮乏时，机构投资者倾向于减少快速撤单，而散户则相反。通过检验快速撤单对市场流动性的影响，可以发现，快速撤单整体上有助于改善市场流动性。这是因为平均而言投资者快速撤单后倾向于提交更积极的委托单。进一步的研究还发现，由于不同类型的投资者在资金实力、持股偏好和交易策略等方面存在差异，上述结论在不同类型投资者和不同市值的公司中间发生了分化。Algorithmic trading and automated trading reduce investors＇ monitoring costs, thus facilitating the cancellation of a large quantity of orders shortly after submission. In Taiwan＇s stock market, more than one third of orders are cancelled within 60 seconds. The study of the determinants of investors＇ fleeting orders shows that an increase in volatility, investors＇ participation rates and uncertainty about the arrival rates of impatient marketable orders are associated with higher levels of fleeting orders for three classes of investors, namely domestic institutions, foreign institutions, and retail investors. However, institutional investors react differently than retail investors when market liquidity deteriorates, with the former tending to decrease fleeting orders and the latter usually increasing fleeting orders. In our investigation of the impact of fleeting orders on market liquidity, we find that fleeting orders, on the whole, contribute to improving market liquidity because investors in Taiwan＇s stock market, on average, would resubmit a more impatient order after caneeling an order. A further study finds that since investors in different classes differ in capital flows, preferences for stock characteristics, trading strategies and so on, the aforementioned conclusion is polarized across investor classes and firm size.国家自然科学基金“资产价格中隐含通货膨胀信息的提取、分析与应用”（71371161）;国家自然科学基金“波动率微笑：隐含信息与动态建模”（71471155

Information Content of Net Buying- Pressure:Evidence from the TXO Market

本文利用台指期权市场详细的高频交易数据,在bOllEn And WHAlEy(2004)的净购买压力假设理论基础上,对台指期权市场三类主要投资者的净购买压力指标中所隐含的方向信息和波动率信息进行了实证研究。本文发现,台指期权市场存在部分方向信息交易者,他们拥有未来台指涨跌的私有信息并通过期权交易来获取收益,但三类投资者几乎都不含未来台指波动率的信息。从三类投资者的信息差异来看,岛外机构投资者是最显著的方向信息交易者,其次是岛内机构投资者,个人投资者的净购买压力中的信息含量最为有限。In this paper,on the basis of net buying- pressure theory in the papers of Bollen and Whaley(2004),we examine the informational content of net buying- pressure of three different types of investors by using the detailed high frequency transaction data in TXO market We conclude that there dp exist some direction information traders in TXO market,they have the private information about the future direction of the index,and make the money by trading option.But all of the three types of investor don't have the volatility information.From the view of different information content of investors,we find that the foreign institutional investors have most information,and then the domestic institutional investors,individual investor contain virtually no information.国家自然科学基金面上项目:资产价格中隐含通货膨胀信息的提取、分析与应用(71371161)、国家自然科学基金青年项目:投资者风险偏好:度量与应用(71101121)、国家自然科学基金地区项目:隐含波动率的信息反映功能及其在我国的应用研究(71261024)的资

交易量的信息含量:台湾期权市场的证据

本文应用台湾股指期权市场详细的交易数据,对台指期权交易量的信息含量进行了全面系统的实证检验。我们从全市场、不同投资者以及不同在值程度期权分类角度分别构建了多个五分钟交易量指标,并检验它们对未来台指走势的预测能力。我们发现,全市场的期权交易量指标基本不具备未来指数走势预测能力,但境内机构投资者和境外机构投资者交易量中包含显著的预测信息,价外期权的信息明显地优于价内期权和平价期权

A Study of the Dynamic Process of Price Discovery in the Index Options Market:Based on High-Frequency Data From Taiwan Index Options Market

