Volume Information in Nikkei and TOPIX Futures Transactions

日經與東證期貨之交易量資訊

10.6545/JFS.2017.25(4).1

Chyng Wen Tee；Christopher Ting

Market microstructure ； volume information ； futures market ； 市場微結構 ； 交易量資訊 ； 期貨市場

財務金融學刊

25卷4期（2017 / 12 / 31）

1 - 43

英文

According to the Kyle (1985) model of informed trading, information in trade size is likely to effect a permanent price impact. However, two prominent structural models in the literature do not include trade size in their framework. In this paper, we present a nesting relationship of major structural models and formulate a generalized model that includes all trade variables. A new measure to quantify the amount of information in the order flow is proposed. Our empirical analysis shows that it is indeed the ＂surprise＂ in trade size that contributes significantly in reflecting the price change of Nikkei and TOPIX futures.

根據凱爾(1985)知情交易模型，交易量資訊會對價格造成永久性影響。然而，文獻中市場微結構模型未把交易量列入考量。我們指出三大市場微結構模型之相互關係，亦由此推導出一個更具概括性之一般化模型，將重要交易資訊皆列入考量。實證分析發現，交易量資訊之變化顯著影響日經和東證期貨價格。

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