國安基金政策績效與期貨市場滑價

The Policy Performance of NFSF and Slippage in Futures Markets

10.6656/MR.2014.33.3.CHI.1

黃柏凱(Po-Kai Huang)

國安基金 ； 臺股期貨 ； 滑價 ； 鉅額交易 ； National Financial Stabilization Fund ； TAIEX Futures ； slippage ； block trading

管理評論

33卷3期（2014 / 07 / 01）

1 - 21+109-116

繁體中文

本研究利用國安基金實際干預期貨的日內資料，探討國安基金干預所產生的滑價。期貨市場的滑價類似於股票市場的市場衝擊成本。藉由分析資訊效果，可以知道國安基金是否為具有訊息的交易者，能否建立投資人信心，此外，也觀察流動性效果，探討國安基金能否提供市場流動性。本研究除了使用國安基金的單筆交易（single trade）外，也將國安基金數筆連續的單筆交易視為套裝交易（trade package），避免滑價受到連續干預的影響。實證結果顯示，若以單筆交易衡量國安基金交易的滑價，可以發現國安基金的交易提供流動性，賺得流動性溢酬，而且國安基金的交易具有資訊效果。然而，若以套裝交易衡量國安基金交易的滑價，卻發現只有國安基金的賣單仍提供流動性，而且套裝交易並沒有包含資訊效果。最後，國安基金干預的交易規模愈大，不一定會造成較大的流動性與資訊效果。

This study investigates the intervention policy effectiveness by the National Financial Stabilization Fund (NFSF) on Taiwan Stock Exchange Capitalization Weighted Index (TAIEX) Futures, using unique intraday NFSF trading data. The policy objectives of NFSF are providing liquidity and signaling positive information. We use futures slippage, which is similar to market-impact costs in stock markets, to evaluating the policy objectives of NFSF. Slippage can be decomposed to liquidity effect and information effect. We find that NFSF's single trades provide liquidity and earn liquidity premium in the sample period. NFSF's single trades also contain information. However, only NFSF's sales trade packages provide liquidity. In addition, NFSF's trade packages contain no information. Finally, the liquidity effect and information effect of NFSF's trades are not necessarily positively related to trade size.

1. Bhanot, Karan,Kadapakkam, Palani-Rajan(2006).Anatomy of a Government Intervention in Index Stocks: Price Pressure or Information Effects?.Journal of Business,79(2),963-986.
2. Chan, Louis K. C.,Lakonishok, Josef(1995).The Behavior of Stock Prices around Institutional Trades.Journal of Finance,50(4),1147-1174.
3. Chan, Louis K. C.,Lakonishok, Josef(1993).Institutional Trades and Intraday Stock Price Behavior.Journal of Financial Economics,33(2),173-199.
4. Chou, Robin K.,Wang, George H. K.,Wang, Yun-Yi,Bjursell, Johan(2011).The Impacts of Large Trades by Trader Types on Intraday Futures Prices: Evidence from the Taiwan Futures Exchange.Pacific-Basin Finance Journal,19(1),41-70.
5. Frino, Alex,Bjursell, Johan,Wang, George H. K.,Lepone, Andrew(2008).Large Trades and Intraday Futures Price Behavior.Journal of Futures Markets,28(12),1147-1181.
6. Frino, Alex,Kruk, Jennifer,Lepone, Andrew(2007).Transactions in Futures Markets: Informed or Uninformed?.Journal of Futures Markets,27(12),1159-1174.
7. Frino, Alex,Oetomo, Teddy(2005).Slippage in Futures Markets: Evidence from the Sydney Futures Exchange.Journal of Futures Markets,25(12),1129-1146.
8. Gorton, Gary B.,Pennacchi, George G.(1993).Security Baskets and Index-Linked Securities.Journal of Business,66(1),1-27.
9. Holthausen, Robert W.,Leftwich, Richard W.,Mayers, David(1987).The Effect of Large Block Transactions on Security Prices: A Cross-Sectional Analysis.Journal of Financial Economics,19(2),237-267.
10. Kyle, Albert S.(1985).Continuous Auctions and Insider Trading.Econometrica,53(6),1315-1336.
11. Schwarz, Krista(2012).Are Speculators Informed?.Journal of Futures Markets,32(1),1-23.
12. Subrahmanyam, Avanidhar(1991).A Theory of Trading in Stock Index Futures.Review of Financial Studies,4(1),17-51.
13. White, Halbert(1980).A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity.Econometrica,48(4),817-838.

1. 葉仕國、張森林、林丙輝(2017)。台灣衍生性金融商品市場實證與運用研究文獻回顧與展望。臺大管理論叢，27(2)，211-258。