林苍祥，厦门大学经济学院教授，经济学博士；闫慧，厦门大学经济学院博士研究生。【中文摘要】期权的重要作用之一就是促进市场价格发现。基于台湾加权股票指数及其期货、期权的高频数据，利用误差修正模型和分位数回归模型可对股指期权价格发现的动态过程进行研究。实证结果表明：首先，股票指数、股指期货和股指期权在短期内存在相互引领的关系，而股指期权在长期的价格调整速度最高，因而其价格发现速度最快；其次，金融危机期间三者之间的相互引领关系与平时有所不同；最后，随着涨跌幅的变化，股指期货和股指期权对现货的影响呈现非对称的“U”型，现货市场对期权市场的影响呈现正向“W”型，而期货市场对期权市场的影响呈现反向“W”型走势。 【Abstract】One important task of options is to promote market price discovery. We study the dynamic process of price discovery in index options using the error correction model and quantile regression model based on high-frequency data in TXO market. The empirical results show that: firstly, there is a short-term mutual relationship among stock index, index futures and index options, but in the long term the price-adjusted speed of index options is highest, and therefore index options’ speed of price discovery is fastest； secondly, the relationships among the three during a financial crisis differ from those in non-crisis periods； finally, along with fluctuations, the impact of index futures and index options on spot goods is represented as an asymmetric “U” shape, and the impact of spot goods on index options shows a positive “W” shape whereas the influence of index futures on index options exhibits a reverse “W” trend.国家自然科学基金青年项目“限价指令簿的信息内涵研究:基于市场微观结构的视角”（71301137

Do Fleeting Orders Improve Liquidity?

台湾股市为集合竞价、散户为主的市场,异于欧美股市为连续竞价、机构法人为主的市场。通过采用60秒内之删单和改单作为快速删单,实证结果发现:全市场、散户、外资和其他本土法人的快速删单比例增加时,价差缩小,市场流动性增加;自营商的快速删单对价差无显著的影响,这可能源于其快速删单的定价积极度;其中,小型股票的流动性对快速删单更加敏感。进一步的实证发现,价差缩小源于各类型投资者观察到买(卖)单快速删单后,虽然投资者提交的同向买(卖)单变得消极,但反向的卖(买)单积极度增加更多,使得价差缩小,市场流动性增加。Taiwan stock market is organized as a call auction system and the majority participants are retail investors, which is different from European and American stock markets characterized by continuous auction and institutional legal persons. Fleeting orders are defined as those cancelled or updated within 60 seconds. The empirical results show that an increase in fleeting order ratios of the overall market, retail investors, foreign institutions and other domestic institutions will contribute to narrowing the spread, thus increasing market liquidity. However, the proprietary traders' fleeting orders have no significant effect on the spread, and this may results from aggressive pricing of their fleeting orders. In addition, the liquidity of small cap stocks is more sensitive to fleeting orders. Further study finds that the narrowed spread is the net effect of more aggressive selling(purchasing) orders on the ask side and less aggressive purchasing(selling) orders when all types of investors observe a purchasing fleeting order, thus increasing market liquidity.国家自然科学基金青年项目“投资者风险偏好:度量与应用”(71101121);国家自然科学基金项目“波动率微笑:隐含信息与动态建模”(71471155);国家自然科学基金项目“资产价格中隐含通货膨胀信息的提取、分析与应用”(71371161);国家自然科学基金青年项目“限价指令簿的信息内涵研究:基于市场微观结构的视角”(71301137

