Strategic Spoofing Order Trading by Different Types of Investors in Taiwan Index Futures Market

臺灣指數期貨市場不同類型投資人策略性虛單交易

10.6545/JFS.201903_27(1).0003

王韻怡(Yun-Yi Wang)

Spoofing orders ； liquidity ； volatility ； institutional investors ； individual traders ； 虛單 ； 流動性 ； 波動性 ； 機構投資人 ； 個別交易人

財務金融學刊

27卷1期（2019 / 03 / 31）

65 - 103

英文

This study investigates the strategic spoofing order trading, including its characteristics, profitability, determinants, and real-time impacts. Both spoofing-buy and spoofing-sell strategies emerge, discernible among not only institutional investors but also individual traders. Spoofing trading is profitable, and traders are more likely to submit spoofing orders when volume and volatility are high, and they are more likely to submit spoofing-sell (buy) orders when the market price is high (low). Spoofing trading induces subsequent volume, spread, and volatility; spoofing-buy (sell) orders have a positive (negative) effect on subsequent prices. These findings provide support for the view that spoofing trading destabilizes the market.

本文探討臺灣指數期貨市場之策略性虛單交易。虛買／賣單策略皆存在於機構與個別投資人。虛單交易可獲利，當交易量與波動高，交易人愈可能下虛單；價格高（低）時，交易人愈可能下虛賣（買）單。虛單交易影響市場交易量、價差與波動；虛買（賣）單正（負）向影響價格。研究結果支持虛單交易使市場不穩定。

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