Determinants of Fleeting Orders and Their Impact on Market Liquidity

林苍祥,厦门大学经济学院教授、博士生导师,淡江大学财务金融学系教授、博士生导师,财务金融博士;乔帅,厦门大学经济学院博士研究生;许慧卿,淡江大学财务金融学系博士候选人。【中文摘要】程序化、自动化交易降低了监视市况的成本,促成投资者大量且快速撤单。在台湾股票市场,三分之一以上的撤单发生在 60 秒之内。针对台湾股市投资者快速撤单行为决定因素的研究发现,市场波动率、投资者参与度和积极委托单的不确定性增加时,三种类型投资者(岛内机构投资者、岛外机构投资者和散户)快速撤单的比例均有显著的提升;但是,机构投资者和散户的快速撤单行为对流动性变化的反应不同:流动性匮乏时,机构投资者倾向于减少快速撤单,而散户则相反。通过检验快速撤单对市场流动性的影响,可以发现,快速撤单整体上有助于改善市场流动性。这是因为平均而言投资者快速撤单后倾向于提交更积极的委托单。进一步的研究还发现,由于不同类型的投资者在资金实力、持股偏好和交易策略等方面存在差异,上述结论在不同类型投资者和不同市值的公司中间发生了分化。 【Abstract】Algorithmic trading and automated trading reduce investors' monitoring costs, thus facilitating the cancellation of a large quantity of orders shortly after submission. In Taiwan's stock market, more than one third of orders are cancelled within 60 seconds. The study of the determinants of investors' fleeting orders shows that an increase in volatility, investors' participation rates and uncertainty about the arrival rates of impatient marketable orders are associated with higher levels of fleeting orders for three classes of investors, namely domestic institutions, foreign institutions, and retail investors. However, institutional investors react differently than retail investors when market liquidity deteriorates,with the former tending to decrease fleeting orders and the latter usually increasing fleeting orders. In our investigation of the impact of fleeting orders on market liquidity, we find that fleeting orders, on the whole, contribute to improving market liquidity because investors in Taiwan's stock market, on average, would resubmit a more impatient order after canceling an order. A further study finds that since investors in different classes differ in capital flows, preferences for stock characteristics, trading strategies and so on, the aforementioned conclusion is polarized across investor classes and firm size.国家自然科学基金“资产价格中隐含通货膨胀信息的提取、分析与应用”(71371161);国家自然科学基金“波动率微笑:隐含信息与动态建模”(71471155

A Study of Individual Investors's Ability to Predict Price Changes in the Option Market

林苍祥，厦门大学经济学院教授、博士生导师，台湾淡江大学财务金融系教授、博士生导师，金融学博士；邱紫华，厦门大学经济学院博士研究生；郑振龙，厦门大学经济学院教授、博士生导师。【中文摘要】机构投资者与散户是期权市场上的两大交易主体。通常认为机构投资者是信息交易者，而对于散户是否具备对价格预测的能力则有待研究。参考Cao等(2009)对限价委托簿信息挖掘方法，利用台指期权(TXO)日内髙频数据，可以检验台指期权市场散户对未来价格的预测能力。研究发现，台指期权市场散户具有对未来价格显著预测信息，而且其揭示档不同位置信息含量存在差别。作为新兴市场的代表，台湾期权市场的投资者类型结构与中国大陆非常相似。因此，这一研究结论对中国大陆改善期权市场运行机制具有现实的参考意义。 【Abstract】Institutional investors and individual investors are the two main groups of traders in the option market. Institutional investors are generally considered as informed traders； the issue whether individual investors have the ability to predict future price changes needs further research. Following the data mining methods on the limit order book by proposed by Cao et al.(2009) , this study examines whether individual investors in the TAIEX options (TXO) market can predict their future price changes using an intraday high-frequency data for TXO. The results show that individual investors in TXO market have information on predicting the future price of TXO significantly, and each step of the limit order book for individual investors plays a different role. As one of the prominent emerging markets, Taiwan's options market is similar to that in the Chinese mainland in the structure of investors’ types. Therefore, the conclusion of this study has important implications for the mainland's current efforts to improve the operation mechanism for China's option market.国家自然科学基金青年项目“投资者风险偏好:度量与应用”（71101121)；国家自然科学基金“波动率微笑：隐含信息与动态建模”（71471155)；国家自然科学基金“资产价格中隐含通货膨胀信息的提取、分析与应用”（71371161)；国家自然科学基金青年项目“限价指令簿的信息内涵研究：基于市场微观结构的视角”(71301137